wehub-resource-sync
105 lines
3.9 KiB
C#
105 lines
3.9 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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*/
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using System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// EMA cross with SP500 E-mini futures
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/// In this example, we demostrate how to trade futures contracts using
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/// a equity to generate the trading signals
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/// It also shows how you can prefilter contracts easily based on expirations.
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/// It also shows how you can inspect the futures chain to pick a specific contract to trade.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="futures" />
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="strategy example" />
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public class FuturesMomentumAlgorithm : QCAlgorithm
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{
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private const decimal _tolerance = 0.001m;
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private const int _fastPeriod = 20;
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private const int _slowPeriod = 60;
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private ExponentialMovingAverage _fast;
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private ExponentialMovingAverage _slow;
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public bool IsReady { get { return _fast.IsReady && _slow.IsReady; } }
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public bool IsUpTrend { get { return IsReady && _fast > _slow * (1 + _tolerance); } }
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public bool IsDownTrend { get { return IsReady && _fast < _slow * (1 + _tolerance); } }
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public override void Initialize()
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{
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SetStartDate(2016, 1, 1);
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SetEndDate(2016, 8, 18);
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SetCash(100000);
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SetWarmUp(Math.Max(_fastPeriod, _slowPeriod));
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// Adds SPY to be used in our EMA indicators
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var equity = AddEquity("SPY", Resolution.Daily);
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_fast = EMA(equity.Symbol, _fastPeriod, Resolution.Daily);
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_slow = EMA(equity.Symbol, _slowPeriod, Resolution.Daily);
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// Adds the future that will be traded and
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// set our expiry filter for this futures chain
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var future = AddFuture(Futures.Indices.SP500EMini);
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future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
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}
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested && IsUpTrend)
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{
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foreach (var chain in slice.FutureChains)
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{
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// find the front contract expiring no earlier than in 90 days
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var contract = (
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from futuresContract in chain.Value.OrderBy(x => x.Expiry)
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where futuresContract.Expiry > Time.Date.AddDays(90)
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select futuresContract
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).FirstOrDefault();
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// if found, trade it
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if (contract != null)
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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}
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if (Portfolio.Invested && IsDownTrend)
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{
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Liquidate();
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}
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}
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public override void OnEndOfDay(Symbol symbol)
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{
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Plot("Indicator Signal", "EOD", IsDownTrend ? -1 : IsUpTrend ? 1 : 0);
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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}
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} |