wehub-resource-sync
45 lines
2.2 KiB
Python
45 lines
2.2 KiB
Python
# 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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from AlgorithmImports import *
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# <summary>
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# Regression algorithm to test the behaviour of ARMA versus AR models at the same order of differencing.
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# In particular, an ARIMA(1,1,1) and ARIMA(1,1,0) are instantiated while orders are placed if their difference
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# is sufficiently large (which would be due to the inclusion of the MA(1) term).
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# </summary>
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class AutoRegressiveIntegratedMovingAverageRegressionAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.set_start_date(2013, 1, 7)
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self.set_end_date(2013, 12, 11)
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self.settings.automatic_indicator_warm_up = True
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self.add_equity("SPY", Resolution.DAILY)
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self._arima = self.arima("SPY", 1, 1, 1, 50)
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self._ar = self.arima("SPY", 1, 1, 0, 50)
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self._last = None
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def on_data(self, data: Slice) -> None:
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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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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if self._arima.is_ready:
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if abs(self._arima.current.value - self._ar.current.value) > 1:
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if self._arima.current.value > self._last:
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self.market_order("SPY", 1)
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else:
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self.market_order("SPY", -1)
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self._last = self._arima.current.value
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