Jing Wu
79 lines
3.5 KiB
Python
79 lines
3.5 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.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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from QuantConnect.Securities import *
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from datetime import timedelta
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import decimal as d
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import numpy as np
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class FuturesMomentumAlgorithm(QCAlgorithm):
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''' EMA cross with S&P 500 E-mini futures
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In this example, we demostrate how to trade futures contracts using
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a equity to generate the trading signals
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It also shows how you can prefilter contracts easily based on expirations.
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It also shows how you can inspect the futures chain to pick a specific contract to trade. '''
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def Initialize(self):
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self.SetStartDate(2016, 1, 1)
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self.SetEndDate(2016, 8, 18)
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self.SetCash(100000)
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fastPeriod = 20
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slowPeriod = 60
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self._tolerance = 0.001
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self.SetWarmUp(max(fastPeriod, slowPeriod))
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# Adds SPY to be used in our EMA indicators
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equity = self.AddEquity("SPY", Resolution.Daily)
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self._fast = self.EMA(equity.Symbol, fastPeriod, Resolution.Daily)
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self._slow = self.EMA(equity.Symbol, slowPeriod, Resolution.Daily)
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# Adds the future that will be traded and
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# set our expiry filter for this futures chain
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future = self.AddFuture(Futures.Indices.SP500EMini)
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future.SetFilter(timedelta(0), timedelta(182))
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def OnData(self, slice):
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if self._slow.IsReady and self._fast.IsReady:
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self.IsUpTrend = self._fast.Current.Value > self._slow.Current.Value * d.Decimal(1 + self._tolerance)
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self.IsDownTrend = self._fast.Current.Value < self._slow.Current.Value * d.Decimal(1 + self._tolerance)
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if (not self.Portfolio.Invested) and self.IsUpTrend:
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for chain in slice.FuturesChains:
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# find the front contract expiring no earlier than in 90 days
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contracts = filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value)
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# if there is any contract, trade the front contract
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if len(contracts) == 0: continue
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contract = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]
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self.MarketOrder(contract.Symbol , 1)
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if self.Portfolio.Invested and self.IsDownTrend:
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self.Liquidate()
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def OnEndOfDay(self):
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if self.IsUpTrend:
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self.Plot("Indicator Signal", "EOD",1)
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elif self.IsDownTrend:
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self.Plot("Indicator Signal", "EOD",-1)
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else:
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self.Plot("Indicator Signal", "EOD",0)
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent)) |