wehub-resource-sync
75 lines
3.4 KiB
Python
75 lines
3.4 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### EMA cross with SP500 E-mini futures
|
|
### In this example, we demostrate how to trade futures contracts using
|
|
### a equity to generate the trading signals
|
|
### It also shows how you can prefilter contracts easily based on expirations.
|
|
### It also shows how you can inspect the futures chain to pick a specific contract to trade.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="futures" />
|
|
### <meta name="tag" content="indicators" />
|
|
### <meta name="tag" content="strategy example" />
|
|
class FuturesMomentumAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self):
|
|
self.set_start_date(2016, 1, 1)
|
|
self.set_end_date(2016, 8, 18)
|
|
self.set_cash(100000)
|
|
fast_period = 20
|
|
slow_period = 60
|
|
self._tolerance = 1 + 0.001
|
|
self.is_up_trend = False
|
|
self.is_down_trend = False
|
|
self.set_warm_up(max(fast_period, slow_period))
|
|
|
|
# Adds SPY to be used in our EMA indicators
|
|
equity = self.add_equity("SPY", Resolution.DAILY)
|
|
self._fast = self.ema(equity.symbol, fast_period, Resolution.DAILY)
|
|
self._slow = self.ema(equity.symbol, slow_period, Resolution.DAILY)
|
|
# Adds the future that will be traded and
|
|
# set our expiry filter for this futures chain
|
|
future = self.add_future(Futures.Indices.SP_500_E_MINI)
|
|
future.set_filter(timedelta(0), timedelta(182))
|
|
|
|
def on_data(self, slice):
|
|
if self._slow.is_ready and self._fast.is_ready:
|
|
self.is_up_trend = self._fast.current.value > self._slow.current.value * self._tolerance
|
|
self.is_down_trend = self._fast.current.value < self._slow.current.value * self._tolerance
|
|
if (not self.portfolio.invested) and self.is_up_trend:
|
|
for chain in slice.futures_chains:
|
|
# find the front contract expiring no earlier than in 90 days
|
|
contracts = list(filter(lambda x: x.expiry > self.time + timedelta(90), chain.value))
|
|
# if there is any contract, trade the front contract
|
|
if len(contracts) == 0: continue
|
|
contract = sorted(contracts, key = lambda x: x.expiry, reverse=True)[0]
|
|
self.market_order(contract.symbol , 1)
|
|
|
|
if self.portfolio.invested and self.is_down_trend:
|
|
self.liquidate()
|
|
|
|
def on_end_of_day(self, symbol):
|
|
if self.is_up_trend:
|
|
self.plot("Indicator Signal", "EOD",1)
|
|
elif self.is_down_trend:
|
|
self.plot("Indicator Signal", "EOD",-1)
|
|
elif self._slow.is_ready and self._fast.is_ready:
|
|
self.plot("Indicator Signal", "EOD",0)
|
|
|
|
def on_order_event(self, order_event):
|
|
self.log(str(order_event))
|