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Modifies python example algorithms to show implicit convertion benefits

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AlexCatarino
2017-06-15 18:40:34 +01:00
parent 6ca9d7cf14
commit 6242706342
22 changed files with 189 additions and 212 deletions
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Algorithm.Python/DailyAlgorithm.py
+16 -19
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@@ -11,11 +11,11 @@
# See the License for the specific language governing permissions and
# limitations under the License.
import clr
clr.AddReference("System")
clr.AddReference("QuantConnect.Algorithm")
clr.AddReference("QuantConnect.Indicators")
clr.AddReference("QuantConnect.Common")
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Indicators")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
@@ -33,13 +33,10 @@ class DailyAlgorithm(QCAlgorithm):
self.SetEndDate(2014,01,01) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
spy_security = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily)
ibm_security = self.AddSecurity(SecurityType.Equity, "IBM", Resolution.Hour)
ibm_security.SetLeverage(1.0)
self.ibm = ibm_security.Symbol
self.spy = spy_security.Symbol
self.macd = self.MACD(self.spy, 12, 26, 9, MovingAverageType.Wilders, Resolution.Daily, Field.Close)
self.ema = self.EMA(self.ibm, 15*6, Resolution.Hour, Field.SevenBar)
self.AddEquity("SPY", Resolution.Daily)
self.AddEquity("IBM", Resolution.Hour).SetLeverage(1.0)
self.macd = self.MACD("SPY", 12, 26, 9, MovingAverageType.Wilders, Resolution.Daily, Field.Close)
self.ema = self.EMA("IBM", 15 * 6, Resolution.Hour, Field.SevenBar)
self.lastAction = None
@@ -50,16 +47,16 @@ class DailyAlgorithm(QCAlgorithm):
data: Slice object keyed by symbol containing the stock data
'''
if not self.macd.IsReady: return
if not data.ContainsKey(self.ibm): return
if data[self.ibm] is None:
if not data.ContainsKey("IBM"): return
if data["IBM"] is None:
self.Log("Price Missing Time: %s"%str(self.Time))
return
if self.lastAction is not None and self.lastAction.date() == self.Time.date(): return
self.lastAction = self.Time
holding = self.Portfolio[self.spy]
quantity = self.Portfolio["SPY"].Quantity
if holding.Quantity <= 0 and self.macd.Current.Value > self.macd.Signal.Current.Value and data[self.ibm].Price > self.ema.Current.Value:
self.SetHoldings(self.ibm, 0.25)
elif holding.Quantity >= 0 and self.macd.Current.Value < self.macd.Signal.Current.Value and data[self.ibm].Price < self.ema.Current.Value:
self.SetHoldings(self.ibm, -0.25)
if quantity <= 0 and self.macd.Current.Value > self.macd.Signal.Current.Value and data["IBM"].Price > self.ema.Current.Value:
self.SetHoldings("IBM", 0.25)
elif quantity >= 0 and self.macd.Current.Value < self.macd.Signal.Current.Value and data["IBM"].Price < self.ema.Current.Value:
self.SetHoldings("IBM", -0.25)