wehub-resource-sync
54 lines
2.2 KiB
Python
54 lines
2.2 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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### Demonstration of the parameter system of QuantConnect. Using parameters you can pass the values required into C# algorithms for optimization.
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### </summary>
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### <meta name="tag" content="optimization" />
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### <meta name="tag" content="using quantconnect" />
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class ParameterizedAlgorithm(QCAlgorithm):
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def initialize(self):
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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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self.set_start_date(2013, 10, 7) #Set Start Date
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self.set_end_date(2013, 10, 11) #Set End Date
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self.set_cash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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self.add_equity("SPY")
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# Receive parameters from the Job
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fast_period = self.get_parameter("ema-fast", 100)
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slow_period = self.get_parameter("ema-slow", 200)
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self.fast = self.ema("SPY", fast_period)
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self.slow = self.ema("SPY", slow_period)
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def on_data(self, data):
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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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# wait for our indicators to ready
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if not self.fast.is_ready or not self.slow.is_ready:
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return
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fast = self.fast.current.value
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slow = self.slow.current.value
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if fast > slow * 1.001:
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self.set_holdings("SPY", 1)
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elif fast < slow * 0.999:
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self.liquidate("SPY")
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