add IndicatorRibbonBenchmark algorithm

2018-05-26 01:54:08 -04:00
parent 98027e2025
commit 093d6d56a1
2 changed files with 128 additions and 2 deletions
@@ -1 +1,57 @@
-
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+AddReference("QuantConnect.Indicators")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Indicators import *
+from QuantConnect.Data import *
+from QuantConnect.Data.Market import *
+from QuantConnect.Algorithm import *
+import numpy as np
+from datetime import datetime
+
+
+class IndicatorRibbonBenchmark(QCAlgorithm):
+
+    # Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+    def Initialize(self):
+        self.SetStartDate(2010, 1, 1)  #Set Start Date
+        self.SetEndDate(2018, 1, 1)    #Set End Date
+        self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
+        count = 50
+        offset = 5
+        period = 15
+        self.ribbon = []
+        # define our sma as the base of the ribbon
+        self.sma = SimpleMovingAverage(period)
+        
+        for x in range(count):
+            # define our offset to the zero sma, these various offsets will create our 'displaced' ribbon
+            delay = Delay(offset*(x+1))
+            # define an indicator that takes the output of the sma and pipes it into our delay indicator
+            delayedSma = IndicatorExtensions.Of(delay, self.sma)
+            # register our new 'delayedSma' for automaic updates on a daily resolution
+            self.RegisterIndicator(self.spy, delayedSma, Resolution.Daily)
+            self.ribbon.append(delayedSma)
+
+    def OnData(self, data):
+        # wait for our entire ribbon to be ready
+        if not all(x.IsReady for x in self.ribbon): return
+        for x in self.ribbon:
+            value = x.Current.Value