AnshulYADAV, Computer Artist (CoArsey)
81 lines
2.9 KiB
C#
81 lines
2.9 KiB
C#
/*
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* 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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*/
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using System;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.Examples
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{
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/// <summary>
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/// MACD Example Algorithm
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/// </summary>
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public class MACDTrendAlgorithm : QCAlgorithm
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{
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private DateTime previous;
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private MovingAverageConvergenceDivergence macd;
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private string symbol = "SPY";
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/// <summary>
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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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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2004, 01, 01);
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SetEndDate(2015, 01, 01);
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AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
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// define our daily macd(12,26) with a 9 day signal
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macd = MACD(symbol, 9, 26, 9, MovingAverageType.Exponential, Resolution.Daily);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">TradeBars IDictionary object with your stock data</param>
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public void OnData(TradeBars data)
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{
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// only once per day
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if (previous.Date == Time.Date) return;
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if (!macd.IsReady) return;
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var holding = Portfolio[symbol];
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decimal signalDeltaPercent = (macd - macd.Signal)/macd.Fast;
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var tolerance = 0.0025m;
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// if our macd is greater than our signal, then let's go long
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if (holding.Quantity <= 0 && signalDeltaPercent > tolerance) // 0.01%
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{
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// longterm says buy as well
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SetHoldings(symbol, 1.0);
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}
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// of our macd is less than our signal, then let's go short
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else if (holding.Quantity >= 0 && signalDeltaPercent < -tolerance)
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{
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Liquidate(symbol);
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}
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// plot both lines
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Plot("MACD", macd, macd.Signal);
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Plot(symbol, "Open", data[symbol].Open);
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Plot(symbol, macd.Fast, macd.Slow);
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previous = Time;
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}
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}
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} |