wehub-resource-sync
72 lines
2.6 KiB
C#
72 lines
2.6 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;
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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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/// Demonstration algorithm for the Warm Up feature with basic indicators.
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/// </summary>
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="warm up" />
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/// <meta name="tag" content="history and warm up" />
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/// <meta name="tag" content="using data" />
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public class WarmupAlgorithm : QCAlgorithm
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{
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private bool _first = true;
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private string _symbol = "SPY";
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private const int FastPeriod = 60;
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private const int SlowPeriod = 3600;
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private ExponentialMovingAverage _fast, _slow;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 08); //Set Start Date
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SetEndDate(2013, 10, 11); //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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AddSecurity(SecurityType.Equity, _symbol, Resolution.Second);
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_fast = EMA(_symbol, FastPeriod);
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_slow = EMA(_symbol, SlowPeriod);
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SetWarmup(SlowPeriod);
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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">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (_first && !IsWarmingUp)
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{
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_first = false;
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Debug("Fast: " + _fast.Samples);
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Debug("Slow: " + _slow.Samples);
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}
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if (_fast > _slow)
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{
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SetHoldings(_symbol, 1);
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}
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else
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{
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SetHoldings(_symbol, -1);
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}
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}
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}
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}
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