snugs
64 lines
2.0 KiB
C#
64 lines
2.0 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Indicators;
|
|
using QuantConnect.Parameters;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
public class ParameterizedAlgorithm : QCAlgorithm
|
|
{
|
|
// we place attributes on top of our fields or properties that should receive
|
|
// their values from the job. The values 100 and 200 are just default values that
|
|
// or only used if the parameters do not exist
|
|
[Parameter("ema-fast")]
|
|
public int FastPeriod = 100;
|
|
|
|
[Parameter("ema-slow")]
|
|
public int SlowPeriod = 200;
|
|
|
|
public ExponentialMovingAverage Fast;
|
|
public ExponentialMovingAverage Slow;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 10, 07);
|
|
SetEndDate(2013, 10, 11);
|
|
SetCash(100*1000);
|
|
|
|
AddSecurity(SecurityType.Equity, "SPY");
|
|
|
|
Fast = EMA("SPY", FastPeriod);
|
|
Slow = EMA("SPY", SlowPeriod);
|
|
}
|
|
|
|
public void OnData(TradeBars data)
|
|
{
|
|
// wait for our indicators to ready
|
|
if (!Fast.IsReady || !Slow.IsReady) return;
|
|
|
|
if (Fast > Slow*1.001m)
|
|
{
|
|
SetHoldings("SPY", 1);
|
|
}
|
|
else if (Fast < Slow*0.999m)
|
|
{
|
|
Liquidate("SPY");
|
|
}
|
|
}
|
|
}
|
|
}
|