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How does CCI work with universe
I want to user CCI as one of the filter
As far as I know, coarse does not have a property as TradeBar
Would you please give an CCI example on unverse ??
Thanks
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Gurumeher Sawhney
Here is an example of indicators being used in universe selection. The CCI indicator can be implemented like so, where a SymbolData object is created and the indicator is initialized for each stock. The data can then be fed into the indicator with historical data like this example. This way the CCI indicator will have the correct current value for universe filtration.
Gurumeher Sawhney
In the C# example's code, the history call returns IEnumerable<Quotebar> or IEnumerable<Tradebar> depending on the security. So while the EMA's are updated with a specific field and time below, the CCI's can be updated with a TradeBar needed by just passing bar in Update.
var history = History("EURUSD", 3601); foreach (var bar in history) { fast.Update(bar.EndTime, bar.Close); slow.Update(bar.EndTime, bar.Close); }Jing Wu
Hi OuYangFeng, for CCI you should create the indicator constructor
CCI = new CommodityChannelIndex(period, MovingAverageType.Simple);
and update the CCI indicator manually with the trade bar.
In coarse universe selection, you can retrieve yesterday's trade bar with the history request
CCI.Update(History(Symbol, 1, Resolution.Daily).FirstOrDefault())
OuYangFeng
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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