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
93 lines
4.0 KiB
Python
93 lines
4.0 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 current portfolio target to CrunchDAO API every time
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### 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 CrunchDAOSignalExportDemonstrationAlgorithm(QCAlgorithm):
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def Initialize(self):
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''' Initialize the date and add one equity symbol, as CrunchDAO only accepts stock and index 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.spy = self.AddEquity("SPY").Symbol;
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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 the CrunchDAO signal export provider
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# CrunchDAO API key: This value is provided by CrunchDAO when you sign up
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self.crunchDAOApiKey = ""
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# CrunchDAO Model ID: When your email is verified, you can find this value in your CrunchDAO profile main page: https://tournament.crunchdao.com/profile/alpha
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self.crunchDAOModel = ""
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# Replace this value with the name for your submission (Optional)
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self.crunchDAOSubmissionName = ""
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# Replace this value with a comment for your submission (Optional)
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self.crunchDAOComment = ""
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self.SignalExport.AddSignalExportProviders(CrunchDAOSignalExport(self.crunchDAOApiKey, self.crunchDAOModel, self.crunchDAOSubmissionName, self.crunchDAOComment))
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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 spy or increase it when the EMA's indicators crosses
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between themselves, then send a signal to CrunchDAO 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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target = PortfolioTarget(self.spy, 0.1)
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self.SignalExport.SetTargetPortfolio(target)
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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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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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# Check whether ema fast and ema slow crosses. If they do, set holdings to SPY
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# or reduce its holdings,update its value in self.target and send signals
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# to the CrunchDAO API from self.target
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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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target = PortfolioTarget(self.spy, 0.1)
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self.SignalExport.SetTargetPortfolio(target)
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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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target = PortfolioTarget(self.spy, 0.01)
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self.SignalExport.SetTargetPortfolio(target)
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