Adds MovingAverageCrossAlgorithm.py

Adds Python version of MovingAverageCrossAlgorithm Plot objects were not included.
2016-02-16 14:19:53 -02:00
parent 5b292af7d2
commit cc7172552c
2 changed files with 92 additions and 0 deletions
@@ -0,0 +1,91 @@
+# 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 decimal import Decimal 
+
+import clr
+clr.AddReference("System")
+clr.AddReference("QuantConnect.Algorithm")
+clr.AddReference("QuantConnect.Indicators")
+clr.AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Indicators import *
+
+
+class MovingAverageCrossAlgorithm(QCAlgorithm):
+    '''In this example we look at the canonical 15/30 day moving average cross. This algorithm
+    will go long when the 15 crosses above the 30 and will liquidate when the 15 crosses
+    back below the 30.'''
+    
+    def __init__(self):
+            self.symbol = "SPY"
+            self.previous = None
+            self.fast = None
+            self.slow = None
+    
+    def Initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+        
+        self.SetStartDate(2009, 01, 01)  #Set Start Date
+        self.SetEndDate(2015, 01, 01)    #Set End Date
+        self.SetCash(100000)           #Set Strategy Cash
+        # Find more symbols here: http://quantconnect.com/data
+        self.AddSecurity(SecurityType.Equity, self.symbol, Resolution.Minute)
+
+        # create a 15 day exponential moving average
+        self.fast = self.EMA(self.symbol, 15, Resolution.Daily);
+
+        # create a 30 day exponential moving average
+        self.slow = self.EMA(self.symbol, 30, Resolution.Daily);
+
+        
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        
+        Arguments:
+            data: TradeBars IDictionary object with your stock data
+        '''
+        # a couple things to notice in this method:
+        #  1. We never need to 'update' our indicators with the data, the engine takes care of this for us
+        #  2. We can use indicators directly in math expressions
+        #  3. We can easily plot many indicators at the same time    
+
+        # wait for our slow ema to fully initialize
+        if not self.slow.IsReady:
+            return    
+
+        # only once per day
+        if self.previous is not None and self.previous.Date == self.Time.Date:
+            return
+
+        # define a small tolerance on our checks to avoid bouncing
+        tolerance = 0.00015;
+        
+        holdings = self.Portfolio[self.symbol].Quantity
+
+        # we only want to go long if we're currently short or flat
+        if holdings <= 0:
+            # if the fast is greater than the slow, we'll go long
+            if self.fast.Current.Value > self.slow.Current.Value * Decimal(1 + tolerance):
+                self.Log("BUY  >> {0}".format(self.Securities[self.symbol].Price))
+                self.SetHoldings(self.symbol, 1.0)
+             
+        # we only want to liquidate if we're currently long
+        # if the fast is less than the slow we'll liquidate our long
+        if holdings > 0 and self.fast.Current.Value < self.slow.Current.Value:
+            self.Log("SELL >> {0}".format(self.Securities[self.symbol].Price))
+            self.Liquidate(self.symbol)  
+
+        self.previous = self.Time