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Showing posts from October, 2018

Fibonacci Retracement + Donchian Channel Combo Indicator for QuantConnect

So, I have been playing around with QuantConnect, which provides a convenient framework to automate trading strategies using C#.  It has a lot of useful indicators out of the box.  However, one indicator that’s missing is Fibonacci Retracement.  That is understandable since it is generally used as a static manually drawn charting feature.  But I wanted some way to utilize it as an automatic indicator.  That is where Donchian Channels come in. Fibonacci Retracement is a range of values drawn between a high and low.  Donchian Channels provide continuously updating high and low values.  Combining the two concepts yield an automatically updating Fibonacci Retracement.

Let’s dig into Fibonacci Retracements a little deeper.  They are a range of values between a high and low at 61.8%, 50%, 38.2%, and 23.6%.  These values are based on the famous Fibonacci Sequence, where each value is the sum of the two prior values (0, 1, 1, 2, 3, 5, 8, 13, 21, etc.).  Starting at 2, a value divided by the …