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Hi,
I am trying a really basic MACD Alpha model using the algo framework and I see some errors in insights time compared to Yahoo finance or spreadsheet calculated MACD. Maybe I am just beginning and missing something really obvious, can you help me to make it work ?
I checked that Resolution was daily for both Alpha model and Yahoo finance.
I tried both MovingAverageType.Simple and MovingAverageType.Exponential in addAlpha arguments.
Example of insights
https://drive.google.com/file/d/16qplL_BKu9bWZ3O3Uy30-f-n_VoTmY-8/view?usp=sharing
Example of yahoo finance MACD
https://drive.google.com/file/d/16qplL_BKu9bWZ3O3Uy30-f-n_VoTmY-8/view?usp=sharing
from Alphas.MacdAlphaModel import MacdAlphaModel
class PrototypeV0(QCAlgorithm):
def Initialize(self):
self.UniverseSettings.Resolution = Resolution.Minute
self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw
self.SetStartDate(2017, 2, 15)
self.SetCash(100000)
symbols = [ Symbol.Create("TSLA", SecurityType.Equity, Market.USA)]
self.AddAlpha(MacdAlphaModel(12, 26, 9, MovingAverageType.Exponential, Resolution.Daily))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel() )
self.SetExecution( ImmediateExecutionModel() )
self.SetRiskManagement(TrailingStopRiskManagementModel(0.05))
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
# if not self.Portfolio.Invested:
# self.SetHoldings("SPY", 1)
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