Jing Wu
68 lines
2.8 KiB
Python
68 lines
2.8 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("System.Collections")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Indicators")
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AddReference("QuantConnect.Common")
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from System import *
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from System.Collections.Generic import List
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Indicators import *
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import numpy as np
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import decimal as d
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from datetime import timedelta, datetime
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class RegressionChannelAlgorithm(QCAlgorithm):
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''' Regression Channel algorithm simply initializes the date range and cash '''
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def Initialize(self):
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self.SetCash(100000)
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self.SetStartDate(2009,1,1)
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self.SetEndDate(2015,1,1)
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equity = self.AddEquity("SPY", Resolution.Minute)
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self._spy = equity.Symbol
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self._holdings = equity.Holdings
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self._rc = self.RC(self._spy, 30, 2, Resolution.Daily)
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stockPlot = Chart("Trade Plot")
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stockPlot.AddSeries(Series("Buy", SeriesType.Scatter, 0))
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stockPlot.AddSeries(Series("Sell", SeriesType.Scatter, 0))
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stockPlot.AddSeries(Series("UpperChannel", SeriesType.Line, 0))
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stockPlot.AddSeries(Series("LowerChannel", SeriesType.Line, 0))
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stockPlot.AddSeries(Series("Regression", SeriesType.Line, 0))
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self.AddChart(stockPlot)
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def OnData(self, data):
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if (not self._rc.IsReady) or (not data.ContainsKey(self._spy)): return
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if data[self._spy] is None: return
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value = data[self._spy].Value
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if self._holdings.Quantity <= 0 and value < self._rc.LowerChannel.Current.Value:
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self.SetHoldings(self._spy, 1)
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self.Plot("Trade Plot", "Buy", value)
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if self._holdings.Quantity >= 0 and value > self._rc.UpperChannel.Current.Value:
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self.SetHoldings(self._spy, -1)
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self.Plot("Trade Plot", "Sell", value)
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def OnEndOfDay(self):
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self.Plot("Trade Plot", "UpperChannel", self._rc.UpperChannel.Current.Value)
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self.Plot("Trade Plot", "LowerChannel", self._rc.LowerChannel.Current.Value)
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self.Plot("Trade Plot", "Regression", self._rc.LinearRegression.Current.Value) |