QUANTCONNECT COMMUNITY
HI,
This is an attempt at porting an alogorithm from Quantopian to Quantconnect. Not only are the results completely different, but even the base data on which the RSI is calculated is different.
Any help will be appreciated.
Quantopian Link: https://www.quantopian.com/posts/ballistic-xiv-slash-vxx-my-best-long-xiv-slash-vxx-strategy-to-date
Based on the backtest provided by Wenbo Zhnag on 9/17/17
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Flame
It looks like the original consolidated the price data to 2 hour bars and then runs the RSI on the consolidated data. I'm not that good with C# but could this be the issue?
John Glossner
See this post on consolidation differences between Q & QC.
And this post with code implementing resampling.
Pranav Shah
Thanks a lot for the responses. I will take a look.
Pranav Shah
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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