wehub-resource-sync
89 lines
3.6 KiB
C#
89 lines
3.6 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 QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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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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public class RegressionChannelAlgorithm : QCAlgorithm
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{
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private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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private SecurityHolding _holdings;
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private RegressionChannel _rc;
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/// <summary>
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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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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2009, 1, 1); //Set Start Date
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SetEndDate(2015, 1, 1); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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var equity = AddEquity(_spy, Resolution.Minute);
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_holdings = equity.Holdings;
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_rc = RC(_spy, 30, 2, Resolution.Daily);
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var stockPlot = new Chart("Trade Plot");
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stockPlot.AddSeries(new Series("Buy", SeriesType.Scatter, 0));
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stockPlot.AddSeries(new Series("Sell", SeriesType.Scatter, 0));
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stockPlot.AddSeries(new Series("UpperChannel", SeriesType.Line, 0));
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stockPlot.AddSeries(new Series("LowerChannel", SeriesType.Line, 0));
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stockPlot.AddSeries(new Series("Regression", SeriesType.Line, 0));
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AddChart(stockPlot);
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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="data">Slice object keyed by symbol containing the stock data</param>
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public void OnData(TradeBars data)
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{
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if (!_rc.IsReady || !data.ContainsKey(_spy)) return;
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var value = data[_spy].Value;
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if (_holdings.Quantity <= 0 && value < _rc.LowerChannel)
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{
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SetHoldings(_spy, 1);
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Plot("Trade Plot", "Buy", value);
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}
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if (_holdings.Quantity >= 0 && value > _rc.UpperChannel)
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{
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SetHoldings(_spy, -1);
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Plot("Trade Plot", "Sell", value);
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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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if (symbol == _spy)
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{
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Plot("Trade Plot", "UpperChannel", _rc.UpperChannel);
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Plot("Trade Plot", "LowerChannel", _rc.LowerChannel);
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Plot("Trade Plot", "Regression", _rc.LinearRegression);
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}
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}
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}
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} |