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 System.Linq;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// In this example we look at the canonical 15/30 day moving average cross. This algorithm
+    /// will go long when the 15 crosses above the 30 and will liquidate when the 15 crosses
+    /// back below the 30.
+    /// </summary>
+    /// <meta name="tag" content="indicators" />
+    /// <meta name="tag" content="indicator classes" />
+    /// <meta name="tag" content="moving average cross" />
+    /// <meta name="tag" content="strategy example" />
+    public class MovingAverageCrossAlgorithm : QCAlgorithm
+    {
+        private string _symbol = "SPY";
+        private DateTime _previous;
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+        private SimpleMovingAverage[] _ribbon;
+
+        /// <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()
+        {
+            // set up our analysis span
+            SetStartDate(2009, 01, 01);
+            SetEndDate(2015, 01, 01);
+
+            // request SPY data with minute resolution
+            AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
+
+            // create a 15 day exponential moving average
+            _fast = EMA(_symbol, 15, Resolution.Daily);
+
+            // create a 30 day exponential moving average
+            _slow = EMA(_symbol, 30, Resolution.Daily);
+
+            var ribbonCount = 8;
+            var ribbonInterval = 15;
+            _ribbon = Enumerable.Range(0, ribbonCount).Select(x => SMA(_symbol, (x + 1)*ribbonInterval, Resolution.Daily)).ToArray();
+        }
+
+
+        /// <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)
+        {
+            // a couple things to notice in this method:
+            //  1. We never need to 'update' our indicators with the data, the engine takes care of this for us
+            //  2. We can use indicators directly in math expressions
+            //  3. We can easily plot many indicators at the same time
+
+            // wait for our slow ema to fully initialize
+            if (!_slow.IsReady) return;
+
+            // only once per day
+            if (_previous.Date == Time.Date) return;
+
+            // define a small tolerance on our checks to avoid bouncing
+            const decimal tolerance = 0.00015m;
+            var holdings = Portfolio[_symbol].Quantity;
+
+            // we only want to go long if we're currently short or flat
+            if (holdings <= 0)
+            {
+                // if the fast is greater than the slow, we'll go long
+                if (_fast > _slow * (1 + tolerance))
+                {
+                    Log("BUY  >> " + Securities[_symbol].Price);
+                    SetHoldings(_symbol, 1.0);
+                }
+            }
+
+            // we only want to liquidate if we're currently long
+            // if the fast is less than the slow we'll liquidate our long
+            if (holdings > 0 && _fast < _slow)
+            {
+                Log("SELL >> " + Securities[_symbol].Price);
+                Liquidate(_symbol);
+            }
+
+            Plot(_symbol, "Price", data[_symbol].Price);
+
+            // easily plot indicators, the series name will be the name of the indicator
+            Plot(_symbol, _fast, _slow);
+            Plot("Ribbon", _ribbon);
+
+            _previous = Time;
+        }
+    }
+}