AlexCatarino
95 lines
4.5 KiB
Python
95 lines
4.5 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")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Indicators")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import QCAlgorithmFrameworkBridge
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from QuantConnect.Algorithm.Framework.Alphas import *
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from QuantConnect.Indicators import *
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from datetime import timedelta
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### <summary>
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### Demonstration algorithm showing how to easily convert an old algorithm into the framework.
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###
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### 1. Make class derive from QCAlgorithmFrameworkBridge instead of QCAlgorithm.
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### 2. When making orders, also create insights for the correct direction (up/down), can also set insight prediction period/magnitude/direction
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### 3. Profit :)
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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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class ConvertToFrameworkAlgorithm(QCAlgorithmFrameworkBridge): # 1. Derive from QCAlgorithmFrameworkBridge
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'''Demonstration algorithm showing how to easily convert an old algorithm into the framework.'''
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FastEmaPeriod = 12
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SlowEmaPeriod = 26
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2004, 1, 1)
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self.SetEndDate(2015, 1, 1)
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self.symbol = self.AddSecurity(SecurityType.Equity, 'SPY', Resolution.Daily).Symbol
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# define our daily macd(12,26) with a 9 day signal
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self.macd = self.MACD(self.symbol, self.FastEmaPeriod, self.SlowEmaPeriod, 9, MovingAverageType.Exponential, Resolution.Daily)
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def OnData(self, data):
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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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Args:
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data: Slice object with your stock data'''
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# wait for our indicator to be ready
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if not self.macd.IsReady or data[self.symbol] is None: return
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holding = self.Portfolio[self.symbol]
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signalDeltaPercent = float(self.macd.Current.Value - self.macd.Signal.Current.Value) / float(self.macd.Fast.Current.Value)
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tolerance = 0.0025
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# if our macd is greater than our signal, then let's go long
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if holding.Quantity <= 0 and signalDeltaPercent > tolerance:
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# 2. Call EmitInsights with insights created in correct direction, here we're going long
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# The EmitInsights method can accept multiple insights separated by commas
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self.EmitInsights(
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# Creates an insight for our symbol, predicting that it will move up within the fast ema period number of days
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Insight.Price(self.symbol, timedelta(self.FastEmaPeriod), InsightDirection.Up)
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)
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# longterm says buy as well
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self.SetHoldings(self.symbol, 1)
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# if our macd is less than our signal, then let's go short
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elif holding.Quantity >= 0 and signalDeltaPercent < -tolerance:
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# 2. Call EmitInsights with insights created in correct direction, here we're going short
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# The EmitInsights method can accept multiple insights separated by commas
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self.EmitInsights(
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# Creates an insight for our symbol, predicting that it will move down within the fast ema period number of days
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Insight.Price(self.symbol, timedelta(self.FastEmaPeriod), InsightDirection.Down)
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)
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self.SetHoldings(self.symbol, -1)
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# plot both lines
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self.Plot("MACD", self.macd, self.macd.Signal)
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self.Plot(self.symbol.Value, self.macd.Fast, self.macd.Slow)
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self.Plot(self.symbol.Value, "Open", data[self.symbol].Open) |