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/*
* 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.
*/
using System;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
namespace QuantConnect.Algorithm.Examples
{
/// <summary>
/// MACD Example Algorithm
/// </summary>
public class MACDTrendAlgorithm : QCAlgorithm
{
private DateTime previous;
private MovingAverageConvergenceDivergence macd;
private string Symbol = "SPY";
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2009, 01, 01);
SetEndDate(2015, 01, 01);
AddSecurity(SecurityType.Equity, Symbol);
// define our daily macd(12,26) with a 9 day signal
macd = MACD(Symbol, 9, 26, 9, MovingAverageType.Exponential, Resolution.Daily);
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
// only once per day
if (previous.Date == data.Time.Date) return;
if (!macd.IsReady) return;
var holding = Portfolio[Symbol];
decimal signalDeltaPercent = (macd - macd.Signal)/macd.Fast;
var tolerance = 0.0025m;
// if our macd is greater than our signal, then let's go long
if (holding.Quantity <= 0 && signalDeltaPercent > tolerance) // 0.01%
{
// longterm says buy as well
SetHoldings(Symbol, 1.0);
}
// of our macd is less than our signal, then let's go short
else if (holding.Quantity >= 0 && signalDeltaPercent < -tolerance)
{
Liquidate(Symbol);
}
// plot both lines
Plot("MACD", macd, macd.Signal);
Plot(Symbol, "Open", data[Symbol].Open);
Plot(Symbol, macd.Fast, macd.Slow);
previous = data.Time;
}
}
}