Share New Research 
See the code and backtest below for my take on implementing a simple trend following strategy inspired by Andreas Clenow's "Stocks on the Move".
The implementation uses a slope as trend indicator and rebalances the portfolio based on the ranked table of these slopes.
Any comments are appreciated, particular regarding the following problems:
- The strategy doesn't make any trades during the backtest period, which might be connected to problem 2
- The ATR which is used as a volatility indicator to calculate the position size often is 0. How can I make sure that sufficient data is available from the get go?
- The size of the universe is 1 in the beginning and then 55, which is far off the intended universe size of 22.
- ...
Peter Mack
Have you read through these threads:
https://www.quantconnect.com/forum/discussion/3106/stocks-on-the-move-equity-momentum
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.
Boris Sachakov
@Jared,
Would you please show me the code how to make it happen. Thanks in advance.
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.
Boris Sachakov
How should I adjust the following formula for 5-min Period?
public new TimeSpan Period { get { return QuantConnect.Time.OneDay; } }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.
Alexandre Catarino
QuantConnect.Time Helper has the following "aliases":
QuantConnect.Time.OneDay = TimeSpan.FromDays(1); QuantConnect.Time.OneHour = TimeSpan.FromHours(1); QuantConnect.Time.OneMinute = TimeSpan.FromMinutes(1); QuantConnect.Time.OneSecond = TimeSpan.FromSeconds(1); QuantConnect.Time.OneMillisecond = TimeSpan.FromMilliseconds(1);For other periods, we need to rely on TimeSpan.From* functions.
In this particular case, please adjust it with:
public new TimeSpan Period { get { return TimeSpan.FromMinutes(5); } }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.
Boris Sachakov
@Alexandre,
Thanks for your advice. However, the time is still reported by 1-min off: e.g. 11:16 instead of 11:15.
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.
Jared Broad
public override DateTime EndTime { get { return Time + TimeSpan.FromMinutes(5); } }The default resolution length is 1 minute which makes it appear 1 minute past the start time (which is infact looking into the future since your bars are 5 minutes long). If you set your bar length to 5 minutes (like above) it'll appear on the 5 minute boundary.
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.
Alexandre Catarino
Boris, you got a different result, because you removed the part we override EndTime. The complete solution would be:
public override DateTime EndTime { get { return Time + Period; } set { Time = value - Period; } } public new TimeSpan Period { get { return TimeSpam.FromMinutes(5); } }Since Jared's solution is 5 lines shorter, we can considered it better.
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.
Boris Sachakov
Jared and Alexandre,
Thank you both for your suggestions. Both codes brought the time of events to the end of the bar. However, the time that 'Logs' and 'Trades' after Backtest show is 5 minutes later than the actual event. For example, by looking at the chart, 1st Bearish Closing Marubozu ends at 10:55, whereas the Logs record it at 11:00. Also the 'Trades' show that its price was 1988.50 USD at 11:00; but if you look at the actual records (see the link to Dropbox in GetSource), the price 1988.50 corresponds to Close at 10:55.
Basically, the candlestick pattern and the trade in reality occur at 10:55, but the records (Logs & Trades) show 11:00. Similar situation happens with the rest of patterns.
How can we fix this situation? Thanks in advance
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.
Jared Broad
That is the intended behaviour; the bars close on the end time (i.e. start + period).
20160104 10.55 ...$1988.50 + 5 minute period bar means the bar is available (closing) at 10.59.9999 and appearing in your algorithm at 11am.
If the bar was available at 10.55 you'd see into the future (as the closing price is at 10.59.99999)
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.
Boris Sachakov
Jared,
Thanks for your response. Still, there is some confusion. But I am beginning to understand the problem, possibly. When I downloaded my data, I set the time of candle correspond to Close. So in my data 10:55 is the bar's close. In your case, probably, the time corresponds to the beginning of the candle.
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.
Phillip Espina
Hi Everyone, Is there a way to do this on python?
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.
Phillip Espina
Hello everyone, I'm using candlesticks to compare if it goes beyond my Upper Bollinger Bands. To get this I need the value of the CandleStick indicator that I am using right? But it only return 1 or -1 as in detecting Bull or Bear patterns. How should I be able to do this using CandleSticks?
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.
Rene Ordosgoitia
Hello guys, I´m trying to take access to the candlestick patterns libraries that are in the GitHub LEAN documentation, but there is not too much information related to how to calculate it in a universe selection approach.
In the next code, I want to use for the moment a simple condition to filter the stock that has an RSI value lower than 40 and the DojiStar built-in CandlestickPatterns library, but I don´t know how to use it in a universe selection approach:
import typing import QuantConnect.Indicators.CandlestickPatterns import datetime class EMAMomentumUniverse(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 10, 11) self.SetEndDate(2020, 11, 11) self.SetCash(1000) self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseSelectionFunction) self.averages = { } def CoarseSelectionFunction(self, universe): selected = [] universe = sorted(universe, key=lambda c: c.DollarVolume, reverse=True) universe = [c for c in universe if (c.Price > 10)][:100] for coarse in universe: symbol = coarse.Symbol if symbol not in self.averages: # 1. Call history to get an array of 200 days of history data history = self.History(symbol, 200, Resolution.Daily) #2. Adjust SelectionData to pass in the history result self.averages[symbol] = SelectionData(history) #here is where im trying to create the bool variable. self.hammer = self.CandlestickPatterns.DojiStar(symbol) self.averages[symbol].update(self.Time, coarse.AdjustedPrice) if self.averages[symbol].is_ready() and (self.averages[symbol].rsi.Current.Value < 40): selected.append(symbol) return selected[:10] def OnSecuritiesChanged(self, changes): for security in changes.RemovedSecurities: self.Liquidate(security.Symbol) for security in changes.AddedSecurities: self.SetHoldings(security.Symbol, 0.10) class SelectionData(): #3. Update the constructor to accept a history array def __init__(self, history ): self.rsi = RelativeStrengthIndex(14) #4. Loop over the history data and update the indicators for data in history.itertuples(): self.rsi.Update(data.Index[1], data.close) def is_ready(self): return self.rsi.IsReady def update(self, time, price): self.rsi.Update(time, price)Thanks a lot for any clue!
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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