Weekly Result of Indicators are Not Correct

[hmuhdkamran]

the problem

I am using Indicators, Super Trend, Connors RSI, Momentum and Dema, the return value of daily and monthly return accurate with trading view, while weekly result varies, I have attached the image it will elaborate it,

Sql Script

SELECT 
                                                fnl.symbol, 
                                                fnl.max_date AS date, 
                                                so_open.open AS open, 
                                                fnl.high, 
                                                fnl.low, 
                                                so_close.close AS close, 
                                                so_close.volume AS volume
                                            FROM (
                                                SELECT 
                                                    sd.symbol,
                                                    MAX(sd.date) AS max_date, 
                                                    MAX(sd.high) AS high,
                                                    MIN(sd.low) AS low
                                                FROM stock_data sd
                                                GROUP BY sd.symbol, strftime('%Y-%m-%W', sd.date)
                                            ) fnl
                                            JOIN stock_data so_open ON so_open.date = fnl.max_date AND so_open.symbol = fnl.symbol
                                            JOIN stock_data so_close ON so_close.date = fnl.max_date AND so_close.symbol = fnl.symbol
                                            JOIN (
                                                SELECT 
                                                    symbol, 
                                                    MAX(date) AS max_date
                                                FROM stock_data
                                                GROUP BY symbol, strftime('%Y-%m-%W', date)
                                                ORDER BY max_date DESC
                                                LIMIT 500
                                            ) recent_weeks ON recent_weeks.symbol = fnl.symbol AND recent_weeks.max_date = fnl.max_date
                                            ORDER BY fnl.max_date ASC;

the data file is of sqlite
SKL_SAZEW_1911.zip

[DaveSkender]

This is a rather complex problem as I'm sure you're aware. Before I dig in to analyze further, given how often I've dealt with comparisons to TradingView charts, the root problem is most likely going to be one of these:

1. An error in the TradingView chart that makes it a poor basis for checking accuracy of this library.
2. The data you're using (or the output of your custom weekly aggregation SQL script) is different than what is used in that chart. They may start the week on a different day, for example.

See related know issues and common problems:

• Help! Results don't match TradingView! #801
• Warmup and convergence #688

[DaveSkender]

I would normally recommend using our quotes.Aggregate(PeriodSize.Week) utility; however I think it uses a rolling 7-day week instead of a fixed week with a specific day (e.g. Saturday) as the end. I'm making a note to confirm that utility's behavior and to clarify our documentation.

[hmuhdkamran]

// aggregate into larger bars
IEnumerable dayBarQuotes =
minuteBarQuotes.Aggregate(PeriodSize.Week); doesn't help at all,

If you look into my query, it get the closing of Friday, and min and max value in week, and open at Monday, the same formula is working for Monthly, but not for weekly.

[DaveSkender]

// aggregate into larger bars IEnumerable dayBarQuotes = minuteBarQuotes.Aggregate(PeriodSize.Week); doesn't help at all,

If you look into my query, it get the closing of Friday, and min and max value in week, and open at Monday, [ … ]

I expected this. Our week uses a rolling 7-day period with an arbitrary end day. I also noticed that SQL syntax (general observation) doesn't really have a windowed way to do FIRST or LAST easily. I was tempted to do some T-SQL-ing to see if there were a simpler version of your SQL query, because it's been a while since I've written queries like this (and looked like fun), but backed off after realizing its complexity. These days, I tend to prefer handling more complex data arrangements outside of the database.

I think I've found a fix for this Aggregate(...) utility problem, made notes in the related issue:

• Does quotes.Aggregate(PeriodSize.Week) use a fixed calendar week? #1184