public override void Initialize()
{
SetStartDate(2007, 6, 1);
SetEndDate(DateTime.Now.Date.AddDays(-1));
SetCash(10000);
AddSecurity(SecurityType.Equity, spy, Resolution.Minute);
foreach (var security in securities)
{
AddSecurity(SecurityType.Equity, security, Resolution.Minute);
Securities[security].SetLeverage(8m);
}
Schedule.On(DateRules.Every(DayOfWeek.Tuesday), TimeRules.At(11, 0), () =>
{
foreach (var security in hedges.Where(s => Securities[s].Price > 0m))
{
SetHoldings(security, _leverage * 1.06m / (hedges.Where(s => Securities[s].Price > 0m).Count()));
}
foreach (var security in riskyAssets.Where(s => Securities[s].Price > 0m))
{
SetHoldings(security, _leverage * 0.27m / (riskyAssets.Where(s => Securities[s].Price > 0m).Count()));
}
});
}
/// <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, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
// events are scheduled using date and time rules
// date rules specify on what dates and event will fire
// time rules specify at what time on thos dates the event will fire
// schedule an event to fire at a specific date/time
Schedule.On(DateRules.On(2013, 10, 7), TimeRules.At(13, 0), () =>
{
Log("SpecificTime: Fired at : " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes after SPY's market open
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 10), () =>
{
Log("EveryDay.SPY 10 min after open: Fired at: " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes before SPY's market close
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY", 10), () =>
{
Log("EveryDay.SPY 10 min before close: Fired at: " + Time);
});
// schedule an event to fire on certain days of the week
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Friday), TimeRules.At(12, 0), () =>
{
Log("Mon/Fri at 12pm: Fired at: " + Time);
});
// the scheduling methods return the ScheduledEvent object which can be used for other things
// here I set the event up to check the portfolio value every 10 minutes, and liquidate if we have too many losses
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(10)), () =>
{
// if we have over 1000 dollars in unrealized losses, liquidate
if (Portfolio.TotalUnrealizedProfit < -1000)
{
Log("Liquidated due to unrealized losses at: " + Time);
Liquidate();
}
});
// schedule an event to fire at the beginning of the month, the symbol is optional if
// specified, it will fire the first trading day for that symbol of the month, if not specified
// it will fire on the first day of the month
Schedule.On(DateRules.MonthStart("SPY"), TimeRules.AfterMarketOpen("SPY"), () =>
{
// good spot for rebalancing code?
});
}
public override void Initialize()
{
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(2500000);
SetCash("TRY", 111000, 1); //Set Strategy Cash
security = AddSecurity(SecurityType.Equity, BIST_SECURITY_NAME, Resolution.Second);
Schedule.On(DateRules.On(2016, 05, 11), TimeRules.At(11, 38), () =>
{
Log("SpecificTime: Fired at : " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes after SPY's market open
Schedule.On(DateRules.EveryDay(BIST_SECURITY_NAME), TimeRules.AfterMarketOpen(BIST_SECURITY_NAME, 10), () =>
{
Log("EveryDay.GARAN 10 min after open: Fired at: " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes before SPY's market close
Schedule.On(DateRules.EveryDay(BIST_SECURITY_NAME), TimeRules.BeforeMarketClose(BIST_SECURITY_NAME, 10), () =>
{
Log("EveryDay.GARAN 10 min before close: Fired at: " + Time);
});
// schedule an event to fire on certain days of the week
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Friday), TimeRules.At(12, 0), () =>
{
Log("Mon/Fri at 12pm: Fired at: " + Time);
});
// the scheduling methods return the ScheduledEvent object which can be used for other things
// here I set the event up to check the portfolio value every 10 minutes, and liquidate if we have too many losses
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(10)), () =>
{
Log("EveryDay 10 min Fired at: " + Time);
// if we have over 1000 dollars in unrealized losses, liquidate
if (Portfolio.TotalUnrealizedProfit < -1000)
{
Log("Liquidated due to unrealized losses at: " + Time);
Liquidate();
}
});
//SetBrokerageModel(BrokerageName.TEB);
//QuantConnect.Securities.Security sec = AddSecurity(SecurityType.Equity, SECURITY_NAME, Resolution.Second);
//security.DataFilter = new CustomDataFilter(); //Securities[securityName].DataFilter = new CustomDataFilter();
//sec.FeeModel = new QuantConnect.Orders.Fees.TEBFeeModel(0);
//sec.FillModel = new QuantConnect.Orders.Fills.TEBFillModel();
//sec.MarginModel = new QuantConnect.Securities.TEBSecurityMarginModel(1m);
//sec.SlippageModel = new QuantConnect.Orders.Slippage.TEBSlippageModel(0m);
}
public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 14);
AddEquity("SPY", Resolution.Daily);
// Set TrainingMethod to be executed immediately
Train(TrainingMethod);
// Set TrainingMethod to be executed at 8:00 am every Sunday
Train(DateRules.Every(DayOfWeek.Sunday), TimeRules.At(8, 0), TrainingMethod);
}
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SetCash(100000);
var symbol = AddEquity("SPY").Symbol;
ROC(symbol, 1, Resolution.Daily).Updated += (s, e) => _window.Add((double)e.Value);
Schedule.On(DateRules.Every(DayOfWeek.Monday),
TimeRules.AfterMarketOpen(symbol, 10),
TrainAndTrade);
SetWarmUp(_window.Size, Resolution.Daily);
}
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Hour;
SetStartDate(2017, 01, 01);
SetEndDate(2017, 02, 01);
// selection will run on mon/tues/thurs at 00:00/12:00
SetUniverseSelection(new ScheduledUniverseSelectionModel(
DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
TimeRules.Every(TimeSpan.FromHours(12)),
SelectSymbols
));
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1)));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
}
/// <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()
{
UniverseSettings.Resolution = Resolution.Daily;
SetStartDate(2015, 1, 1);
SetEndDate(2017, 1, 1);
Settings.RebalancePortfolioOnInsightChanges = false;
Settings.RebalancePortfolioOnSecurityChanges = false;
SetUniverseSelection(new CustomUniverseSelectionModel(
"CustomUniverseSelectionModel",
time => new List <string> {
"AAPL", "IBM", "FB", "SPY"
}
));
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(DateRules.Every(DayOfWeek.Wednesday)));
SetExecution(new ImmediateExecutionModel());
}
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Hour;
// Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
// Commented so regression algorithm is more sensitive
//Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
SetStartDate(2017, 01, 01);
SetEndDate(2017, 02, 01);
// selection will run on mon/tues/thurs at 00:00/12:00
SetUniverseSelection(new ScheduledUniverseSelectionModel(
DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
TimeRules.Every(TimeSpan.FromHours(12)),
SelectSymbols
));
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1)));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
}
/// <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()
{
UniverseSettings.Resolution = Resolution.Daily;
// Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
// Commented so regression algorithm is more sensitive
//Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
SetStartDate(2015, 1, 1);
SetEndDate(2017, 1, 1);
Settings.RebalancePortfolioOnInsightChanges = false;
Settings.RebalancePortfolioOnSecurityChanges = false;
SetUniverseSelection(new CustomUniverseSelectionModel(
"CustomUniverseSelectionModel",
time => new List <string> {
"AAPL", "IBM", "FB", "SPY"
}
));
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(DateRules.Every(DayOfWeek.Wednesday)));
SetExecution(new ImmediateExecutionModel());
}
public override void Initialize()
{
SetStartDate(2016, 1, 1);
SetEndDate(2017, 1, 1);
SetCash(3000);
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
foreach (var symbol in Symbols)
{
AddForex(symbol, _dataResolution, Market.Oanda, false, 1m);
Securities[symbol].TransactionModel = new OandaTransactionModel();
//Securities[symbol].SlippageModel = new ConstantSlippageModel(0m);
SetBrokerageModel(BrokerageName.OandaBrokerage);
/******** LONG TERM TREND ********/
var dailyConsolidator = new QuoteBarConsolidator(TimeSpan.FromDays(1));
var alma = new ExponentialMovingAverage(symbol, 10);
RegisterIndicator(symbol, alma, dailyConsolidator);
SubscriptionManager.AddConsolidator(symbol, dailyConsolidator);
/******** SHORT TERM TRADING ********/
var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(15));
var schaffTrendCycle = new SchaffTrendCycle(symbol);
var atr = new AverageTrueRange(symbol, 10);
var adx = new AverageDirectionalIndex(symbol, 10);
RegisterIndicator(symbol, schaffTrendCycle, consolidator);
RegisterIndicator(symbol, atr, consolidator);
RegisterIndicator(symbol, adx, consolidator);
/****** ALMA Fibonacci ******/
var alma5 = new ArnaudLegouxMovingAverage(symbol, 5);
var alma8 = new ArnaudLegouxMovingAverage(symbol, 8);
var alma13 = new ArnaudLegouxMovingAverage(symbol, 13);
var alma21 = new ArnaudLegouxMovingAverage(symbol, 21);
var alma34 = new ArnaudLegouxMovingAverage(symbol, 34);
var alma55 = new ArnaudLegouxMovingAverage(symbol, 55);
var alma89 = new ArnaudLegouxMovingAverage(symbol, 89);
var alma144 = new ArnaudLegouxMovingAverage(symbol, 144);
RegisterIndicator(symbol, alma5, consolidator);
RegisterIndicator(symbol, alma8, consolidator);
RegisterIndicator(symbol, alma13, consolidator);
RegisterIndicator(symbol, alma21, consolidator);
RegisterIndicator(symbol, alma34, consolidator);
RegisterIndicator(symbol, alma55, consolidator);
RegisterIndicator(symbol, alma89, consolidator);
RegisterIndicator(symbol, alma144, consolidator);
SubscriptionManager.AddConsolidator(symbol, consolidator);
var signal = new SVMBaselineSignal(
dailyConsolidator, alma,
consolidator, alma5, alma8, alma13, alma21, alma34, alma55, alma89, alma144, schaffTrendCycle, atr, adx,
Portfolio[symbol], Securities[symbol], this
);
var std = ATR(symbol, 100, MovingAverageType.DoubleExponential, _dataResolution);
/******** HISTORY ********/
var history = History <QuoteBar>(symbol, TimeSpan.FromDays(100), _dataResolution);
foreach (var bar in history)
{
std.Update(bar);
consolidator.Update(bar);
dailyConsolidator.Update(bar);
}
if (_store)
{
var header = new string[] { "Time", "ALMA_5", "ALMA_8", "ALMA_13", "ALMA_21", "ALMA_34", "ALMA_55", "ALMA_89", "ALMA_144" };
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{symbol}_ALMA.csv", header);
consolidator.DataConsolidated += (sender, args) =>
{
var line = new object[] { Storage.ToUTCTimestamp(args.Time), alma5.Current.Value, alma8.Current.Value, alma13.Current.Value,
alma21.Current.Value, alma34.Current.Value, alma55.Current.Value, alma89.Current.Value, alma144.Current.Value };
Storage.AppendToFile($"C:\\Users\\M\\Desktop\\{symbol}_ALMA.csv", line);
};
}
Securities[symbol].VolatilityModel = new AverageTrueRangeVolatilityModel(std);
_tradingAssets.Add(symbol,
new TradingAsset(Securities[symbol],
new OneShotTrigger(signal),
new ProfitTargetSignalExit(null, _targetProfitLoss),
_maximumTradeRisk,
_maximumTradeSize,
this
));
//_tradingAssets[symbol].IsTradable = true;
var h = new object[] { "Time", "Signal", "Price" };
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{symbol}_ALMA_Signal.csv", h);
}
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(7, 0, TimeZones.London), () =>
{
var tradeableDay = TradingCalendar.GetTradingDay().BusinessDay;
if (tradeableDay)
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = true;
}
}
});
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(20, 0, TimeZones.London), () =>
{
foreach (var s in Symbols)
{
//_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 240), () =>
{
foreach (var s in Symbols)
{
//_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 180), () =>
{
foreach (var s in Symbols)
{
//_tradingAssets[s].Liquidate();
//_tradingAssets[s].IsTradable = false;
}
});
/******** CHARTING ********/
/*Chart price = new Chart("Daily Price");
* price.AddSeries(new Series("Price", SeriesType.Candle, 0));
* price.AddSeries(new Series("MA", SeriesType.Line, 0));
* price.AddSeries(new Series("Slope", SeriesType.Line, 1));
* price.AddSeries(new Series("STC", SeriesType.Line, 2));
* AddChart(price);
*
* Chart ma = new Chart("MA");
* ma.AddSeries(new Series("HMA", SeriesType.Line, 0));
* ma.AddSeries(new Series("FAMA", SeriesType.Line, 1));
* AddChart(ma);
*
* Chart lsma = new Chart("LSMA");
* lsma.AddSeries(new Series("Slope", SeriesType.Line, 0));
* AddChart(lsma);*/
Chart plotter = new Chart("Plotter");
plotter.AddSeries(new Series("Close", SeriesType.Line, 0));
plotter.AddSeries(new Series("EMA", SeriesType.Line, 1));
plotter.AddSeries(new Series("Buy", SeriesType.Scatter, "", Color.Green, ScatterMarkerSymbol.Triangle));
plotter.AddSeries(new Series("Sell", SeriesType.Scatter, "", Color.Red, ScatterMarkerSymbol.TriangleDown));
//plotter.AddSeries(new Series("Stopped", SeriesType.Scatter, "", Color.Yellow, ScatterMarkerSymbol.Diamond));
plotter.AddSeries(new Series("Diff", SeriesType.Bar, 2));
plotter.AddSeries(new Series("Slope", SeriesType.Line, 3));
plotter.AddSeries(new Series("STC", SeriesType.Line, 4));
plotter.AddSeries(new Series("STOCH", SeriesType.Line, 5));
plotter.AddSeries(new Series("Prediction", SeriesType.Bar, 6));
plotter.AddSeries(new Series("Signal", SeriesType.Bar, 7));
AddChart(plotter);
}
public override void Initialize()
{
SetStartDate(2007, 4, 1);
SetEndDate(DateTime.Now);
SetCash(2000);
SetBenchmark(SecurityType.Forex, "EURUSD");
//Add as many securities as you like. All the data will be passed into the event handler:
foreach (var symbol in _symbols)
{
AddSecurity(SecurityType.Forex, symbol, _dataResolution);
//Securities[symbol].FeeModel = new ConstantFeeModel(0.04m);
Securities[symbol].FeeModel = new FxcmFeeModel();
Securities[symbol].SlippageModel = new SpreadSlippageModel();
Securities[symbol].TransactionModel = new FxcmTransactionModel();
//Securities[symbol].SetLeverage(50.0m);
SetBrokerageModel(BrokerageName.FxcmBrokerage);
Schedule.On(DateRules.Every(DayOfWeek.Sunday, DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.AfterMarketOpen(symbol, -60d), () =>
{
Securities[symbol].IsTradable = false;
// make untradeable
});
Schedule.On(DateRules.Every(DayOfWeek.Sunday, DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.AfterMarketOpen(symbol, 120d), () =>
{
// make tradeable
});
Schedule.On(DateRules.Every(DayOfWeek.Friday), TimeRules.BeforeMarketClose(symbol, -60d), () =>
{
Liquidate();
// make untradeable
});
_vwaps.Add(symbol, VWAP(symbol, 30));
var rsi = RSI(symbol, 30, MovingAverageType.Exponential, _dataResolution);
var momersion = MOMERSION(symbol, 10, 30, _dataResolution);
var williams = WILR(symbol, 60, _dataResolution);
var ind = SMA(symbol, 10, _dataResolution, x => rsi);
var adx = ADX(symbol, 30, _dataResolution);
var psar = PSAR(symbol, 0.02M, 0.02M, 0.2M, _dataResolution);
var fisher = new FisherTransform(symbol, 30);
var stoch1 = STO(symbol, 30, 30, 60);
var stoch2 = new Stochastic(symbol, 30, 30, 60);
var rocp = ROCP(symbol, 30, _dataResolution);
var tradeBarHistory = History(symbol, TimeSpan.FromDays(2), _dataResolution);
foreach (var tradeBar in tradeBarHistory)
{
_vwaps[symbol].Update(tradeBar);
}
Securities[symbol].VolatilityModel = new ThreeSigmaVolatilityModel(STD(symbol, 390, _dataResolution));
_tradingAssets.Add(symbol,
new TradingAsset(Securities[symbol],
new OneShotTrigger(new VwapSignal(_vwaps[symbol], Portfolio[symbol])),
new ProfitTargetSignalExit(null, TargetProfitLossRatio),
RiskPerTrade,
MaximumTradeSize,
this
));
}
}
// TODO: check volatilitymodel https://github.com/QuantConnect/Lean/blob/master/Common/Securities/RelativeStandardDeviationVolatilityModel.cs
public override void Initialize()
{
SetStartDate(2016, 1, 1);
SetEndDate(2016, 4, 1);
SetCash(3000);
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
var allInputs = new List <double[]>();
var allOutputs = new List <int>();
var allWeights = new List <double>();
foreach (var symbol in Symbols)
{
AddForex(symbol, _dataResolution, Market.Oanda, false, 1m);
Securities[symbol].TransactionModel = new OandaTransactionModel();
//Securities[symbol].SlippageModel = new ConstantSlippageModel(0m);
SetBrokerageModel(BrokerageName.OandaBrokerage);
/************ TRAINING ************/
var trainingResolution = Resolution.Minute;
/*var slowT = HMA(symbol, 28, trainingResolution, Field.Close);
* var slowSlopeT = new InstantTrend(symbol, 5).Of(slowT);
* var returnT = LOGR(symbol, 3, trainingResolution, Field.Close);
* var returnSlopeT = LSMA(symbol, 5, trainingResolution).Of(returnT);*/
var consolidatorT = new QuoteBarConsolidator(TimeSpan.FromMinutes(15));
var stochT = new Stochastic(symbol, 14, 3, 3);
var stochTMA = new HullMovingAverage(symbol, 3).Of(stochT);
var emaT = new ExponentialMovingAverage(symbol, 40);
RegisterIndicator(symbol, stochT, consolidatorT);
RegisterIndicator(symbol, emaT, consolidatorT);
SubscriptionManager.AddConsolidator(symbol, consolidatorT);
var historyT = History <QuoteBar>(symbol, TimeSpan.FromDays(500), trainingResolution);
var quoteBars = new List <QuoteBar>();
var stochs = new List <double>();
var rollingStochs = new RollingWindow <double>(1000);
var stochsMA = new List <double>();
var emas = new List <double>();
var stochCount = new List <double>();
var stochAverage = new List <double>();
//consolidatorT.DataConsolidated += (sender, args) => quoteBars.Add(args);
stochTMA.Updated += (sender, args) =>
{
if (!stochTMA.IsReady || !emaT.IsReady)
{
return;
}
quoteBars.Add((QuoteBar)consolidatorT.Consolidated);
stochs.Add((double)stochT.Current.Value);
rollingStochs.Add((double)args.Value);
stochsMA.Add((double)args.Value);
emas.Add((double)emaT.Current.Value);
var filtered = rollingStochs.TakeWhile((s) => args.Value > 50 ? s > 50 : args.Value < 50 ? s < 50 : false);
stochCount.Add(filtered.Count());
try
{
stochAverage.Add(filtered.Average());
}
catch (Exception ex)
{
stochAverage.Add(0);
}
};
foreach (var bar in historyT)
{
consolidatorT.Update(bar);
}
Console.WriteLine("{0} {1} {2} {3} {4}", quoteBars.Count, stochs.Count, stochCount.Count, stochAverage.Count, emas.Count);
var inputs = new List <double[]>();
var outputs = new List <int>();
var weights = new List <double>();
for (var i = 1; i < quoteBars.Count; i++)
{
var longTarget = quoteBars[i].Close + (30m / 10000m);
var longStop = quoteBars[i].Close - (10m / 10000m);
var shortTarget = quoteBars[i].Close - (30m / 10000m);
var shortStop = quoteBars[i].Close + (10m / 10000m);
var longSetup = stochs[i] >= 35 && stochsMA[i] > stochsMA[i - 1] && (double)quoteBars[i].Close > emas[i];
var shortSetup = stochs[i] <= 65 && stochs[i] > 0 && stochsMA[i] < stochsMA[i - 1] && (double)quoteBars[i].Close < emas[i];
if (!longSetup && !shortSetup)
{
continue;
}
for (var j = i + 1; j < quoteBars.Count; j++)
{
var current = quoteBars[j];
if (current.High >= longTarget && current.Low > longStop && longSetup)
{
inputs.Add(new double[] { stochAverage[i], stochCount[i], (double)quoteBars[i].Close / emas[i] });
outputs.Add(1);
var profit = current.High - quoteBars[i].Close;
/*for (var k = j + 1; k < quoteBars.Count; k++)
* {
*
* }*/
weights.Add((double)(1m - (50m / 10000m) / profit));
//i = j;
break;
}
else if (current.Low <= shortTarget && current.High < shortStop && shortSetup)
{
inputs.Add(new double[] { stochAverage[i], stochCount[i], (double)quoteBars[i].Close / emas[i] });
outputs.Add(0);
var profit = quoteBars[i].Close - current.Low;
/*for (var k = j + 1; k < quoteBars.Count; k++)
* {
*
* }*/
weights.Add((double)(1m - (50m / 10000m) / profit));
//i = j;
break;
}
else if ((current.Low <= longStop && longSetup) || (current.High >= shortStop && shortSetup))
{
//inputs.Add(new double[] { stochAverage[i] / stochs[i], stochCount[i], stochAverage[i] });
//outputs.Add(2);
//i = j;
break;
}
/*else if (j - i > 4 * 8)
* {
* inputs.Add(new double[] { stochs[i], stochCount[i], stochAverage[i] });
* outputs.Add(0);
* //i = j;
* break;
* }*/
}
}
allInputs.AddRange(inputs);
allOutputs.AddRange(outputs);
allWeights.AddRange(weights);
for (var i = 0; i < inputs.Count; i++)
{
//Console.WriteLine("Input: " + inputs[i][0] + " " + inputs[i][1] + " " + inputs[i][2] + " Output: " + outputs[i]);
}
var none = outputs.Where((o) => o == 2).Count();
var sell = outputs.Where((o) => o == 0).Count();
var buy = outputs.Where((o) => o == 1).Count();
Console.WriteLine("Total: {0} None: {1} Short: {2} Long: {3}", outputs.Count, none, sell, buy);
/************ HMA ************/
/*var slow = HMA(symbol, 28, trainingResolution, Field.Close);
* var slowSlope = new InstantTrend(symbol, 5).Of(slow);
* var logReturns = LOGR(symbol, 3, trainingResolution, Field.Close);
* var returnSlope = LSMA(symbol, 5, trainingResolution).Of(logReturns);*/
var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(15));
var stoch = new Stochastic(symbol, 14, 3, 3);
var stochMA = new HullMovingAverage(symbol, 2).Of(stoch);
var ema = new ExponentialMovingAverage(symbol, 40);
var rolling = new RollingWindow <double>(1000);
RegisterIndicator(symbol, stoch, consolidator);
RegisterIndicator(symbol, ema, consolidator);
SubscriptionManager.AddConsolidator(symbol, consolidator);
_stoch[symbol] = stoch;
_ema[symbol] = ema;
stochMA.Updated += (sender, args) =>
{
rolling.Add((double)args.Value);
if (Securities[symbol].Price > 0)
{
//Plot("Plotter", "Price", Securities["EURUSD"].Price);
Plot("Indicator", "STO", rolling[0]);
}
};
var std = ATR(symbol, 100, MovingAverageType.DoubleExponential, _dataResolution);
var history = History <QuoteBar>(symbol, TimeSpan.FromDays(20), trainingResolution);
foreach (var bar in history)
{
//slow.Update(bar.EndTime, bar.Close);
//logReturns.Update(bar.EndTime, bar.Close);
std.Update(bar);
consolidator.Update(bar);
}
var signal = new SVMSignal(consolidator, stoch, stochMA, rolling, ema, Portfolio[symbol], this);
signal.TrainSVM(inputs, outputs, weights);
//signal.TrainNN(inputs, outputs, weights);
Securities[symbol].VolatilityModel = new AverageTrueRangeVolatilityModel(std);
_tradingAssets.Add(symbol,
new TradingAsset(Securities[symbol],
new OneShotTrigger(signal),
new ProfitTargetSignalExit(null, _targetProfitLoss),
_maximumTradeRisk,
_maximumTradeSize,
this
));
}
foreach (var symbol in Symbols)
{
//_tradingAssets[symbol].Retrain(allInputs, allOutputs, allWeights);
}
//AddData<DailyFx>("DFX", Resolution.Second, TimeZones.Utc);
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(7, 0, TimeZones.London), () =>
{
var tradeableDay = TradingCalendar.GetTradingDay().BusinessDay;
if (tradeableDay)
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = true;
}
}
});
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(18, 0, TimeZones.London), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 60), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].Liquidate();
}
});
Chart plotter = new Chart("Plotter");
plotter.AddSeries(new Series("Price", SeriesType.Line, 0));
plotter.AddSeries(new Series("EMA", SeriesType.Line, 0));
plotter.AddSeries(new Series("Buy", SeriesType.Scatter, "", Color.Green, ScatterMarkerSymbol.Triangle));
plotter.AddSeries(new Series("Sell", SeriesType.Scatter, "", Color.Red, ScatterMarkerSymbol.TriangleDown));
plotter.AddSeries(new Series("Stopped", SeriesType.Scatter, "", Color.Yellow, ScatterMarkerSymbol.Diamond));
plotter.AddSeries(new Series("Prediction", SeriesType.Bar, 1));
plotter.AddSeries(new Series("Probability", SeriesType.Bar, 2));
AddChart(plotter);
Chart indicator = new Chart("Indicator");
indicator.AddSeries(new Series("STO", SeriesType.Line, 0));
AddChart(indicator);
Chart prediction = new Chart("Prediction");
prediction.AddSeries(new Series("Pred", SeriesType.Bar, 0));
AddChart(prediction);
Chart probability = new Chart("Probability");
probability.AddSeries(new Series("Prob", SeriesType.Bar, 0));
AddChart(probability);
}
// TODO: check volatilitymodel https://github.com/QuantConnect/Lean/blob/master/Common/Securities/RelativeStandardDeviationVolatilityModel.cs
public override void Initialize()
{
SetStartDate(2016, 1, 1);
SetEndDate(2017, 1, 1);
SetCash(3000);
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
foreach (var symbol in Symbols)
{
AddForex(symbol, _dataResolution, Market.Oanda, false, 1m);
Securities[symbol].TransactionModel = new OandaTransactionModel();
//Securities[symbol].SlippageModel = new ConstantSlippageModel(0m);
SetBrokerageModel(BrokerageName.OandaBrokerage);
var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(20));
var stoch = new Stochastic(symbol, 10, 3, 3);
var stochMA = new ExponentialMovingAverage(symbol, 25).Of(stoch);
var stochEmaLSMA = new LeastSquaresMovingAverage(symbol, 5).Of(stochMA);
var ema = new ExponentialMovingAverage(symbol, 40);
var emaMA = new LeastSquaresMovingAverage(symbol, 5).Of(ema);
var rollingStochMA = HistoryTracker.Track(stochMA);
var rollingEmaSlope = HistoryTracker.Track(emaMA.Slope);
var rollingStochEmaSlope = HistoryTracker.Track(stochEmaLSMA.Slope);
var shortTermMA = EMA(symbol, 30, Resolution.Minute, Field.Close);
RegisterIndicator(symbol, stoch, consolidator);
RegisterIndicator(symbol, ema, consolidator);
SubscriptionManager.AddConsolidator(symbol, consolidator);
_stoch[symbol] = stoch;
_ema[symbol] = ema;
var consolidatorDaily = new QuoteBarConsolidator(TimeSpan.FromHours(1));
var dailyMA = new HullMovingAverage(symbol, 7);
var dailyEmaLSMA = new LeastSquaresMovingAverage(symbol, 3).Of(dailyMA);
var rollingDailyEmaSlope = HistoryTracker.Track(dailyEmaLSMA.Slope);
RegisterIndicator(symbol, dailyMA, consolidatorDaily);
SubscriptionManager.AddConsolidator(symbol, consolidatorDaily);
stochMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("Indicator", "STO", rollingStochMA[0]);
}
};
stochEmaLSMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("IndicatorTrend", "STO", stochEmaLSMA.Slope);
}
};
/*emaMA.Updated += (sender, args) =>
* {
* if (Securities[symbol].Price > 0)
* {
* Plot("Trend", "LSMA", emaMA.Slope);
* }
* };*/
dailyEmaLSMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("Trend", "LSMA", dailyEmaLSMA.Slope);
Plot("Trend", "EMA", dailyMA);
}
};
var std = ATR(symbol, 100, MovingAverageType.DoubleExponential, _dataResolution);
var history = History <QuoteBar>(symbol, TimeSpan.FromDays(40), _dataResolution);
foreach (var bar in history)
{
std.Update(bar);
consolidator.Update(bar);
shortTermMA.Update(bar.EndTime, bar.Close);
consolidatorDaily.Update(bar);
}
var signal = new SVMBaselineSignalWIP(consolidator, stoch, stochMA, rollingStochMA, stochEmaLSMA, rollingStochEmaSlope, ema, emaMA,
rollingEmaSlope, shortTermMA, dailyEmaLSMA, rollingDailyEmaSlope, Portfolio[symbol], Securities[symbol], this);
Securities[symbol].VolatilityModel = new AverageTrueRangeVolatilityModel(std);
_tradingAssets.Add(symbol,
new TradingAsset(Securities[symbol],
new OneShotTrigger(signal),
new ProfitTargetSignalExit(null, _targetProfitLoss),
_maximumTradeRisk,
_maximumTradeSize,
this
));
}
//AddData<DailyFx>("DFX", Resolution.Second, TimeZones.Utc);
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday),
TimeRules.At(7, 0, TimeZones.London), () =>
{
var tradeableDay = TradingCalendar.GetTradingDay().BusinessDay;
if (tradeableDay)
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = true;
}
}
});
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(20, 0, TimeZones.London), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 60), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].Liquidate();
}
});
Chart plotter = new Chart("Plotter");
plotter.AddSeries(new Series("Price", SeriesType.Line, 0));
plotter.AddSeries(new Series("EMA", SeriesType.Line, 0));
plotter.AddSeries(new Series("Buy", SeriesType.Scatter, "", Color.Green, ScatterMarkerSymbol.Triangle));
plotter.AddSeries(new Series("Sell", SeriesType.Scatter, "", Color.Red, ScatterMarkerSymbol.TriangleDown));
plotter.AddSeries(new Series("Stopped", SeriesType.Scatter, "", Color.Yellow, ScatterMarkerSymbol.Diamond));
plotter.AddSeries(new Series("Prediction", SeriesType.Bar, 1));
plotter.AddSeries(new Series("Probability", SeriesType.Bar, 2));
AddChart(plotter);
Chart indicator = new Chart("Indicator");
indicator.AddSeries(new Series("STO", SeriesType.Line, 0));
AddChart(indicator);
Chart indicatorTrend = new Chart("IndicatorTrend");
indicatorTrend.AddSeries(new Series("STO", SeriesType.Line, 0));
AddChart(indicatorTrend);
Chart trend = new Chart("Trend");
trend.AddSeries(new Series("LSMA", SeriesType.Line, 0));
trend.AddSeries(new Series("EMA", SeriesType.Line, 1));
AddChart(trend);
Chart prediction = new Chart("Prediction");
prediction.AddSeries(new Series("Pred", SeriesType.Bar, 0));
AddChart(prediction);
Chart probability = new Chart("Probability");
probability.AddSeries(new Series("Prob", SeriesType.Bar, 0));
AddChart(probability);
}
