Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
55 lines
1.9 KiB
Python
55 lines
1.9 KiB
Python
# 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 AlgorithmImports import *
|
|
|
|
class BasicTemplateIndexAlgorithm(QCAlgorithm):
|
|
def Initialize(self) -> None:
|
|
self.SetStartDate(2021, 1, 4)
|
|
self.SetEndDate(2021, 1, 15)
|
|
self.SetCash(1000000)
|
|
|
|
# Use indicator for signal; but it cannot be traded
|
|
self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
|
|
|
|
# Trade on SPX ITM calls
|
|
self.spxOption = Symbol.CreateOption(
|
|
self.spx,
|
|
Market.USA,
|
|
OptionStyle.European,
|
|
OptionRight.Call,
|
|
3200,
|
|
datetime(2021, 1, 15)
|
|
)
|
|
|
|
self.AddIndexOptionContract(self.spxOption, Resolution.Minute)
|
|
|
|
self.emaSlow = self.EMA(self.spx, 80)
|
|
self.emaFast = self.EMA(self.spx, 200)
|
|
|
|
def OnData(self, data: Slice):
|
|
if self.spx not in data.Bars or self.spxOption not in data.Bars:
|
|
return
|
|
|
|
if not self.emaSlow.IsReady:
|
|
return
|
|
|
|
if self.emaFast > self.emaSlow:
|
|
self.SetHoldings(self.spxOption, 1)
|
|
else:
|
|
self.Liquidate()
|
|
|
|
def OnEndOfAlgorithm(self) -> None:
|
|
if self.Portfolio[self.spx].TotalSaleVolume > 0:
|
|
raise Exception("Index is not tradable.")
|