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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 QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Securities;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Regression Channel algorithm simply initializes the date range and cash
/// </summary>
/// <meta name="tag" content="indicators" />
/// <meta name="tag" content="indicator classes" />
/// <meta name="tag" content="placing orders" />
/// <meta name="tag" content="plotting indicators" />
public class RegressionChannelAlgorithm : QCAlgorithm
{
private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
private SecurityHolding _holdings;
private RegressionChannel _rc;
/// <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, 1, 1); //Set Start Date
SetEndDate(2015, 1, 1); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
var equity = AddEquity(_spy, Resolution.Minute);
_holdings = equity.Holdings;
_rc = RC(_spy, 30, 2, Resolution.Daily);
var stockPlot = new Chart("Trade Plot");
stockPlot.AddSeries(new Series("Buy", SeriesType.Scatter, 0));
stockPlot.AddSeries(new Series("Sell", SeriesType.Scatter, 0));
stockPlot.AddSeries(new Series("UpperChannel", SeriesType.Line, 0));
stockPlot.AddSeries(new Series("LowerChannel", SeriesType.Line, 0));
stockPlot.AddSeries(new Series("Regression", SeriesType.Line, 0));
AddChart(stockPlot);
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public void OnData(TradeBars data)
{
if (!_rc.IsReady || !data.ContainsKey(_spy)) return;
var value = data[_spy].Value;
if (_holdings.Quantity <= 0 && value < _rc.LowerChannel)
{
SetHoldings(_spy, 1);
Plot("Trade Plot", "Buy", value);
}
if (_holdings.Quantity >= 0 && value > _rc.UpperChannel)
{
SetHoldings(_spy, -1);
Plot("Trade Plot", "Sell", value);
}
}
public override void OnEndOfDay()
{
Plot("Trade Plot", "UpperChannel", _rc.UpperChannel);
Plot("Trade Plot", "LowerChannel", _rc.LowerChannel);
Plot("Trade Plot", "Regression", _rc.LinearRegression);
}
}
}
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