Merge pull request #2050 from QuantConnect/bug-ema-cross-resolution

Use EMA cross alpha model's resolution when creating the EMA indicators
QuantConnect · Jun 1, 2018 · 04b99aa · 04b99aa
2 parents 0ec7f29 + d90dcc8
commit 04b99aa
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Showing 2 changed files with 25 additions and 25 deletions.
diff --git a/Algorithm.Framework/Alphas/EmaCrossAlphaModel.cs b/Algorithm.Framework/Alphas/EmaCrossAlphaModel.cs
@@ -102,8 +102,8 @@ public override void OnSecuritiesChanged(QCAlgorithmFramework algorithm, Securit
                 if (!_symbolDataBySymbol.TryGetValue(added.Symbol, out symbolData))
                 {
                     // create fast/slow EMAs
-                    var fast = algorithm.EMA(added.Symbol, _fastPeriod);
-                    var slow = algorithm.EMA(added.Symbol, _slowPeriod);
+                    var fast = algorithm.EMA(added.Symbol, _fastPeriod, _resolution);
+                    var slow = algorithm.EMA(added.Symbol, _slowPeriod, _resolution);
                     _symbolDataBySymbol[added.Symbol] = new SymbolData
                     {
                         Security = added,

diff --git a/Tests/RegressionTests.cs b/Tests/RegressionTests.cs
@@ -911,31 +911,31 @@ private static TestCaseData[] GetRegressionTestParameters()
 
             var compositeAlphaModelFrameworkAlgorithmStatistics = new Dictionary<string, string>
             {
-                {"Total Trades", "468"},
-                {"Average Win", "0.06%"},
-                {"Average Loss", "-0.04%"},
-                {"Compounding Annual Return", "-96.930%"},
-                {"Drawdown", "4.500%"},
-                {"Expectancy", "-0.490"},
-                {"Net Profit", "-4.356%"},
-                {"Sharpe Ratio", "-26.255"},
-                {"Loss Rate", "81%"},
-                {"Win Rate", "19%"},
-                {"Profit-Loss Ratio", "1.75"},
-                {"Alpha", "-1.975"},
-                {"Beta", "-23.261"},
-                {"Annual Standard Deviation", "0.085"},
-                {"Annual Variance", "0.007"},
-                {"Information Ratio", "-26.372"},
-                {"Tracking Error", "0.085"},
-                {"Treynor Ratio", "0.096"},
-                {"Total Fees", "$2215.48"},
-                {"Total Insights Generated", "289"},
+                {"Total Trades", "2"},
+                {"Average Win", "0%"},
+                {"Average Loss", "0%"},
+                {"Compounding Annual Return", "323.810%"},
+                {"Drawdown", "0.600%"},
+                {"Expectancy", "0"},
+                {"Net Profit", "1.864%"},
+                {"Sharpe Ratio", "8.033"},
+                {"Loss Rate", "0%"},
+                {"Win Rate", "0%"},
+                {"Profit-Loss Ratio", "0"},
+                {"Alpha", "0"},
+                {"Beta", "84.942"},
+                {"Annual Standard Deviation", "0.117"},
+                {"Annual Variance", "0.014"},
+                {"Information Ratio", "7.946"},
+                {"Tracking Error", "0.117"},
+                {"Treynor Ratio", "0.011"},
+                {"Total Fees", "$11.82"},
+                {"Total Insights Generated", "2"},
                 {"Total Insights Closed", "0"},
                 {"Total Insights Analysis Completed", "0"},
-                {"Long Insight Count", "146"},
-                {"Short Insight Count", "143"},
-                {"Long/Short Ratio", "102.10%"},
+                {"Long Insight Count", "2"},
+                {"Short Insight Count", "0"},
+                {"Long/Short Ratio", "100%"},
                 {"Estimated Monthly Alpha Value", "$0"},
                 {"Total Accumulated Estimated Alpha Value", "$0"},
                 {"Mean Population Estimated Insight Value", "$0"},