Jing Wu
57 lines
2.4 KiB
Python
57 lines
2.4 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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AddReference("QuantConnect.Indicators")
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from System import *
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from QuantConnect import *
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from QuantConnect.Indicators import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Algorithm import *
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import numpy as np
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from datetime import datetime
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class IndicatorRibbonBenchmark(QCAlgorithm):
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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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def Initialize(self):
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self.SetStartDate(2010, 1, 1) #Set Start Date
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self.SetEndDate(2018, 1, 1) #Set End Date
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self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
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count = 50
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offset = 5
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period = 15
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self.ribbon = []
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# define our sma as the base of the ribbon
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self.sma = SimpleMovingAverage(period)
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for x in range(count):
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# define our offset to the zero sma, these various offsets will create our 'displaced' ribbon
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delay = Delay(offset*(x+1))
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# define an indicator that takes the output of the sma and pipes it into our delay indicator
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delayedSma = IndicatorExtensions.Of(delay, self.sma)
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# register our new 'delayedSma' for automaic updates on a daily resolution
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self.RegisterIndicator(self.spy, delayedSma, Resolution.Daily)
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self.ribbon.append(delayedSma)
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def OnData(self, data):
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# wait for our entire ribbon to be ready
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if not all(x.IsReady for x in self.ribbon): return
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for x in self.ribbon:
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value = x.Current.Value |