Custom Indicator

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Custom Indicator

Last comment by - July 2022

Custom Indicator

Translating open source strategy from perl to c# and tradingview.com to Quant Connect using custom indicator.

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Custom Indicator

John Schwartz | April 2018

I'm trying to translate this open source strategy from perl to c# and from tradingview.com to Quant Connect.
here's the guts of it.

fastMA = ema(source, fastLength)
slowMA = ema(source, slowLength)

macd = fastMA - slowMA
signal = sma(macd, signalLength)
hist = macd - signal

Author

John Schwartz

April 2018

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John Schwartz INVESTOR

April 2018

I've been stuck on not understanding what's wrong for hours now. I'm just getting a whole lot of blank. The MACD values i'm getting back are wrong too. :(

Upvote

Michael Manus INVESTOR

April 2018

did you find the problem?

you could do this like in the example and update values manualy

https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/MultipleSymbolConsolidationAlgorithm.cs

in your own method:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/DataConsolidationAlgorithm.cs

Upvote

Michael Manus INVESTOR

April 2018

oh and also if you think that you did already rigth try to take a different default moving average....

https://www.quantconnect.com/forum/discussion/3713/percentage-price-oscillator-ppo-values

last line

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George Briggs INVESTOR

April 2018

Can you use the MACD indicator instead?

Upvote

Ozgur INVESTOR

February 2019

I am new here, I am trying to convert the script like John, here is my script;

fastperiod = input(12,title="fastperiod",type=integer,minval=1,maxval=500)
slowperiod = input(26,title="slowperiod",type=integer,minval=1,maxval=500)
signalperiod = input(9,title="signalperiod",type=integer,minval=1,maxval=500)
fastMA = ema(close, fastperiod)
slowMA = ema(close, slowperiod)
macd = fastMA - slowMA
signal = ema(macd, signalperiod)
macdAS = macd - signal

Thanks for any help in advance

Upvote

Halldor Andersen INVESTOR

February 2019

Hi Hasan.

Welcome to QuantConnect. I've attached a backtest where I've implemented a simple version of a MACD strategy.

The algorithm goes long SPY when the MACD-Histogram value is positive and shorts SPY when the value is negative.

Upvote

1 person upvoted this

Gurumeher Sawhney INVESTOR

February 2019

Hi Hasan,

I would recommend getting comfortable with QuantConnect's API using Bootcamp and some Tutorials. Converting scripts like these will become easier.

For example QuantConnect provides over 100 technical indicators in the form of an object. You can even have indicators of indicators. Here are some of the indicator objects that can be used for this:

self.ema = self.EMA("IBM", 14, Resolution.Daily) # define our daily macd(12,26) with a 9 day signal self.__macd = self.MACD("SPY", 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily)

And here is a fully implemented MACD strategy:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/MACDTrendAlgorithm.py

Upvote

Ozgur INVESTOR

February 2019

Hi to all,

Thank you all for the answers. I am doing some explorations on framework nowadays.

Upvote

Jon Brygge INVESTOR

July 2022

Hi Halldor,

Thank you for sharing your code

Would it be possible to add green color for the histogram bars above 0 and red color for the histogram bars below 0?

import numpy as np
from System.Drawing import Color
from decimal import *
class macdExample(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2018, 6, 1)
        self.SetEndDate(2019, 2, 1)
        
        self.SetCash(10000)
        
        self.spy = self.AddEquity("SPY", Resolution.Daily)
        self.macd = self.MACD("SPY", 12,26,9,Resolution.Daily)
        
        # Establish Trade Plot
        IndicatorPlot = Chart("Trade Plot")
        IndicatorPlot.AddSeries(Series("macd", SeriesType.Line,"", Color.Red))
        IndicatorPlot.AddSeries(Series("signal", SeriesType.Line,"", Color.Blue))
        IndicatorPlot.AddSeries(Series("histogram", SeriesType.Bar,"", Color.Black))
        IndicatorPlot.AddSeries(Series("Long", SeriesType.Scatter,"", Color.Green))
        IndicatorPlot.AddSeries(Series("Short", SeriesType.Scatter,"", Color.Red))
        self.AddChart(IndicatorPlot)
        
    def OnData(self,data):
        if not (data.ContainsKey("SPY")): return
        if not self.macd.IsReady: return
    
        # Indicator values
        hist=self.macd.Histogram.Current.Value
        
        # If histogram is positive, then go long SPY
        if hist>=0:
            if not self.Portfolio["SPY"].Quantity > 0:
                self.SetHoldings("SPY",1)
                self.Plot("Trade Plot", "Long", 0)
                
        # If histogram is negative, then go short SPY
        elif hist < 0:
            if not self.Portfolio["SPY"].Quantity < 0:
                self.SetHoldings("SPY",-1)
                self.Plot("Trade Plot", "Short", 0)
    
    def OnEndOfDay(self):
        # Add values to plot
        if not self.macd.IsReady: return
        self.Plot("Trade Plot", "macd", self.macd.Current.Value)
        self.Plot("Trade Plot", "signal", self.macd.Signal.Current.Value)
        self.Plot("Trade Plot", "histogram", self.macd.Histogram.Current.Value)
+ Expand
- Collapse

Upvote

Louis Szeto INVESTOR

QuantConnect | July 2022

Hi Jon

Sorry, it is not possible due to the limitation of our IDE's charting package. A workaround could be using 2 bar series for the same MACD indicator histogram. One with value equals 0 if histogram value > 0, while the other one equals 0 if histogram value < 0.

Best
Louis

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