Jing Wu
43 lines
1.6 KiB
Python
43 lines
1.6 KiB
Python
# 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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from clr import AddReference
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AddReference("System.Core")
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AddReference("System.Collections")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from System.Collections.Generic import List
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from QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.UniverseSelection import *
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from datetime import datetime
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class CustomDataRegressionAlgorithm(QCAlgorithm):
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''' Regression algorithm for custom data '''
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def Initialize(self):
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self.SetStartDate(2014,04,01) #Set Start Date
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self.SetEndDate(2015,04,30) #Set End Date
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self.SetCash(50000) #Set Strategy Cash
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self.AddData[Bitcoin]("BTC", Resolution.Daily)
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def OnData(self, data):
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if not self.Portfolio.Invested:
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if data['BTC'].Close != 0 :
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self.Order('BTC', self.Portfolio.MarginRemaining/abs(data['BTC'].Close + 1)) |