chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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 System;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Uses daily data and a simple moving average cross to place trades and an ema for stop placement
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="indicators" />
+    /// <meta name="tag" content="trading and orders" />
+    public class DailyAlgorithm : QCAlgorithm
+    {
+        private DateTime _lastAction;
+        private MovingAverageConvergenceDivergence _macd;
+        private ExponentialMovingAverage _ema;
+        private readonly Symbol _ibm = QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA);
+        private readonly Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 01, 01);  //Set Start Date
+            SetEndDate(2014, 01, 01);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+
+            // Find more symbols here: http://quantconnect.com/data
+            AddSecurity(SecurityType.Equity, "IBM", Resolution.Hour);
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
+
+            _macd = MACD(_spy, 12, 26, 9, MovingAverageType.Wilders, Resolution.Daily, Field.Close);
+            _ema = EMA(_ibm, 15*6, Resolution.Hour, Field.SevenBar);
+
+            Securities[_ibm].SetLeverage(1.0m);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">TradeBars IDictionary object with your stock data</param>
+        public void OnData(TradeBars data)
+        {
+            if (!_macd.IsReady) return;
+            if (!data.ContainsKey(_ibm)) return;
+            if (_lastAction.Date == Time.Date) return;
+            _lastAction = Time;
+
+            var holding = Portfolio[_spy];
+            if (holding.Quantity <= 0 && _macd > _macd.Signal && data[_ibm].Price > _ema)
+            {
+                SetHoldings(_ibm, 0.25m);
+            }
+            else if (holding.Quantity >= 0 && _macd < _macd.Signal && data[_ibm].Price < _ema)
+            {
+                SetHoldings(_ibm, -0.25m);
+            }
+        }
+    }
+}