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Hi everyone, I've been trying to create indicators for a Futures Universe I created. I see the Contract and Price Data for the Futures Contracts but when I try to add the ATR Indicator I get an Error.
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Akira
I've added the current backtest which works before I implement the ATR indicators
Louis Szeto
Hi Akira
ATR is a Bar Indicator, since it need all OHLC data to calculate, so you will need to update it with a QuoteBar/TradeBar rather than a (time, value) pair.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Akira
Hi Louis, i've been trying to incorporate your suggestion but i've been unsuccessful. Are there any examples you can share with me of ATR being updated with a continuous futures contract?
Regards,
Akira
Ashutosh
Hey Akira
This is a simple example of how you can use ATR to update using the continuous future contracts to give you direction.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Akira
Thanks for your reply! I will review your code example! Guy's I really do enjoy this community, I appreicate it!
Akira
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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