wehub-resource-sync
122 lines
5.2 KiB
Python
122 lines
5.2 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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class MacdAlphaModel(AlphaModel):
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'''Defines a custom alpha model that uses MACD crossovers. The MACD signal line
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is used to generate up/down insights if it's stronger than the bounce threshold.
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If the MACD signal is within the bounce threshold then a flat price insight is returned.'''
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def __init__(self,
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fastPeriod = 12,
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slowPeriod = 26,
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signalPeriod = 9,
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movingAverageType = MovingAverageType.Exponential,
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resolution = Resolution.Daily):
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''' Initializes a new instance of the MacdAlphaModel class
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Args:
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fastPeriod: The MACD fast period
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slowPeriod: The MACD slow period</param>
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signalPeriod: The smoothing period for the MACD signal
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movingAverageType: The type of moving average to use in the MACD'''
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self.fastPeriod = fastPeriod
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self.slowPeriod = slowPeriod
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self.signalPeriod = signalPeriod
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self.movingAverageType = movingAverageType
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self.resolution = resolution
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self.insightPeriod = Time.Multiply(Extensions.ToTimeSpan(resolution), fastPeriod)
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self.bounceThresholdPercent = 0.01
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self.insightCollection = InsightCollection()
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self.symbolData = {}
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self.Name = '{}({},{},{},{},{})'.format(self.__class__.__name__, fastPeriod, slowPeriod, signalPeriod, movingAverageType, resolution)
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def Update(self, algorithm, data):
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''' Determines an insight for each security based on it's current MACD signal
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Args:
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algorithm: The algorithm instance
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data: The new data available
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Returns:
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The new insights generated'''
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insights = []
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for key, sd in self.symbolData.items():
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if sd.Security.Price == 0:
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continue
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direction = InsightDirection.Flat
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normalized_signal = sd.MACD.Signal.Current.Value / sd.Security.Price
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if normalized_signal > self.bounceThresholdPercent:
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direction = InsightDirection.Up
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elif normalized_signal < -self.bounceThresholdPercent:
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direction = InsightDirection.Down
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# ignore signal for same direction as previous signal
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if direction == sd.PreviousDirection:
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continue
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sd.PreviousDirection = direction
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if direction == InsightDirection.Flat:
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self.CancelInsights(algorithm, sd.Security.Symbol)
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continue
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insight = Insight.Price(sd.Security.Symbol, self.insightPeriod, direction)
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insights.append(insight)
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self.insightCollection.Add(insight)
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return insights
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def OnSecuritiesChanged(self, algorithm, changes):
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'''Event fired each time the we add/remove securities from the data feed.
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This initializes the MACD for each added security and cleans up the indicator for each removed security.
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Args:
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algorithm: The algorithm instance that experienced the change in securities
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changes: The security additions and removals from the algorithm'''
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for added in changes.AddedSecurities:
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self.symbolData[added.Symbol] = SymbolData(algorithm, added, self.fastPeriod, self.slowPeriod, self.signalPeriod, self.movingAverageType, self.resolution)
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for removed in changes.RemovedSecurities:
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symbol = removed.Symbol
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data = self.symbolData.pop(symbol, None)
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if data is not None:
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# clean up our consolidator
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algorithm.SubscriptionManager.RemoveConsolidator(symbol, data.Consolidator)
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# remove from insight collection manager
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self.CancelInsights(algorithm, symbol)
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def CancelInsights(self, algorithm, symbol):
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if not self.insightCollection.ContainsKey(symbol):
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return
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insights = self.insightCollection[symbol]
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algorithm.Insights.Cancel(insights)
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self.insightCollection.Clear([ symbol ]);
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class SymbolData:
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def __init__(self, algorithm, security, fastPeriod, slowPeriod, signalPeriod, movingAverageType, resolution):
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self.Security = security
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self.MACD = MovingAverageConvergenceDivergence(fastPeriod, slowPeriod, signalPeriod, movingAverageType)
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self.Consolidator = algorithm.ResolveConsolidator(security.Symbol, resolution)
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algorithm.RegisterIndicator(security.Symbol, self.MACD, self.Consolidator)
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algorithm.WarmUpIndicator(security.Symbol, self.MACD, resolution)
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self.PreviousDirection = None
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