Louis Szeto
991ac4595f
* Update Collective2PortfolioSignalExportDemonstrationAlgorithm * Update Collective2SignalExportDemonstrationAlgorithm * Update CrunchDAOPortfolioSignalExportDemonstrationAlgorithm * Update CrunchDAOSignalExportDemonstrationAlgorithm * Update NumeraiPortfolioSignalExportDemonstrationAlgorithm * Update NumeraiSignalExportDemonstrationAlgorithm * Address peer review * Add logic to handle warm up * Update unit test statistics
98 lines
4.5 KiB
Python
98 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 AlgorithmImports import *
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### <summary>
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### This algorithm sends a list of portfolio targets from algorithm's Portfolio
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### to Numerai API every time the ema indicators crosses between themselves.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="securities and portfolio" />
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class NumeraiPortfolioSignalExportDemonstrationAlgorithm(QCAlgorithm):
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def Initialize(self):
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''' Initialize the date and add all equity symbols present in list _symbols '''
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self.SetStartDate(2013, 10, 7) #Set Start Date
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self.SetEndDate(2013, 10, 11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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self.symbols = ["SPY", "AIG", "GOOGL", "AAPL", "AMZN", "TSLA", "NFLX", "INTC", "MSFT", "KO", "WMT", "IBM", "AMGN", "CAT"] # Numerai accepts minimum 10 signals
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for ticker in self.symbols:
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self.AddEquity(ticker)
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self.fast = self.EMA("SPY", 10)
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self.slow = self.EMA("SPY", 100)
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# Initialize these flags, to check when the ema indicators crosses between themselves
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self.emaFastIsNotSet = True;
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self.emaFastWasAbove = False;
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# Set Numerai signal export provider
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# Numerai Public ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a API key. See (https://signals.numer.ai/account)
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self.numeraiPublicId = ""
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# Numerai Public ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a API key. See (https://signals.numer.ai/account)
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self.numeraiSecretId = ""
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# Numerai Model ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a model. See (https://signals.numer.ai/models)
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self.numeraiModelId = ""
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self.numeraiFilename = "" # Replace this values with your submission filename (Optional)
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self.SignalExport.AddSignalExportProviders(NumeraiSignalExport(self.numeraiPublicId, self.numeraiSecretId, self.numeraiModelId, self.numeraiFilename))
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self.first_call = True
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self.SetWarmUp(100)
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def OnData(self, data):
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''' Reduce the quantity of holdings for one security and increase the holdings to the another
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one when the EMA's indicators crosses between themselves, then send a signal to Numerai API '''
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if self.IsWarmingUp: return
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# Place an order as soon as possible to send a signal.
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if self.first_call:
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self.SetHoldings("SPY", 0.1)
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self.SignalExport.SetTargetPortfolioFromPortfolio()
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self.first_call = False
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fast = self.fast.Current.Value
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slow = self.slow.Current.Value
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# Set the value of flag _emaFastWasAbove, to know when the ema indicators crosses between themselves
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# Additionally, set an initial holding quantity for each symbol. This is done because Numerai only
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# accept signals between 0 and 1 (exclusive)
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if self.emaFastIsNotSet == True:
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if fast > slow *1.001:
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self.emaFastWasAbove = True
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else:
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self.emaFastWasAbove = False
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self.emaFastIsNotSet = False;
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for symbol in self.symbols:
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self.SetHoldings(symbol, 0.05)
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# Check whether ema fast and ema slow crosses. If they do, set holdings to SPY
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# or reduce its holdings, and send signals to Numerai API from your Portfolio
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if fast > slow * 1.001 and (not self.emaFastWasAbove):
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self.SetHoldings("SPY", 0.1)
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self.SignalExport.SetTargetPortfolioFromPortfolio()
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elif fast < slow * 0.999 and (self.emaFastWasAbove):
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self.SetHoldings("SPY", 0.01)
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self.SignalExport.SetTargetPortfolioFromPortfolio()
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