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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/WarmupAlgorithm.py
+16 -17
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@@ -34,27 +34,26 @@ class WarmupAlgorithm(QCAlgorithm):
self.SetEndDate(2013,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
equity = self.AddEquity("SPY", Resolution.Second)
self.__symbol = equity.Symbol
self.AddEquity("SPY", Resolution.Second)
self.__first = True
self.__fastPeriod = 60
self.__slowPeriod = 3600
self.__fast = self.EMA(self.__symbol, self.__fastPeriod)
self.__slow = self.EMA(self.__symbol, self.__slowPeriod)
self.SetWarmup(self.__slowPeriod)
fast_period = 60
slow_period = 3600
self.fast = self.EMA("SPY", fast_period)
self.slow = self.EMA("SPY", slow_period)
self.SetWarmup(slow_period)
self.first = True
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
if self.__first and not self.IsWarmingUp:
self.__first = False
self.Log("Fast: {0}".format(self.__fast.Samples))
self.Log("Slow: {0}".format(self.__slow.Samples))
if self.first and not self.IsWarmingUp:
self.first = False
self.Log("Fast: {0}".format(self.fast.Samples))
self.Log("Slow: {0}".format(self.slow.Samples))
if self.__fast.Current.Value > self.__slow.Current.Value:
self.SetHoldings(self.__symbol, 1)
if self.fast.Current.Value > self.slow.Current.Value:
self.SetHoldings("SPY", 1)
else:
self.SetHoldings(self.__symbol, -1)
self.SetHoldings("SPY", -1)