Hypotheses

QuantConnect DailyAlgorithm: SPY MACD signal, IBM hourly EMA filter

Hypothesis

Faithful translation of QuantConnect's DailyAlgorithm, credited to QuantConnect. The source sets a 2013-01-01 start, 2014-01-01 end, $100,000 cash, daily SPY data, and hourly IBM data with leverage 1. It calculates SPY MACD(12,26,9) using Wilder moving averages on daily closes and an IBM 90-hour EMA of Field.SevenBar, defined as (2*open + high + low + 3*close)/7. SPY supplies a signal but is never traded. The source's description mentions an SMA cross and EMA stop, but its code implements neither. Platform instruments are IBM.USEQ for trading and SPY.USEQ for the signal. USEQ charges zero commissions; spread and impact still apply. The platform's approximately two years of hourly equity history cannot reproduce the original 2013–2014 window. Source: https://github.com/QuantConnect/Lean/blob/856327ff33869cba98393781000c4ab1d2af423d/Algorithm.Python/DailyAlgorithm.py

Analysis

DailyAlgorithm

Backtest and paper results are hypothetical. Trading involves risk of loss.