/// <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>
/// 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, 01, 01); //Set Start Date
SetEndDate(2014, 01, 01); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "IBM", Resolution.Hour);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
macd = MACD("SPY", 12, 26, 9, MovingAverageType.Wilders, Resolution.Daily, Field.Close);
ema = EMA("IBM", 15*6, Resolution.Hour, Field.SevenBar);
Securities["IBM"].SetLeverage(1.0m);
}
public void ResetsProperly()
{
var macd = new MovingAverageConvergenceDivergence("macd", 3, 5, 3);
foreach (var data in TestHelper.GetDataStream(30))
{
macd.Update(data);
}
Assert.IsTrue(macd.IsReady);
macd.Reset();
TestHelper.AssertIndicatorIsInDefaultState(macd);
TestHelper.AssertIndicatorIsInDefaultState(macd.Fast);
TestHelper.AssertIndicatorIsInDefaultState(macd.Signal);
TestHelper.AssertIndicatorIsInDefaultState(macd.Signal);
}
/// <summary>
/// Creates a new schaff trend cycle with the specified parameters
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="fastPeriod">The fast moving average period</param>
/// <param name="slowPeriod">The slow moving average period</param>
/// <param name="cyclePeriod">The signal period</param>
/// <param name="type">The type of moving averages to use</param>
public SchaffTrendCycle(string name, int cyclePeriod, int fastPeriod, int slowPeriod, MovingAverageType type)
: base(name)
{
//Create MACD indicator and track max and min.
_MACD = new MovingAverageConvergenceDivergence(fastPeriod, slowPeriod, cyclePeriod, type);
_maximum = _MACD.MAX(cyclePeriod, false);
_minimum = _MACD.MIN(cyclePeriod, false);
//Stochastics of MACD variables
_K = new Identity(name + "_K");
_D = type.AsIndicator(3).Of(_K, false);
_maximumD = _D.MAX(cyclePeriod, false);
_minimumD = _D.MIN(cyclePeriod, false);
//Stochastics of MACD Stochastics variables; _PFF is STC
_PF = new Identity(name + "_PF");
_PFF = type.AsIndicator(3).Of(_PF, false);
WarmUpPeriod = _MACD.WarmUpPeriod;
}
public void ComputesCorrectly()
{
var fast = new SimpleMovingAverage(3);
var slow = new SimpleMovingAverage(5);
var signal = new SimpleMovingAverage(3);
var macd = new MovingAverageConvergenceDivergence("macd", 3, 5, 3, MovingAverageType.Simple);
foreach (var data in TestHelper.GetDataStream(7))
{
fast.Update(data);
slow.Update(data);
macd.Update(data);
Assert.AreEqual(fast - slow, macd);
if (fast.IsReady && slow.IsReady)
{
signal.Update(new IndicatorDataPoint(data.Time, macd));
Assert.AreEqual(signal.Current.Value, macd.Current.Value);
}
}
}
/// <summary>
/// Called at the start of your algorithm to setup your requirements:
/// </summary>
public override void Initialize()
{
SetCash(100000);
symbols.Add("SPY");
SetStartDate(1998, 1, 1);
SetEndDate(2014, 6, 1);
//Present Social Media Stocks:
// symbols.Add("FB");symbols.Add("LNKD");symbols.Add("GRPN");symbols.Add("TWTR");
// SetStartDate(2011, 1, 1);
// SetEndDate(2014, 12, 1);
//2008 Financials:
// symbols.Add("C");symbols.Add("AIG");symbols.Add("BAC");symbols.Add("HBOS");
// SetStartDate(2003, 1, 1);
// SetEndDate(2011, 1, 1);
//2000 Dot.com:
// symbols.Add("IPET");symbols.Add("WBVN");symbols.Add("GCTY");
// SetStartDate(1998, 1, 1);
// SetEndDate(2000, 1, 1);
//CAPE data
AddData<CAPE>("CAPE");
foreach (string stock in symbols)
{
AddSecurity(SecurityType.Equity, stock, Resolution.Minute);
macd = MACD(stock, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily);
macdDic.Add(stock, macd);
rsi = RSI(stock, 14, MovingAverageType.Exponential, Resolution.Daily);
rsiDic.Add(stock, rsi);
Securities[stock].SetLeverage(10);
}
}
public SymbolData(Symbol symbol, QCAlgorithm algorithm)
{
Symbol = symbol;
Security = algorithm.Securities[symbol];
Close = algorithm.Identity(symbol);
ADX = algorithm.ADX(symbol, 14);
EMA = algorithm.EMA(symbol, 14);
MACD = algorithm.MACD(symbol, 12, 26, 9);
// if we're receiving daily
_algorithm = algorithm;
}
public SchaffTrendCycle(string name, int fastPeriod, int slowPeriod, int signalPeriod, MovingAverageType movingAverageType) : base(name)
{
_macd = new MovingAverageConvergenceDivergence(name + "_MACD", fastPeriod, slowPeriod, signalPeriod, movingAverageType);
_frac1 = new Stochastic(name + "Frac1", 10, 10, 10);
_frac2 = new Stochastic(name + "Frac2", 10, 10, 10);
}