Gerardo Salazar
60 lines
2.6 KiB
Python
60 lines
2.6 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.Data.Custom.PsychSignal import PsychSignalSentimentData
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### <summary>
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### This example algorithm shows how to import and use psychsignal sentiment data
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### </summary>
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### <meta name="tag" content="strategy example" />
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="psychsignal" />
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### <meta name="tag" content="sentiment" />
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class PsychSignalSentimentRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialize the algorithm with our custom data'''
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self.SetStartDate(2019, 6, 3)
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self.SetEndDate(2019, 6, 9)
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self.SetCash(100000)
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self.ticker = "AAPL"
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# Find more symbols here: http://quantconnect.com/data
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self.AddData(PsychSignalSentimentData, self.ticker)
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self.symbol = self.AddEquity(self.ticker).Symbol
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def OnData(self, slice):
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'''Loads each new data point into the algorithm. On sentiment data, we place orders depending on the sentiment'''
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for message in slice.Values:
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# Price data can be lumped in with the values. We only want to work with
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# sentiment data, so we filter out any TradeBars that might make their way in here
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if not isinstance(message, PsychSignalSentimentData):
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return
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if not self.Portfolio.Invested and len(self.Transactions.GetOpenOrders()) == 0 and slice.ContainsKey(self.symbol) and message.BullIntensity > 1.5 and message.BullScoredMessages > 3.0:
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self.SetHoldings(self.symbol, 0.25)
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elif self.Portfolio.Invested and message.BearIntensity > 1.5 and message.BearScoredMessages > 3.0:
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self.Liquidate(self.symbol)
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