wehub-resource-sync
59 lines
2.6 KiB
Python
59 lines
2.6 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 Channel algorithm simply initializes the date range and cash
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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="placing orders" />
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### <meta name="tag" content="plotting indicators" />
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class RegressionChannelAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_cash(100000)
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self.set_start_date(2009,1,1)
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self.set_end_date(2015,1,1)
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equity = self.add_equity("SPY", Resolution.MINUTE)
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self._spy = equity.symbol
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self._holdings = equity.holdings
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self._rc = self.rc(self._spy, 30, 2, Resolution.DAILY)
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stock_plot = Chart("Trade Plot")
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stock_plot.add_series(Series("Buy", SeriesType.SCATTER, 0))
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stock_plot.add_series(Series("Sell", SeriesType.SCATTER, 0))
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stock_plot.add_series(Series("UpperChannel", SeriesType.LINE, 0))
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stock_plot.add_series(Series("LowerChannel", SeriesType.LINE, 0))
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stock_plot.add_series(Series("Regression", SeriesType.LINE, 0))
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self.add_chart(stock_plot)
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def on_data(self, data):
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if (not self._rc.is_ready) or (not data.contains_key(self._spy)): return
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if data[self._spy] is None: return
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value = data[self._spy].value
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if self._holdings.quantity <= 0 and value < self._rc.lower_channel.current.value:
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self.set_holdings(self._spy, 1)
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self.plot("Trade Plot", "Buy", value)
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if self._holdings.quantity >= 0 and value > self._rc.upper_channel.current.value:
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self.set_holdings(self._spy, -1)
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self.plot("Trade Plot", "Sell", value)
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def on_end_of_day(self, symbol):
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self.plot("Trade Plot", "UpperChannel", self._rc.upper_channel.current.value)
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self.plot("Trade Plot", "LowerChannel", self._rc.lower_channel.current.value)
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self.plot("Trade Plot", "Regression", self._rc.linear_regression.current.value)
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