Michael Handschuh
8402b6f01e
It's important that we keep the factor files consistent with respect to the date that they were generated. This enables us to run the regression algorithms in the cloud and get the same results by using the factor files from the correct date.
260 lines
11 KiB
C#
260 lines
11 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration algorithm of popular indicators and plotting them.
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/// </summary>
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="indicator classes" />
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/// <meta name="tag" content="plotting indicators" />
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/// <meta name="tag" content="charting" />
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/// <meta name="tag" content="indicator field selection" />
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public class IndicatorSuiteAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private string _ticker = "SPY";
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private string _customTicker = "WIKI/FB";
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private Symbol _symbol;
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private Symbol _customSymbol;
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private Indicators _indicators;
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private Indicators _selectorIndicators;
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private IndicatorBase<IndicatorDataPoint> _ratio;
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//RSI Custom Data:
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private RelativeStrengthIndex _rsiCustom;
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private Minimum _minCustom;
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private Maximum _maxCustom;
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private decimal _price;
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/// <summary>
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/// Initialize the data and resolution you require for your strategy
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/// </summary>
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public override void Initialize()
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{
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//Initialize
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SetStartDate(2013, 1, 1);
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SetEndDate(2014, 12, 31);
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SetCash(25000);
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//Add as many securities as you like. All the data will be passed into the event handler:
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_symbol = AddSecurity(SecurityType.Equity, _ticker, Resolution.Daily).Symbol;
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//Add the Custom Data:
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_customSymbol = AddData<Quandl>(_customTicker, Resolution.Daily).Symbol;
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//Set up default Indicators, these indicators are defined on the Value property of incoming data (except ATR and AROON which use the full TradeBar object)
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_indicators = new Indicators
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{
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BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
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RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
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ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
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EMA = EMA(_symbol, 14, Resolution.Daily),
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SMA = SMA(_symbol, 14, Resolution.Daily),
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MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
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AROON = AROON(_symbol, 20, Resolution.Daily),
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MOM = MOM(_symbol, 20, Resolution.Daily),
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MOMP = MOMP(_symbol, 20, Resolution.Daily),
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STD = STD(_symbol, 20, Resolution.Daily),
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MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
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MAX = MAX(_symbol, 14, Resolution.Daily) // by default if the symbol is a tradebar type then it will be the max of the high property
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};
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// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
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// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
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// We'll define these 'selector' functions to select the Low value
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//
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// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
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// https://msdn.microsoft.com/en-us/library/bb397687.aspx
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//
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_selectorIndicators = new Indicators
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{
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BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
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RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
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EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
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SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
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MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
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MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
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MOMP = MOMP(_symbol, 20, Resolution.Daily, Field.Low),
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STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
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MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
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MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
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// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
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// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
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ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
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AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
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};
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//Custom Data Indicator:
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_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
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_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
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_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
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// in addition to defining indicators on a single security, you can all define 'composite' indicators.
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// these are indicators that require multiple inputs. the most common of which is a ratio.
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// suppose we seek the ratio of BTC to SPY, we could write the following:
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var spyClose = Identity(_symbol);
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var fbClose = Identity(_customSymbol);
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// this will create a new indicator whose value is FB/SPY
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_ratio = fbClose.Over(spyClose);
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// we can also easily plot our indicators each time they update using th PlotIndicator function
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PlotIndicator("Ratio", _ratio);
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}
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/// <summary>
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/// Custom data event handler:
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/// </summary>
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/// <param name="data">Quandl - dictionary Bars of Quandl Data</param>
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public void OnData(Quandl data)
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{
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">TradeBars IDictionary object with your stock data</param>
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public void OnData(TradeBars data)
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{
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if (!_indicators.BB.IsReady || !_indicators.RSI.IsReady) return;
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_price = data["SPY"].Close;
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if (!Portfolio.HoldStock)
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{
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int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close);
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//Order function places trades: enter the string symbol and the quantity you want:
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Order(_symbol, quantity);
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//Debug sends messages to the user console: "Time" is the algorithm time keeper object
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Debug("Purchased SPY on " + Time.ToShortDateString());
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}
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}
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/// <summary>
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/// Fire plotting events once per day.
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/// </summary>
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public override void OnEndOfDay()
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{
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if (!_indicators.BB.IsReady) return;
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Plot("BB", "Price", _price);
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Plot("BB", _indicators.BB.UpperBand, _indicators.BB.MiddleBand, _indicators.BB.LowerBand);
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Plot("RSI", _indicators.RSI);
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//Custom data indicator
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Plot("RSI-BTC", _rsiCustom);
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Plot("ATR", _indicators.ATR);
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Plot("STD", _indicators.STD);
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Plot("AROON", _indicators.AROON.AroonUp, _indicators.AROON.AroonDown);
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// The following Plot method calls are commented out because of the 10 series limit for backtests
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//Plot("MOM", _indicators.MOM);
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//Plot("MOMP", _indicators.MOMP);
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//Plot("MACD", "Price", _price);
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//Plot("MACD", _indicators.MACD.Fast, _indicators.MACD.Slow, _indicators.MACD.Signal);
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//Plot("Averages", _indicators.EMA, _indicators.SMA);
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}
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/// <summary>
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/// Class to hold a bunch of different indicators for this example
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/// </summary>
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private class Indicators
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{
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public BollingerBands BB;
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public SimpleMovingAverage SMA;
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public ExponentialMovingAverage EMA;
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public RelativeStrengthIndex RSI;
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public AverageTrueRange ATR;
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public StandardDeviation STD;
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public AroonOscillator AROON;
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public Momentum MOM;
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public MomentumPercent MOMP;
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public MovingAverageConvergenceDivergence MACD;
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public Minimum MIN;
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public Maximum MAX;
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}
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/// <summary>
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/// Function used to select a trade bar that has double the values of the input trade bar
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/// </summary>
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private static TradeBar SelectorDoubleTradeBar(IBaseData baseData)
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{
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var bar = (TradeBar)baseData;
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return new TradeBar
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{
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Close = 2 * bar.Close,
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DataType = bar.DataType,
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High = 2 * bar.High,
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Low = 2 * bar.Low,
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Open = 2 * bar.Open,
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Symbol = bar.Symbol,
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Time = bar.Time,
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Value = 2 * bar.Value,
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Volume = 2 * bar.Volume,
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Period = bar.Period
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};
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}
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public Language[] Languages { get; } = { Language.CSharp, Language.Python };
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "19.098%"},
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{"Drawdown", "7.300%"},
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{"Expectancy", "0"},
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{"Net Profit", "41.844%"},
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{"Sharpe Ratio", "1.639"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0.29"},
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{"Beta", "-5.494"},
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{"Annual Standard Deviation", "0.11"},
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{"Annual Variance", "0.012"},
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{"Information Ratio", "1.457"},
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{"Tracking Error", "0.11"},
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{"Treynor Ratio", "-0.033"},
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{"Total Fees", "$1.00"}
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};
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}
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}
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