public void Reset()
{
// Not resetting the ITrend increases returns
sma.Reset();
SMAMomentum.Reset();
MomentumWindow.Reset();
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
_fastSma.Reset();
_slowSma.Reset();
_sma200.Reset();
_sma100.Reset();
_sma20.Reset();
base.Reset();
}
protected override void OnReseted()
{
if (_area != null)
{
new ChartRemoveAreaCommand(_area).Process(this);
}
_area = null;
_shortSma.Reset();
_longSma.Reset();
base.OnReseted();
}
public void ResetsProperly()
{
var sma = new SimpleMovingAverage(3);
foreach (var data in TestHelper.GetDataStream(4))
{
sma.Update(data);
}
Assert.IsTrue(sma.IsReady);
sma.Reset();
TestHelper.AssertIndicatorIsInDefaultState(sma);
}
public void ResetsProperly()
{
var sma = new SimpleMovingAverage(3);
foreach (var data in TestHelper.GetDataStream(4))
{
sma.Update(data);
}
Assert.IsTrue(sma.IsReady);
sma.Reset();
TestHelper.AssertIndicatorIsInDefaultState(sma);
}
public override void ResetsProperly()
{
var sma = new SimpleMovingAverage(3);
foreach (var data in TestHelper.GetDataStream(4))
{
sma.Update(data);
}
Assert.IsTrue(sma.IsReady);
sma.Reset();
TestHelper.AssertIndicatorIsInDefaultState(sma);
TestHelper.AssertIndicatorIsInDefaultState(sma.RollingSum);
sma.Update(DateTime.UtcNow, 2.0m);
Assert.AreEqual(sma.Current.Value, 2.0m);
}
public void ResetsProperly()
{
var sma = new SimpleMovingAverage(3);
foreach (var data in TestHelper.GetDataStream(4))
{
sma.Update(data);
}
Assert.IsTrue(sma.IsReady);
sma.Reset();
TestHelper.AssertIndicatorIsInDefaultState(sma);
TestHelper.AssertIndicatorIsInDefaultState(sma.RollingSum);
sma.Update(DateTime.UtcNow, 2.0m);
Assert.AreEqual(sma.Current.Value, 2.0m);
}
public void ResetsProperly()
{
var sma = new SimpleMovingAverage(3);
foreach (var data in TestHelper.GetDataStream(4))
{
sma.Update(data);
}
Assert.True(sma.IsReady);
sma.Reset();
TestHelper.AssertIndicatorIsInDefaultState(sma);
TestHelper.AssertIndicatorIsInDefaultState(sma.RollingSum);
sma.Update(DateTime.UtcNow, TimeZone.Utc, 2.0m);
Assert.Equal(2.0m, sma.Current.Price);
}
public void ResetsProperly()
{
var inner = new SimpleMovingAverage(2);
var func = new FunctionalIndicator("f", (time, data) => {
inner.Update(time, data);
return(inner.Current.Value * 2);
},
@this => inner.IsReady,
() => inner.Reset()
);
func.Update(DateTime.Today, 1d);
func.Update(DateTime.Today.AddSeconds(1), 2d);
Assert.IsTrue(func.IsReady);
func.Reset();
TestHelper.AssertIndicatorIsInDefaultState(inner);
TestHelper.AssertIndicatorIsInDefaultState(func);
}
public void ResetsProperly()
{
var inner = new SimpleMovingAverage(2);
var func = new FunctionalIndicator<IndicatorDataPoint>("f", data =>
{
inner.Update(data);
return inner.Current.Value*2;
},
@this => inner.IsReady,
() => inner.Reset()
);
func.Update(DateTime.Today, 1m);
func.Update(DateTime.Today.AddSeconds(1), 2m);
Assert.IsTrue(func.IsReady);
func.Reset();
TestHelper.AssertIndicatorIsInDefaultState(inner);
TestHelper.AssertIndicatorIsInDefaultState(func);
}
public void ResetsProperly()
{
var inner = new SimpleMovingAverage(2);
var func = new FunctionalIndicator <IndicatorDataPoint>("f", data =>
{
inner.Update(data);
return(inner.Current.Price * 2);
},
@this => inner.IsReady,
() => inner.Reset()
);
func.Update(DateTime.Today, TimeZone.Utc, 1m);
func.Update(DateTime.Today.AddSeconds(1), TimeZone.Utc, 2m);
Assert.True(func.IsReady);
func.Reset();
TestHelper.AssertIndicatorIsInDefaultState(inner);
TestHelper.AssertIndicatorIsInDefaultState(func);
}
/// <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(2013, 10, 08); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
var SPY = AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily).Symbol;
var CME_SP1 = AddData <QuandlFuture>("CHRIS/CME_SP1", Resolution.Daily).Symbol;
// specifying the exchange will allow the history methods that accept a number of bars to return to work properly
Securities["CHRIS/CME_SP1"].Exchange = new EquityExchange();
// we can get history in initialize to set up indicators and such
_spyDailySma = new SimpleMovingAverage(14);
// get the last calendar year's worth of SPY data at the configured resolution (daily)
var tradeBarHistory = History <TradeBar>("SPY", TimeSpan.FromDays(365));
AssertHistoryCount("History<TradeBar>(\"SPY\", TimeSpan.FromDays(365))", tradeBarHistory, 250, SPY);
// get the last calendar day's worth of SPY data at the specified resolution
tradeBarHistory = History <TradeBar>("SPY", TimeSpan.FromDays(1), Resolution.Minute);
AssertHistoryCount("History<TradeBar>(\"SPY\", TimeSpan.FromDays(1), Resolution.Minute)", tradeBarHistory, 390, SPY);
// get the last 14 bars of SPY at the configured resolution (daily)
tradeBarHistory = History <TradeBar>("SPY", 14).ToList();
AssertHistoryCount("History<TradeBar>(\"SPY\", 14)", tradeBarHistory, 14, SPY);
// get the last 14 minute bars of SPY
tradeBarHistory = History <TradeBar>("SPY", 14, Resolution.Minute);
AssertHistoryCount("History<TradeBar>(\"SPY\", 14, Resolution.Minute)", tradeBarHistory, 14, SPY);
// we can loop over the return value from these functions and we get TradeBars
// we can use these TradeBars to initialize indicators or perform other math
foreach (TradeBar tradeBar in tradeBarHistory)
{
_spyDailySma.Update(tradeBar.EndTime, tradeBar.Close);
}
// get the last calendar year's worth of quandl data at the configured resolution (daily)
var quandlHistory = History <QuandlFuture>("CHRIS/CME_SP1", TimeSpan.FromDays(365));
AssertHistoryCount("History<Quandl>(\"CHRIS/CME_SP1\", TimeSpan.FromDays(365))", quandlHistory, 250, CME_SP1);
// get the last 14 bars of SPY at the configured resolution (daily)
quandlHistory = History <QuandlFuture>("CHRIS/CME_SP1", 14);
AssertHistoryCount("History<Quandl>(\"CHRIS/CME_SP1\", 14)", quandlHistory, 14, CME_SP1);
// get the last 14 minute bars of SPY
// we can loop over the return values from these functions and we'll get Quandl data
// this can be used in much the same way as the tradeBarHistory above
_spyDailySma.Reset();
foreach (QuandlFuture quandl in quandlHistory)
{
_spyDailySma.Update(quandl.EndTime, quandl.Value);
}
// get the last year's worth of all configured Quandl data at the configured resolution (daily)
var allQuandlData = History <QuandlFuture>(TimeSpan.FromDays(365));
AssertHistoryCount("History<QuandlFuture>(TimeSpan.FromDays(365))", allQuandlData, 250, CME_SP1);
// get the last 14 bars worth of Quandl data for the specified symbols at the configured resolution (daily)
allQuandlData = History <QuandlFuture>(Securities.Keys, 14);
AssertHistoryCount("History<QuandlFuture>(Securities.Keys, 14)", allQuandlData, 14, CME_SP1);
// NOTE: using different resolutions require that they are properly implemented in your data type, since
// Quandl doesn't support minute data, this won't actually work, but if your custom data source has
// different resolutions, it would need to be implemented in the GetSource and Reader methods properly
//quandlHistory = History<QuandlFuture>("CHRIS/CME_SP1", TimeSpan.FromDays(7), Resolution.Minute);
//quandlHistory = History<QuandlFuture>("CHRIS/CME_SP1", 14, Resolution.Minute);
//allQuandlData = History<QuandlFuture>(TimeSpan.FromDays(365), Resolution.Minute);
//allQuandlData = History<QuandlFuture>(Securities.Keys, 14, Resolution.Minute);
//allQuandlData = History<QuandlFuture>(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute);
//allQuandlData = History<QuandlFuture>(Securities.Keys, 14, Resolution.Minute);
// get the last calendar year's worth of all quandl data
allQuandlData = History <QuandlFuture>(Securities.Keys, TimeSpan.FromDays(365));
AssertHistoryCount("History<QuandlFuture>(Securities.Keys, TimeSpan.FromDays(365))", allQuandlData, 250, CME_SP1);
// the return is a series of dictionaries containing all quandl data at each time
// we can loop over it to get the individual dictionaries
foreach (DataDictionary <QuandlFuture> quandlsDataDictionary in allQuandlData)
{
// we can access the dictionary to get the quandl data we want
var quandl = quandlsDataDictionary["CHRIS/CME_SP1"];
}
// we can also access the return value from the multiple symbol functions to request a single
// symbol and then loop over it
var singleSymbolQuandl = allQuandlData.Get("CHRIS/CME_SP1");
AssertHistoryCount("allQuandlData.Get(\"CHRIS/CME_SP1\")", singleSymbolQuandl, 250, CME_SP1);
foreach (QuandlFuture quandl in singleSymbolQuandl)
{
// do something with 'CHRIS/CME_SP1' quandl data
}
// we can also access individual properties on our data, this will
// get the 'CHRIS/CME_SP1' quandls like above, but then only return the Low properties
var quandlSpyLows = allQuandlData.Get("CHRIS/CME_SP1", "Low");
AssertHistoryCount("allQuandlData.Get(\"CHRIS/CME_SP1\", \"Low\")", quandlSpyLows, 250);
foreach (decimal low in quandlSpyLows)
{
// do something with each low value
}
// sometimes it's necessary to get the history for many configured symbols
// request the last year's worth of history for all configured symbols at their configured resolutions
var allHistory = History(TimeSpan.FromDays(365));
AssertHistoryCount("History(TimeSpan.FromDays(365))", allHistory, 250, SPY, CME_SP1);
// request the last days's worth of history at the minute resolution
allHistory = History(TimeSpan.FromDays(1), Resolution.Minute);
AssertHistoryCount("History(TimeSpan.FromDays(1), Resolution.Minute)", allHistory, 391, SPY, CME_SP1);
// request the last 100 bars for the specified securities at the configured resolution
allHistory = History(Securities.Keys, 100);
AssertHistoryCount("History(Securities.Keys, 100)", allHistory, 100, SPY, CME_SP1);
// request the last 100 minute bars for the specified securities
allHistory = History(Securities.Keys, 100, Resolution.Minute);
AssertHistoryCount("History(Securities.Keys, 100, Resolution.Minute)", allHistory, 101, SPY, CME_SP1);
// request the last calendar years worth of history for the specified securities
allHistory = History(Securities.Keys, TimeSpan.FromDays(365));
AssertHistoryCount("History(Securities.Keys, TimeSpan.FromDays(365))", allHistory, 250, SPY, CME_SP1);
// we can also specify the resolution
allHistory = History(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute);
AssertHistoryCount("History(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute)", allHistory, 391, SPY, CME_SP1);
// if we loop over this allHistory, we get Slice objects
foreach (Slice slice in allHistory)
{
// do something with each slice, these will come in time order
// and will NOT have auxilliary data, just price data and your custom data
// if those symbols were specified
}
// we can access the history for individual symbols from the all history by specifying the symbol
// the type must be a trade bar!
tradeBarHistory = allHistory.Get <TradeBar>("SPY");
AssertHistoryCount("allHistory.Get(\"SPY\")", tradeBarHistory, 390, SPY);
// we can access all the closing prices in chronological order using this get function
var closeHistory = allHistory.Get("SPY", Field.Close);
AssertHistoryCount("allHistory.Get(\"SPY\", Field.Close)", closeHistory, 390);
foreach (decimal close in closeHistory)
{
// do something with each closing value in order
}
// we can convert the close history into your normal double array (double[]) using the ToDoubleArray method
double[] doubleArray = closeHistory.ToDoubleArray();
// for the purposes of regression testing, we're explicitly requesting history
// using the universe symbols. Requests for universe symbols are filtered out
// and never sent to the history provider.
var universeSecurityHistory = History(UniverseManager.Keys, TimeSpan.FromDays(10)).ToList();
if (universeSecurityHistory.Count != 0)
{
throw new Exception("History request for universe symbols incorrectly returned data. "
+ "These requests are intended to be filtered out and never sent to the history provider.");
}
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
base.Reset();
_priceLag.Reset();
_sma.Reset();
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
_sma1.Reset();
_sma2.Reset();
base.Reset();
}