wehub-resource-sync
292 lines
13 KiB
C#
292 lines
13 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 System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration algorithm of popular indicators and plotting them.
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/// </summary>
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="indicator classes" />
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/// <meta name="tag" content="plotting indicators" />
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/// <meta name="tag" content="charting" />
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/// <meta name="tag" content="indicator field selection" />
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public class IndicatorSuiteAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private string _ticker = "SPY";
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private string _ticker2 = "GOOG";
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private string _customTicker = "IBM";
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private Symbol _symbol;
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private Symbol _symbol2;
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private Symbol _customSymbol;
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private Indicators _indicators;
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private Indicators _selectorIndicators;
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private IndicatorBase<IndicatorDataPoint> _ratio;
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//RSI Custom Data:
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private RelativeStrengthIndex _rsiCustom;
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private Minimum _minCustom;
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private Maximum _maxCustom;
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private decimal _price;
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/// <summary>
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/// Initialize the data and resolution you require for your strategy
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/// </summary>
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public override void Initialize()
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{
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//Initialize
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SetStartDate(2013, 1, 1);
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SetEndDate(2014, 12, 31);
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SetCash(25000);
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//Add as many securities as you like. All the data will be passed into the event handler:
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_symbol = AddSecurity(SecurityType.Equity, _ticker, Resolution.Daily).Symbol;
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_symbol2 = AddSecurity(SecurityType.Equity, _ticker2, Resolution.Daily).Symbol;
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//Add the Custom Data:
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_customSymbol = AddData<CustomData>(_customTicker, Resolution.Daily).Symbol;
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//Set up default Indicators, these indicators are defined on the Value property of incoming data (except ATR and AROON which use the full TradeBar object)
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_indicators = new Indicators
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{
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BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
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RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
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ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
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EMA = EMA(_symbol, 14, Resolution.Daily),
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SMA = SMA(_symbol, 14, Resolution.Daily),
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MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
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AROON = AROON(_symbol, 20, Resolution.Daily),
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MOM = MOM(_symbol, 20, Resolution.Daily),
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MOMP = MOMP(_symbol, 20, Resolution.Daily),
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STD = STD(_symbol, 20, Resolution.Daily),
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MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
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MAX = MAX(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the max of the high property
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B = B(_symbol, _symbol2, 14),
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};
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// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
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// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
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// We'll define these 'selector' functions to select the Low value
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//
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// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
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// https://msdn.microsoft.com/en-us/library/bb397687.aspx
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//
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_selectorIndicators = new Indicators
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{
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BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
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RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
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EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
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SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
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MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
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MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
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MOMP = MOMP(_symbol, 20, Resolution.Daily, Field.Low),
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STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
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MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
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MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
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// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
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// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
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ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
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AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
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};
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//Custom Data Indicator:
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_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
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_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
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_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
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// in addition to defining indicators on a single security, you can all define 'composite' indicators.
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// these are indicators that require multiple inputs. the most common of which is a ratio.
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// suppose we seek the ratio of BTC to SPY, we could write the following:
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var spyClose = Identity(_symbol);
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var ibmClose = Identity(_customSymbol);
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// this will create a new indicator whose value is FB/SPY
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_ratio = ibmClose.Over(spyClose);
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// we can also easily plot our indicators each time they update using th PlotIndicator function
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PlotIndicator("Ratio", _ratio);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="slice">TradeBars IDictionary object with your stock data</param>
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public override void OnData(Slice slice)
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{
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if (!_indicators.BB.IsReady || !_indicators.RSI.IsReady) return;
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if (!slice.Bars.ContainsKey(_symbol))
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{
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return;
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}
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_price = slice[_symbol].Close;
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if (!Portfolio.HoldStock)
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{
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int quantity = (int)Math.Floor(Portfolio.Cash / _price);
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//Order function places trades: enter the string symbol and the quantity you want:
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Order(_symbol, quantity);
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//Debug sends messages to the user console: "Time" is the algorithm time keeper object
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Debug("Purchased SPY on " + Time.ToShortDateString());
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}
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}
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/// <summary>
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/// Fire plotting events once per day.
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/// </summary>
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public override void OnEndOfDay(Symbol symbol)
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{
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if (symbol != _symbol) return;
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if (!_indicators.BB.IsReady) return;
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Plot("BB", "Price", _price);
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Plot("BB", _indicators.BB.UpperBand, _indicators.BB.MiddleBand, _indicators.BB.LowerBand);
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Plot("RSI", _indicators.RSI);
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//Custom data indicator
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Plot("RSI-BTC", _rsiCustom);
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Plot("ATR", _indicators.ATR);
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Plot("STD", _indicators.STD);
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Plot("AROON", _indicators.AROON.AroonUp, _indicators.AROON.AroonDown);
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// The following Plot method calls are commented out because of the 10 series limit for backtests
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//Plot("MOM", _indicators.MOM);
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//Plot("MOMP", _indicators.MOMP);
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//Plot("MACD", "Price", _price);
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//Plot("MACD", _indicators.MACD.Fast, _indicators.MACD.Slow, _indicators.MACD.Signal);
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//Plot("Averages", _indicators.EMA, _indicators.SMA);
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}
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/// <summary>
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/// Class to hold a bunch of different indicators for this example
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/// </summary>
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private class Indicators
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{
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public BollingerBands BB;
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public SimpleMovingAverage SMA;
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public ExponentialMovingAverage EMA;
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public RelativeStrengthIndex RSI;
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public AverageTrueRange ATR;
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public StandardDeviation STD;
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public AroonOscillator AROON;
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public Momentum MOM;
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public MomentumPercent MOMP;
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public MovingAverageConvergenceDivergence MACD;
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public Minimum MIN;
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public Maximum MAX;
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public Beta B;
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}
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/// <summary>
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/// Function used to select a trade bar that has double the values of the input trade bar
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/// </summary>
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private static TradeBar SelectorDoubleTradeBar(IBaseData baseData)
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{
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var bar = (TradeBar)baseData;
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return new TradeBar
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{
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Close = 2 * bar.Close,
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DataType = bar.DataType,
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High = 2 * bar.High,
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Low = 2 * bar.Low,
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Open = 2 * bar.Open,
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Symbol = bar.Symbol,
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Time = bar.Time,
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Value = 2 * bar.Value,
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Volume = 2 * bar.Volume,
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Period = bar.Period
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};
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 4732;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "19.346%"},
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{"Drawdown", "7.300%"},
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{"Expectancy", "0"},
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{"Start Equity", "25000"},
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{"End Equity", "35608.77"},
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{"Net Profit", "42.435%"},
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{"Sharpe Ratio", "1.387"},
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{"Sortino Ratio", "1.521"},
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{"Probabilistic Sharpe Ratio", "68.939%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.015"},
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{"Beta", "0.963"},
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{"Annual Standard Deviation", "0.092"},
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{"Annual Variance", "0.008"},
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{"Information Ratio", "-1.17"},
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{"Tracking Error", "0.018"},
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{"Treynor Ratio", "0.132"},
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{"Total Fees", "$1.00"},
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{"Estimated Strategy Capacity", "$680000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.14%"},
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{"Drawdown Recovery", "50"},
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{"OrderListHash", "7d49829d56cb3055b5f609a91b85fe4d"}
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};
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}
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}
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