Jared Broad
69 lines
2.3 KiB
C#
69 lines
2.3 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 QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Parameters;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration of the parameter system of QuantConnect. Using parameters you can pass the values required into C# algorithms for optimization.
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/// </summary>
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/// <meta name="tag" content="optimization" />
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/// <meta name="tag" content="using quantconnect" />
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public class ParameterizedAlgorithm : QCAlgorithm
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{
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// we place attributes on top of our fields or properties that should receive
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// their values from the job. The values 100 and 200 are just default values that
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// or only used if the parameters do not exist
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[Parameter("ema-fast")]
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public int FastPeriod = 100;
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[Parameter("ema-slow")]
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public int SlowPeriod = 200;
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public ExponentialMovingAverage Fast;
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public ExponentialMovingAverage Slow;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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SetCash(100*1000);
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AddSecurity(SecurityType.Equity, "SPY");
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Fast = EMA("SPY", FastPeriod);
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Slow = EMA("SPY", SlowPeriod);
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}
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public void OnData(TradeBars data)
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{
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// wait for our indicators to ready
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if (!Fast.IsReady || !Slow.IsReady) return;
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if (Fast > Slow*1.001m)
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{
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SetHoldings("SPY", 1);
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}
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else if (Fast < Slow*0.999m)
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{
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Liquidate("SPY");
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}
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}
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}
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}
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