Jhonathan Abreu
501dc01399
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Implement indicator history through a rolling window * Minor changes and extend unit tests * Add regression algorithms * Minor changes * Update regression algorithms examples * Move resizing logic from IndicatorBase to RollingWindow * Add unit tests and other minor changes * Minor fix * Add unit tests and other minor changes * Add unit test
59 lines
2.9 KiB
Python
59 lines
2.9 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Demonstration algorithm of indicators history window usage
|
|
### </summary>
|
|
class IndicatorHistoryAlgorithm(QCAlgorithm):
|
|
'''Demonstration algorithm of indicators history window usage.'''
|
|
|
|
def Initialize(self):
|
|
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
self.SetStartDate(2013, 1, 1)
|
|
self.SetEndDate(2014, 12, 31)
|
|
self.SetCash(25000)
|
|
|
|
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
|
|
|
|
self.bollingerBands = self.BB(self.symbol, 20, 2.0, resolution=Resolution.Daily)
|
|
# Let's keep BB values for a 20 day period
|
|
self.bollingerBands.Window.Size = 20
|
|
# Also keep the same period of data for the middle band
|
|
self.bollingerBands.MiddleBand.Window.Size = 20;
|
|
|
|
def OnData(self, slice: Slice):
|
|
# Let's wait for our indicator to fully initialize and have a full window of history data
|
|
if not self.bollingerBands.Window.IsReady: return
|
|
|
|
# We can access the current and oldest (in our period) values of the indicator
|
|
self.Log(f"Current BB value: {self.bollingerBands[0].EndTime} - {self.bollingerBands[0].Value}")
|
|
self.Log(f"Oldest BB value: {self.bollingerBands[self.bollingerBands.Window.Count - 1].EndTime} - "
|
|
f"{self.bollingerBands[self.bollingerBands.Window.Count - 1].Value}")
|
|
|
|
# Let's log the BB values for the last 20 days, for demonstration purposes on how it can be enumerated
|
|
for dataPoint in self.bollingerBands:
|
|
self.Log(f"BB @{dataPoint.EndTime}: {dataPoint.Value}")
|
|
|
|
# We can also do the same for internal indicators:
|
|
middleBand = self.bollingerBands.MiddleBand
|
|
self.Log(f"Current BB Middle Band value: {middleBand[0].EndTime} - {middleBand[0].Value}")
|
|
self.Log(f"Oldest BB Middle Band value: {middleBand[middleBand.Window.Count - 1].EndTime} - "
|
|
f"{middleBand[middleBand.Window.Count - 1].Value}")
|
|
for dataPoint in middleBand:
|
|
self.Log(f"BB Middle Band @{dataPoint.EndTime}: {dataPoint.Value}")
|
|
|
|
# We are done now!
|
|
self.Quit()
|