private void UpdateOptimalTrackingFilter(DateTime time, decimal high, decimal low)
{
if (barcount > 1)
{
decimal v1 = staticAlpha2 * (Price[0].Value - Price[1].Value) + (1 - staticAlpha2) * OptimalValue1[0].Value;
OptimalValue1.Add(idp(time, v1));
decimal v2 = .1m * (high - low) + (1 - staticAlpha2) * OmtimalValue2[0].Value;
OmtimalValue2.Add(idp(time, v2));
}
else
{
OptimalValue1.Add(idp(time, Price[0].Value));
OmtimalValue2.Add(idp(time, Price[0].Value));
}
lambda.Add(OmtimalValue2[0].Value != 0 ? idp(time, Math.Abs(OptimalValue1[0].Value / OmtimalValue2[0].Value)) : idp(time, 0m));
double la = System.Convert.ToDouble(lambda[0].Value);
double alphaval = (la * -1 * la + Math.Sqrt(la * la * la * la + 16 * la * la)) / 8;
alpha.Add(idp(time, System.Convert.ToDecimal(alphaval)));
if (barcount > 4)
{
decimal v3 = alpha[0].Value * Price[0].Value + (1 - alpha[0].Value) * OptimalTrackingFilter[0].Value;
OptimalTrackingFilter.Add(idp(time, v3));
}
else
{
OptimalTrackingFilter.Add(idp(time, Price[0].Value));
}
}
private void Strategy(TradeBars data)
{
if (barcount < 2)
{
fishDirectionHistory.Add(idp(this.Time, 0));
fishDirectionChanged = false;
}
else
{
fishDirectionHistory.Add(idp(this.Time, Math.Sign(fishHistory[0].Value - fishHistory[1].Value)));
fishDirectionChanged = fishDirectionHistory[0].Value != fishDirectionHistory[1].Value;
}
// liquidate at 3:50 to avoid the 4:00 rush.
if (this.Time.Hour == 15 && this.Time.Minute > 49)
{
openForTrading = false;
if (Portfolio.Invested)
{
Liquidate();
}
}
if (openForTrading)
{
if (cycle.IsReady)
{
Invested();
NotInvested();
}
}
sharesOwned = Portfolio[symbol].Quantity;
}
public void IndexingBasedOnReverseInsertedOrder()
{
var window = new RollingWindow <int>(3);
Assert.AreEqual(3, window.Size);
window.Add(0);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(0, window[0]);
window.Add(1);
Assert.AreEqual(2, window.Count);
Assert.AreEqual(0, window[1]);
Assert.AreEqual(1, window[0]);
window.Add(2);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(0, window[2]);
Assert.AreEqual(1, window[1]);
Assert.AreEqual(2, window[0]);
window.Add(3);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(1, window[2]);
Assert.AreEqual(2, window[1]);
Assert.AreEqual(3, window[0]);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 07);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
maxHigh = new Maximum("MaxHigh", _period);
minLow = new Minimum("MinLow", _period);
value1 = new RollingWindow <IndicatorDataPoint>(_period);
fish = new RollingWindow <IndicatorDataPoint>(_period);
//wma = new LinearWeightedMovingAverage(5); // induces 2 bar lag
//wwma = new RollingWindow<IndicatorDataPoint>(_period);
//fishHigh = new Maximum("FishHigh", 400);
//fishLow = new Minimum("FishLow", 400);
fx = new FisherTransform(_symbol, _period);
//fx = FT(_symbol, _period, Resolution.Minute);
// Add a bars to initialize the RollingWindow
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
public void IndexingBasedOnReverseInsertedOrder()
{
var window = new RollingWindow<int>(3);
Assert.AreEqual(3, window.Size);
window.Add(0);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(0, window[0]);
window.Add(1);
Assert.AreEqual(2, window.Count);
Assert.AreEqual(0, window[1]);
Assert.AreEqual(1, window[0]);
window.Add(2);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(0, window[2]);
Assert.AreEqual(1, window[1]);
Assert.AreEqual(2, window[0]);
window.Add(3);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(1, window[2]);
Assert.AreEqual(2, window[1]);
Assert.AreEqual(3, window[0]);
}
/// <summary>
/// Updates the CenterGravity
/// </summary>
/// <param name="time"></param>
private void UpdateCenterGravity(DateTime time)
{
decimal num = 0;
decimal den = 0;
int count = samplesize / 2;
if (barcount > count)
{
for (int i = 0; i < count; i++)
{
try
{
num += (1 + i) * (Price[i].Value);
den += Price[i].Value;
}
catch (Exception e)
{
throw new Exception(e.Message);
}
}
if (den != 0)
{
decimal c = count + 1;
decimal u = System.Convert.ToDecimal(-num / den);
centerGravity.Add(idp(time, u + c / 2));
}
}
else
{
centerGravity.Add(idp(time, 0));
}
}
/// <summary>
/// Adds an item to this window and shifts all other elements
/// </summary>
/// <param name="time">The time associated with the value</param>
/// <param name="value">The value to use to update this window</param>
public void Add(DateTime time, decimal value)
{
if (_window.Samples > 0 && _window[0].EndTime == time)
{
return;
}
var item = new IndicatorDataPoint(_symbol, time, value);
_window.Add(item);
}
private void UpdateEma(DateTime time)
{
if (barcount > 1)
{
decimal emaval = staticAlpha * Price[0].Value + (1 - staticAlpha) * ema[0].Value;
ema.Add(idp(time, emaval));
}
else
{
ema.Add(idp(time, Price[0].Value));
}
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
if (IsReady)
{
var output = (input.Value + 2 * (_rollingRvi[0] + _rollingRvi[1]) + _rollingRvi[2]) / 6;
_rollingRvi.Add(input);
return(output);
}
_rollingRvi.Add(input);
return(0m);
}
public void OldDataFallsOffBackOfWindow()
{
var window = new RollingWindow<int>(1);
window.Add(0);
Assert.IsFalse(window.IsReady);
// add one more and the window is ready
window.Add(1);
Assert.AreEqual(0, window.MostRecentlyRemoved);
Assert.AreEqual(1, window.Count);
Assert.IsTrue(window.IsReady);
}
private void UpdateZema(DateTime time)
{
if (barcount > 4)
{
decimal zemaval = staticAlpha * (Price[0].Value + estimatedVelocity * (Price[0].Value - Price[4].Value)) +
(1 - staticAlpha) * zema[0].Value;
zema.Add(idp(time, zemaval));
}
else
{
zema.Add(idp(time, ema[0].Value));
}
}
public void OldDataFallsOffBackOfWindow()
{
var window = new RollingWindow <int>(1);
window.Add(0);
Assert.IsFalse(window.IsReady);
// add one more and the window is ready
window.Add(1);
Assert.AreEqual(0, window.MostRecentlyRemoved);
Assert.AreEqual(1, window.Count);
Assert.IsTrue(window.IsReady);
}
/// <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 override void OnData(Slice data)
{
// Add SPY TradeBar in rollling window
_window.Add(data["SPY"]);
// Wait for windows to be ready.
if (!_window.IsReady || !_smaWin.IsReady)
{
return;
}
var currBar = _window[0]; // Current bar had index zero.
var pastBar = _window[1]; // Past bar has index one.
Log($"Price: {pastBar.Time} -> {pastBar.Close} ... {currBar.Time} -> {currBar.Close}");
var currSma = _smaWin[0]; // Current SMA had index zero.
var pastSma = _smaWin[_smaWin.Count - 1]; // Oldest SMA has index of window count minus 1.
Log($"SMA: {pastSma.Time} -> {pastSma.Value} ... {currSma.Time} -> {currSma.Value}");
if (!Portfolio.Invested && currSma > pastSma)
{
SetHoldings("SPY", 1);
}
}
public DIFStrategy(Indicator Price, int DecyclePeriod = 20, int InvFisherPeriod = 40, decimal Threshold = 0.9m, decimal Tolerance = 0.001m)
{
// Initialize the fields.
_decyclePeriod = DecyclePeriod;
_invFisherPeriod = InvFisherPeriod;
_threshold = Threshold;
_tolerance = Tolerance;
// Initialize the indicators used by the Strategy.
_price = Price;
DecycleTrend = new Decycle(_decyclePeriod).Of(Price);
InverseFisher = new InverseFisherTransform(_invFisherPeriod).Of(DecycleTrend);
InvFisherRW = new RollingWindow<decimal>(2);
LightSmoothPrice = new Decycle(10).Of(Price);
Momersion = new MomersionIndicator(10, 30).Of(LightSmoothPrice, false);
// Fill the Inverse Fisher rolling windows at every new InverseFisher observation.
// Once the Inverse Fisher rolling windows is ready, at every InverseFisher update, the Check signal method will be called.
InverseFisher.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (InverseFisher.IsReady) InvFisherRW.Add(updated);
if (InvFisherRW.IsReady) CheckSignal();
};
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
}
/// <summary>
/// Main constructor for the class
/// </summary>
/// <param name="rangePeriod">Range period</param>
/// <param name="consolidatorResolution">Time length of consolidator</param>
public SymbolData(int rangePeriod, TimeSpan consolidatorResolution)
{
_rangeWindow = new RollingWindow <TradeBar>(rangePeriod);
_consolidator = new TradeBarConsolidator(consolidatorResolution);
// event fired at new consolidated trade bar
_consolidator.DataConsolidated += (sender, consolidated) =>
{
// add new tradebar to
_rangeWindow.Add(consolidated);
if (IsReady)
{
var hh = _rangeWindow.Select(x => x.High).Max();
var hc = _rangeWindow.Select(x => x.Close).Max();
var lc = _rangeWindow.Select(x => x.Close).Min();
var ll = _rangeWindow.Select(x => x.Low).Min();
Range = Math.Max(hh - lc, hc - ll);
UpperLine = consolidated.Close + K1 * Range;
LowerLine = consolidated.Close - K2 * Range;
}
};
}
/// <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)
{
barcount++;
var time = this.Time;
hma7.Update(time, data[symbol].Close);
hma14.Update(time, data[symbol].Close);
hma28.Update(time, data[symbol].Close);
Price.Add(idp(time, data[symbol].Close));
UpdateInstantTrend(time);
if (hma28.IsReady)
{
string logmsg = string.Format("{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10}",
this.Time,
barcount,
data[symbol].Open,
data[symbol].High,
data[symbol].Low,
data[symbol].Close,
hma7.Current.Value,
hma14.Current.Value,
hma28.Current.Value,
instantTrend[0].Value,
"");
mylog.Debug(logmsg);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CrossEMAStrategy"/> class.
/// </summary>
/// <param name="Price">The injected price indicator.</param>
/// <param name="SlowEMAPeriod">The slow EMA period.</param>
/// <param name="FastEMAPeriod">The fast EMA period.</param>
public RSIStrategy(Indicator Price, int RSIPeriod = 40, decimal Threshold = 20)
{
// Initialize fields.
_threshold = Threshold;
_price = Price;
ActualSignal = OrderSignal.doNothing;
Position = StockState.noInvested;
EntryPrice = null;
rsi = new RelativeStrengthIndex(RSIPeriod).Of(_price);
// Fill the RSI rolling windows at every new RSI update. Once the
// rolling windows is ready, at every indicator update the CheckSignal method will be called.
rsi.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (rsi.IsReady)
{
rsiRW.Add(rsi);
}
if (rsiRW.IsReady)
{
CheckSignal();
}
};
}
/// <summary>
/// Initializes a new instance of the <see cref="CrossEMAStrategy"/> class.
/// </summary>
/// <param name="Price">The injected price indicator.</param>
/// <param name="SlowEMAPeriod">The slow EMA period.</param>
/// <param name="FastEMAPeriod">The fast EMA period.</param>
public CrossEMAStrategy(Indicator Price, int SlowEMAPeriod = 10, int FastEMAPeriod = 50)
{
// Initialize fields.
_price = Price;
fastEMA = new ExponentialMovingAverage(FastEMAPeriod).Of(_price);
slowEMA = new ExponentialMovingAverage(SlowEMAPeriod).Of(_price);
ActualSignal = OrderSignal.doNothing;
Position = StockState.noInvested;
EntryPrice = null;
// Fill the EMA difference rolling windows at every new slowEMA observation. Once the
// rolling windows is ready, at every indicator update the CheckSignal method will be called.
slowEMA.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (slowEMA.IsReady)
{
EMADiffRW.Add(fastEMA - slowEMA);
}
if (EMADiffRW.IsReady)
{
CheckSignal();
}
};
}
public override void OnData(Slice data)
{
_ama.Update(data[Symbol] as IndicatorDataPoint);
if (!_ama.IsReady)
{
return;
}
var holdings = Portfolio[Symbol].Quantity;
if (holdings <= 0 && _ama > _previous[0])
{
Log("Buy >> " + Securities[Symbol].Price);
SetHoldings(Symbol, 1.0);
}
if (holdings >= 0 && _ama < _previous[0])
{
Log("Sell >> " + Securities[Symbol].Price);
SetHoldings(Symbol, -1.0);
}
_previous.Add(_ama);
}
public DIFStrategy(Indicator Price, int DecyclePeriod = 20, int InvFisherPeriod = 40, decimal Threshold = 0.9m, decimal Tolerance = 0.001m)
{
// Initialize the fields.
_decyclePeriod = DecyclePeriod;
_invFisherPeriod = InvFisherPeriod;
_threshold = Threshold;
_tolerance = Tolerance;
// Initialize the indicators used by the Strategy.
_price = Price;
DecycleTrend = new Decycle(_decyclePeriod).Of(Price);
InverseFisher = new InverseFisherTransform(_invFisherPeriod).Of(DecycleTrend);
InvFisherRW = new RollingWindow <decimal>(2);
LightSmoothPrice = new Decycle(10).Of(Price);
Momersion = new MomersionIndicator(10, 30).Of(LightSmoothPrice, false);
// Fill the Inverse Fisher rolling windows at every new InverseFisher observation.
// Once the Inverse Fisher rolling windows is ready, at every InverseFisher update, the Check signal method will be called.
InverseFisher.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (InverseFisher.IsReady)
{
InvFisherRW.Add(updated);
}
if (InvFisherRW.IsReady)
{
CheckSignal();
}
};
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
}
public override void Initialize()
{
SetStartDate(2016, 01, 01); //Set Start Date
SetEndDate(2016, 10, 14); //Set End Date
SetCash(10000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
// Add each equity so we receive data
AddEquity(_spy, Resolution.Daily);
AddEquity(_qqq, Resolution.Daily);
AddEquity(_tlt, Resolution.Daily);
AddEquity(_agg, Resolution.Daily);
//Build window
_close_window = new RollingWindow <decimal>(84);
IEnumerable <TradeBar> slices = History(_benchmark, 84);
foreach (TradeBar bar in slices)
{
_close_window.Add(bar.Close);
}
// Schedule EveryDayOnMarketOpen function to be called
// each day 10 minutes after market open
Schedule.On(DateRules.EveryDay(_benchmark),
TimeRules.AfterMarketOpen(_benchmark, 10),
EveryDayOnMarketOpen);
}
// Updates this model using the new price information in the specified security instance
// Update is a mandatory method
public void Update(Security security, BaseData data)
{
var timeSinceLastUpdate = data.EndTime - _lastUpdate;
if (timeSinceLastUpdate >= _periodSpan && data.Price > 0m)
{
if (_lastPrice > 0)
{
_window.Add(data.Price / _lastPrice - 1.0m);
_needsUpdate = _window.IsReady;
}
_lastUpdate = data.EndTime;
_lastPrice = data.Price;
}
if (_window.Count() < 2)
{
Volatility = 0;
return;
}
if (_needsUpdate)
{
_needsUpdate = false;
var mean = _window.Average();
var std = Math.Sqrt((double)_window.Sum(x => (x - mean) * (x - mean)) / _window.Count());
Volatility = Convert.ToDecimal(std * Math.Sqrt(252d));
}
}
public void AddsData()
{
var window = new RollingWindow<int>(1);
window.Add(1);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(1, window.Samples);
Assert.AreEqual(1, window.Size);
Assert.IsFalse(window.IsReady);
// add one more and the window is ready
window.Add(2);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(2, window.Samples);
Assert.AreEqual(1, window.Size);
Assert.IsTrue(window.IsReady);
}
/// <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)
{
barcount++;
// Add the history for the bar
var time = this.Time;
Price.Add(idp(time, (data[symbol].Close + data[symbol].Open) / 2));
// Update the indicators
trend.Update(idp(time, Price[0].Value));
trendHistory.Add(CalculateNewTrendHistoryValue(barcount, time, Price, trend));
GetOrderSignals(data);
// Execute only the selected strategy with it's orderSignal
foreach (SignalInfo signal in signalInfos)
{
if (signal.Value != OrderSignal.doNothing)
{
if (signal.IsActive)
{
ExecuteStrategy(symbol, signal, data);
}
}
}
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
_price.Add(input.Value);
if (_price.Samples == 1)
{
_price.Add(_price[0]);
_price.Add(_price[0]);
}
var signal = _a0 * _c0 * (_b0 * _price[0] + _b1 * _price[1] + _b2 * _price[2]) + _a0 * (_a1 * _filt[0] + _a2 * _filt[1]);
_filt.Add(signal);
return(signal);
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public MultiSymbolStrategy(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
sma = new SimpleMovingAverage(period).Of(price);
SMAMomentum = new Momentum(2).Of(sma);
MomentumWindow = new RollingWindow <decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
SMAMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (SMAMomentum.IsReady)
{
MomentumWindow.Add(SMAMomentum.Current.Value);
}
if (MomentumWindow.IsReady)
{
CheckSignal();
}
};
}
public static RollingWindow <T> Track <T>(IDataConsolidator consolidator, int historyLength = 8) where T : class
{
var window = new RollingWindow <T>(historyLength);
consolidator.DataConsolidated += (sendar, args) => window.Add(args as T);
return(window);
}
private void UpdateDailyReturn()
{
var spyReturn = Securities[spy].Close - _previousTradeBar.Item1.Close / _previousTradeBar.Item1.Close;
var tltReturn = Securities[tlt].Close - _previousTradeBar.Item2.Close / _previousTradeBar.Item2.Close;
_dailyReturns.Add(new Tuple <decimal, decimal>(spyReturn, tltReturn));
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendStrategy(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
ITrend = new InstantaneousTrend(period).Of(price);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow <decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
//Sig9 sig9 = new Sig9();
ITrendMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (ITrendMomentum.IsReady)
{
MomentumWindow.Add(ITrendMomentum.Current.Value);
}
if (MomentumWindow.IsReady)
{
CheckSignal();
}
};
}
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SPY = AddEquity("SPY", Resolution.Minute).Symbol;
// define indicators on SPY daily closing prices
SPY_Close = Identity(SPY, Resolution.Daily);
SPY_Close_EMA10 = SPY_Close.EMA(10);
SPY_Close_EMA50 = SPY_Close.EMA(50);
// each time an indicator is updated, push the value into our history rolling windows
SPY_Close.Updated += (sender, args) =>
{
// each time we receive new closing price data, push our window to the object store
SPY_Close_History.Add(args);
};
SPY_Close_EMA10.Updated += (sender, args) => SPY_Close_EMA10_History.Add(args);
SPY_Close_EMA50.Updated += (sender, args) => SPY_Close_EMA50_History.Add(args);
if (ObjectStore.ContainsKey(SPY_Close_ObjectStore_Key))
{
// our object store has our historical data saved, read the data
// and push it through the indicators to warm everything up
var values = ObjectStore.ReadJson <IndicatorDataPoint[]>(SPY_Close_ObjectStore_Key);
Debug($"{SPY_Close_ObjectStore_Key} key exists in object store. Count: {values.Length}");
foreach (var value in values)
{
SPY_Close.Update(value);
}
}
else
{
Debug($"{SPY_Close_ObjectStore_Key} key does not exist in object store. Fetching history...");
// if our object store doesn't have our data, fetch the history to initialize
// we're pulling the last year's worth of SPY daily trade bars to fee into our indicators
var history = History(SPY, TimeSpan.FromDays(365), Resolution.Daily);
foreach (var tradeBar in history)
{
SPY_Close.Update(tradeBar.EndTime, tradeBar.Close);
}
// save our warm up data so next time we don't need to issue the history request
var array = SPY_Close_History.Reverse().ToArray();
ObjectStore.SaveJson(SPY_Close_ObjectStore_Key, array);
// Can also use ObjectStore.SaveBytes(key, byte[])
// and to read ObjectStore.ReadBytes(key) => byte[]
// we can also get a file path for our data. some ML libraries require model
// weights to be loaded directly from a file path. The object store can provide
// a file path for any key by: ObjectStore.GetFilePath(key) => string (file path)
}
}
/// <summary>
/// Calculate position value and update the SMA indicator and Rolling Window
/// </summary>
private bool UpdateIndicators(Slice data)
{
var positionValue = (_alpha * data[_longSymbol].Close) - (_beta * data[_shortSymbol].Close);
_sma.Update(data[_longSymbol].EndTime, positionValue);
_positionWindow.Add(positionValue);
return(_sma.IsReady && _positionWindow.IsReady);
}
public void WhenAddingItem_Then_IndexZero_IsEqualToItem()
{
const int item = 3;
var sut = new RollingWindow <int>(1);
sut.Add(item);
Assert.AreEqual(item, sut[0]);
}
private void UpdateInstantTrend(DateTime time)
{
if (barcount > 2)
{
// From Ehlers page 16 equation 2.9
var it = (a - ((a / 2) * (a / 2))) * Price[0].Value + ((a * a) / 2) * Price[1].Value
- (a - (3 * (a * a) / 4)) * Price[2].Value + 2 * (1 - a) * instantTrend[0].Value
- ((1 - a) * (1 - a)) * instantTrend[1].Value;
instantTrend.Add(idp(time, it));
//instantTrendTrigger.Add(idp(time, instantTrend[2].Value));
}
else
{
instantTrend.Add(idp(time, Price[0].Value));
//instantTrendTrigger.Add(idp(time, Price[0].Value));
}
}
public void AddsData()
{
var window = new RollingWindow <int>(1);
window.Add(1);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(1, window.Samples);
Assert.AreEqual(1, window.Size);
Assert.IsFalse(window.IsReady);
// add one more and the window is ready
window.Add(2);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(2, window.Samples);
Assert.AreEqual(1, window.Size);
Assert.IsTrue(window.IsReady);
}
public void AddTest()
{
RollingWindow<int> rollingWindow = new RollingWindow<int>(5);
for (int i = 0; i < rollingWindow.WindowSize; i++)
{
Assert.AreEqual(i, rollingWindow.Count);
rollingWindow.Add(i);
Assert.AreEqual(i, rollingWindow[i]);
}
Assert.AreEqual(rollingWindow.WindowSize, rollingWindow.Count);
rollingWindow.Add(rollingWindow.WindowSize);
Assert.AreEqual(rollingWindow.WindowSize, rollingWindow.Count);
for (int i = 0; i < rollingWindow.WindowSize; i++)
Assert.AreEqual(i + 1, rollingWindow[i]);
}
public void RemoveTest()
{
RollingWindow<int> rollingWindow = new RollingWindow<int>(5);
for (int i = 0; i < rollingWindow.WindowSize; i++)
rollingWindow.Add(i);
rollingWindow.Remove(1);
rollingWindow.Remove(3);
Assert.AreEqual(3, rollingWindow.Count);
Assert.AreEqual(0, rollingWindow[0]);
Assert.AreEqual(2, rollingWindow[1]);
Assert.AreEqual(4, rollingWindow[2]);
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendStrategyJJ(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
ITrend = new InstantaneousTrend(period).Of(price);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow<decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
ITrendMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (ITrendMomentum.IsReady) MomentumWindow.Add(ITrendMomentum.Current.Value);
if (MomentumWindow.IsReady) CheckSignal();
};
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public MultiSymbolStrategy(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
sma = new SimpleMovingAverage(period).Of(price);
SMAMomentum = new Momentum(2).Of(sma);
MomentumWindow = new RollingWindow<decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
SMAMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (SMAMomentum.IsReady) MomentumWindow.Add(SMAMomentum.Current.Value);
if (MomentumWindow.IsReady) CheckSignal();
};
}
/// <summary>
/// The Deserializing constuctor
/// </summary>
/// <param name="info">the bag into which the serialized data was put</param>
/// <param name="context">the stream to get the data from.</param>
public Sig2(SerializationInfo info, StreamingContext context)
{
string s = (string)info.GetValue("Symbol", typeof(string));
_symbol = new Symbol(s);
//_algorithm = (QCAlgorithm)info.GetValue("algorithm", typeof(QCAlgorithm));
Id = (int)info.GetValue("Id", typeof(int));
trendHistory = new RollingWindow<decimal>(3);
nEntryPrice = (decimal)info.GetValue("nEntryPrice", typeof(decimal));
xOver = (int)info.GetValue("xOver", typeof(int));
nTrig = (decimal)info.GetValue("nTrig", typeof(decimal));
orderFilled = (Boolean)info.GetValue("orderFilled", typeof(Boolean));
maketrade = (Boolean)info.GetValue("maketrade", typeof(Boolean));
trendArray = (decimal[])info.GetValue("trendArray", typeof(decimal[]));
foreach (decimal t in trendArray)
{
trendHistory.Add(t);
}
RevPct = 1.0015m;
RngFac = .35m;
}
public void IndexOfTest()
{
RollingWindow<int> rollingWindow = new RollingWindow<int>(5);
for (int i = 0; i < rollingWindow.WindowSize; i++)
rollingWindow.Add(i);
for (int i = 0; i < rollingWindow.WindowSize; i++)
Assert.AreEqual(i, rollingWindow.IndexOf(i));
}
/// <summary>
/// Initializes a new instance of the <see cref="MSAStrategy" /> class.
/// </summary>
/// <param name="smoothedSeries">The smoothed series.</param>
/// <param name="previousDaysN">How many daily means will be used to estimate the thresholds.</param>
/// <param name="runsPerDay">How many runs will be used to estimate the daily mean.</param>
/// <param name="minRunThreshold">The minimum run threshold.</param>
/// <param name="DailyIndicatorReset">if set to <c>true</c> [daily indicator reset].</param>
public MSAStrategy(IndicatorBase<IndicatorDataPoint> smoothedSeries, int previousDaysN = 3, int runsPerDay = 5, decimal minRunThreshold = 0.0001m, bool DailyIndicatorReset = true)
{
_runsPerDay = runsPerDay;
_actualRun = 1m;
_turnAround = false;
_minRunThreshold = minRunThreshold;
_dailyIndicatorReset = DailyIndicatorReset;
_smoothedSeries = smoothedSeries;
_smoothedSeriesROC = new RateOfChange(1).Of(_smoothedSeries);
_SSROCRW = new RollingWindow<IndicatorDataPoint>(2);
_todayRuns = new List<decimal>();
_previousDaysDownwardRuns = new RollingWindow<decimal>(previousDaysN);
_previousDaysUpwardRuns = new RollingWindow<decimal>(previousDaysN);
ActualSignal = OrderSignal.doNothing;
Position = StockState.noInvested;
_smoothedSeriesROC.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (_smoothedSeriesROC.IsReady) _SSROCRW.Add(updated);
if (_SSROCRW.IsReady) RunStrategy();
if (_SSROCRW.IsReady && IsReady) CheckSignal();
};
}
public void ContainsTest()
{
RollingWindow<int> rollingWindow = new RollingWindow<int>(5);
for (int i = 0; i < rollingWindow.WindowSize; i++)
rollingWindow.Add(i);
for (int i = -5; i < 10; i++)
Assert.AreEqual((i >= 0) && (i < 5), rollingWindow.Contains(i));
}
public Sig10Strategy(SecurityHolding sym, Indicator priceIdentity, int trendPeriod, decimal lossThreshhold, decimal tolerance, decimal revertPct)
{
trendArray = new decimal[trendPeriod + 1]; // initialized to 0. Add a period for Deserialize to make IsReady true
symbol = sym.Symbol;
_holding = sym;
_price = priceIdentity;
_period = trendPeriod;
_lossThreshhold = lossThreshhold;
_tolerance = tolerance;
RevPct = revertPct;
Trend = new InstantaneousTrend(sym.Symbol.Value, 7, .24m).Of(priceIdentity);
TrendMomentum = new Momentum(2).Of(Trend);
MomentumWindow = new RollingWindow<decimal>(2);
ActualSignal = OrderSignal.doNothing;
Trend.Updated += (object sender, IndicatorDataPoint updated) =>
{
Barcount++;
UpdateTrendArray(Trend.Current.Value);
nTrig = Trend.Current.Value;
if (Trend.IsReady)
{
TrendMomentum.Update(Trend.Current);
}
if (TrendMomentum.IsReady)
MomentumWindow.Add(TrendMomentum.Current.Value);
if (MomentumWindow.IsReady)
CheckSignal();
};
}
public void CopyToTest()
{
RollingWindow<int> rollingWindow = new RollingWindow<int>(5);
int[] array = new int[rollingWindow.WindowSize];
for (int i = 0; i < rollingWindow.WindowSize + 1; i++)
rollingWindow.Add(i);
rollingWindow.CopyTo(array, 0);
for (int i = 0; i < array.Length; i++)
Assert.AreEqual(i + 1, array[i]);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
// mylog.Debug(",CurrentBar,Time,Price,smooth,low,i1,cycle0,cycle1,cycle2,fish,medianDelta,DC,instaperiod, v2,DCPeriod,realpart,imagpart,dcphase");
mylog.Debug(ondataheader);
//mylog.Debug(",Time,CurrentBar,Direction,TradeProfit,,Price,Profit,HoldingCost,FillQty,Fees,TransAmt");
//mylog.Debug(transheader);
//Initialize
SetStartDate(2015, 05, 12);
SetEndDate(2015, 05, 12);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
_indicators = new AlgoIndicators
{
//BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//EMA = EMA(_symbol, 14, Resolution.Daily),
//SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Minute)
//AROON = AROON(_symbol, 20, Resolution.Daily),
//MOM = MOM(_symbol, 20, Resolution.Daily),
//MOMP = MOMP(_symbol, 20, Resolution.Daily),
//STD = STD(_symbol, 20, Resolution.Daily),
//MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
//MAX = MAX(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the max of the high property
//open = new WindowIndicator<IndicatorDataPoint>(4)
//Ft = FT(_symbol, samplesize, Resolution.Minute),
//Rvi = RVI(_symbol, samplesize, Resolution.Minute)
};
//open = new RollingWindow<IndicatorDataPoint>(samplesize);
//close = new RollingWindow<IndicatorDataPoint>(samplesize);
//high = new RollingWindow<IndicatorDataPoint>(samplesize);
//low = new RollingWindow<IndicatorDataPoint>(samplesize);
//i1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//instperiod = new RollingWindow<IndicatorDataPoint>(samplesize);
//v2 = new RollingWindow<IndicatorDataPoint>(samplesize);
//v1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//Rvi = new RollingWindow<IndicatorDataPoint>(samplesize);
unrealized = new RollingWindow<IndicatorDataPoint>(samplesize);
iFishes = new RollingWindow<IndicatorDataPoint>(samplesize);
RsiHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
//Signal = new RollingWindow<IndicatorDataPoint>(samplesize);
//maxRvi = new Maximum("RVI_Max", samplesize);
//minRvi = new Minimum("RVi_Min", samplesize);
//maxSignal = new Maximum("Sig_Max", samplesize);
//minSignal = new Minimum("Sig_Min", samplesize);
fish = new FisherTransform(samplesize);
ifish = new InverseFisherTransform(samplesize);
//Crossing = new RollingWindow<IndicatorDataPoint>(samplesize);
//FisherHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
Rvi = new RelativeVigorIndex(_symbol, samplesize);
for (int x = 0; x < samplesize; x++)
{
//open.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//close.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//high.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//low.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//i1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//instperiod.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v2.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Rvi.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
unrealized.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
iFishes.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Signal.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Crossing.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
}
public void RetievesNonZeroIndexProperlyAfterReset()
{
var window = new RollingWindow<int>(3);
window.Add(0);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(0, window[0]);
window.Add(1);
Assert.AreEqual(2, window.Count);
Assert.AreEqual(0, window[1]);
Assert.AreEqual(1, window[0]);
window.Add(2);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(0, window[2]);
Assert.AreEqual(1, window[1]);
Assert.AreEqual(2, window[0]);
window.Add(3);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(1, window[2]);
Assert.AreEqual(2, window[1]);
Assert.AreEqual(3, window[0]);
window.Reset();
window.Add(0);
Assert.AreEqual(1, window.Count);
Assert.AreEqual(0, window[0]);
window.Add(1);
Assert.AreEqual(2, window.Count);
Assert.AreEqual(0, window[1]);
Assert.AreEqual(1, window[0]);
window.Add(2);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(0, window[2]);
Assert.AreEqual(1, window[1]);
Assert.AreEqual(2, window[0]);
window.Add(3);
Assert.AreEqual(3, window.Count);
Assert.AreEqual(1, window[2]);
Assert.AreEqual(2, window[1]);
Assert.AreEqual(3, window[0]);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 07);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
maxHigh = new Maximum("MaxHigh", _period);
minLow = new Minimum("MinLow", _period);
value1 = new RollingWindow<IndicatorDataPoint>(_period);
fish = new RollingWindow<IndicatorDataPoint>(_period);
//wma = new LinearWeightedMovingAverage(5); // induces 2 bar lag
//wwma = new RollingWindow<IndicatorDataPoint>(_period);
//fishHigh = new Maximum("FishHigh", 400);
//fishLow = new Minimum("FishLow", 400);
fx = new FisherTransform(_symbol,_period);
//fx = FT(_symbol, _period, Resolution.Minute);
// Add a bars to initialize the RollingWindow
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
public void ClearTest()
{
RollingWindow<int> rollingWindow = new RollingWindow<int>(5);
for (int i = 0; i < rollingWindow.WindowSize; i++)
rollingWindow.Add(i);
Assert.AreEqual(rollingWindow.WindowSize, rollingWindow.Count);
rollingWindow.Clear();
Assert.AreEqual(0, rollingWindow.Count);
}
public void GetEnumeratorTest()
{
RollingWindow<int> rollingWindow = new RollingWindow<int>(5);
int count = 0;
for (int i = 0; i < rollingWindow.WindowSize + 1; i++)
rollingWindow.Add(i);
foreach (int i in rollingWindow)
Assert.AreEqual(++count, i);
}
private Rectangle FindBoardBounds()
{
const int fromTop = 150;
const int fromLeft = 90;
const int width = 180;
const int height = 360;
int left = 0;
int top = 0;
{
RollingWindow<int> lums = new RollingWindow<int>(10);
for (int i = (int)(fromLeft * .9); i < fromTop * 1.1; i++)
{
Color c = _bitmap.GetPixel(app.X + fromLeft + (width / 2), app.Y + i);
lums.Add((int)(c.GetBrightness() * 100));
if (lums.HasValue(2))
{
if (lums.Get(2) == 0 && lums.Get(1) == 16 && lums.Get(0) == 13)
{
top = i;
break;
}
}
}
}
{
RollingWindow<int> lums = new RollingWindow<int>(10);
for (int i = (int)(fromLeft * .9); i < fromLeft * 1.1; i++)
{
Color c = _bitmap.GetPixel(app.X + i, app.Y + fromTop + (height / 2));
lums.Add((int)(c.GetBrightness() * 100));
if (lums.HasValue(1))
{
if (lums.Get(1) == 0 && lums.Get(0) == 13)
{
left = i;
break;
}
}
}
}
return new Rectangle(new Point(app.X + left, app.Y + top), new Size(width, height));
}