Daniel Chen
94 lines
3.1 KiB
Python
94 lines
3.1 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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import clr
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clr.AddReference("System")
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clr.AddReference("QuantConnect.Algorithm")
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clr.AddReference("QuantConnect.Common")
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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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import numpy as np
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from sklearn.linear_model import LinearRegression
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class ScikitLearnLinearRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 7) # Set Start Date
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self.SetEndDate(2013, 10, 8) # Set End Date
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self.lookback = 30
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self.SetCash(100000) # Set Strategy Cash
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spy = self.AddEquity("SPY", Resolution.Minute)
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self.symbols = [ spy.Symbol ]
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self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 28), Action(self.Regression))
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self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 30), Action(self.Trade))
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def OnData(self, data):
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pass
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def Regression(self):
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history = self.History(self.symbols, self.lookback, Resolution.Daily)
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self.prices = {}
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self.slopes = {}
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for symbol in self.symbols:
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if not history.empty:
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self.prices[symbol.Value] = list(history.loc[symbol.Value]['open'])
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A = range(self.lookback + 1)
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for symbol in self.symbols:
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if symbol.Value in self.prices:
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Y = self.prices[symbol.Value]
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X = np.column_stack([np.ones(len(A)), A])
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length = min(len(X), len(Y))
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X = X[-length:]
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Y = Y[-length:]
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A = A[-length:]
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reg = LinearRegression().fit(X, Y)
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# run linear regression y = ax + b
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b = reg.intercept_
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a = reg.coef_[1]
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self.slopes[symbol] = a/b
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def Trade(self):
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if not self.prices:
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return
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thod_buy = 0.001
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thod_liquidate = -0.001
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# liquidate
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for i in self.Portfolio.Values:
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slope = self.slopes[i.Symbol]
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if i.Invested and slope < thod_liquidate:
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self.Liquidate(i.Symbol)
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# buy
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for symbol in self.symbols:
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if self.slopes[symbol] > thod_buy:
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self.SetHoldings(symbol, 1 / len(self.symbols)) |