AlexCatarino
fd461ed252
We are not using python lists instead of generator (yield) because we get better exception information in this case. The aim is to lead users to avoid using generators and/or know its limitations.
111 lines
4.9 KiB
Python
111 lines
4.9 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("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm.Framework")
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AddReference("QuantConnect.Indicators")
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from QuantConnect import *
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from QuantConnect.Indicators import *
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from QuantConnect.Algorithm.Framework.Alphas import *
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class MacdAlphaModel:
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'''Defines a custom alpha model that uses MACD crossovers. The MACD signal line
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is used to generate up/down insights if it's stronger than the bounce threshold.
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If the MACD signal is within the bounce threshold then a flat price insight is returned.'''
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def __init__(self,
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fastPeriod = 12,
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slowPeriod = 26,
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signalPeriod = 9,
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movingAverageType = MovingAverageType.Exponential,
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resolution = Resolution.Daily):
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''' Initializes a new instance of the MacdAlphaModel class
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Args:
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fastPeriod: The MACD fast period
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slowPeriod: The MACD slow period</param>
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signalPeriod: The smoothing period for the MACD signal
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movingAverageType: The type of moving average to use in the MACD'''
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self.fastPeriod = fastPeriod
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self.slowPeriod = slowPeriod
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self.signalPeriod = signalPeriod
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self.movingAverageType = movingAverageType
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self.resolution = resolution
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self.insightPeriod = Time.Multiply(Extensions.ToTimeSpan(resolution), fastPeriod)
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self.bounceThresholdPercent = 0.01
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self.symbolData = {};
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resolutionString = Extensions.GetEnumString(resolution, Resolution)
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movingAverageTypeString = Extensions.GetEnumString(movingAverageType, MovingAverageType)
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self.Name = '{}({},{},{},{},{})'.format(self.__class__.__name__, fastPeriod, slowPeriod, signalPeriod, movingAverageTypeString, resolutionString)
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def Update(self, algorithm, data):
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''' Determines an insight for each security based on it's current MACD signal
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Args:
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algorithm: The algorithm instance
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data: The new data available
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Returns:
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The new insights generated'''
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insights = []
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for key, sd in self.symbolData.items():
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if sd.Security.Price == 0:
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continue
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direction = InsightDirection.Flat
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normalized_signal = sd.MACD.Signal.Current.Value / sd.Security.Price
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if normalized_signal > self.bounceThresholdPercent:
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direction = InsightDirection.Up
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elif normalized_signal < -self.bounceThresholdPercent:
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direction = InsightDirection.Down
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# ignore signal for same direction as previous signal
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if direction == sd.PreviousDirection:
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continue;
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insight = Insight.Price(sd.Security.Symbol, self.insightPeriod, direction)
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sd.PreviousDirection = insight.Direction
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insights.append(insight)
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return insights
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def OnSecuritiesChanged(self, algorithm, changes):
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'''Event fired each time the we add/remove securities from the data feed.
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This initializes the MACD for each added security and cleans up the indicator for each removed security.
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Args:
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algorithm: The algorithm instance that experienced the change in securities
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changes: The security additions and removals from the algorithm'''
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for added in changes.AddedSecurities:
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self.symbolData[added.Symbol] = SymbolData(algorithm, added, self.fastPeriod, self.slowPeriod, self.signalPeriod, self.movingAverageType, self.resolution)
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for removed in changes.RemovedSecurities:
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data = self.symbolData.pop(removed.Symbol, None)
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if data is not None:
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# clean up our consolidator
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algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, data.Consolidator);
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class SymbolData:
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def __init__(self, algorithm, security, fastPeriod, slowPeriod, signalPeriod, movingAverageType, resolution):
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self.Security = security
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self.MACD = MovingAverageConvergenceDivergence(fastPeriod, slowPeriod, signalPeriod, movingAverageType)
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self.Consolidator = algorithm.ResolveConsolidator(security.Symbol, resolution)
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algorithm.RegisterIndicator(security.Symbol, self.MACD, self.Consolidator)
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self.PreviousDirection = None
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