public override void Initialize()
{
var res = TimeSpan.FromHours(1);
if (VOL_PROTECT)
{
AddEquity("VIXM", Resolution.Hour);
}
foreach (var s in symbols)
{
AddEquity(s, Resolution.Minute).SetLeverage(2);
pfe[s] = new PolarisedFractalEfficiency();
Algo.RegisterIndicator(s, pfe[s], res);
ppfe[s] = 0;
eit[s] = new EhlerInstantaneousTrend();
Algo.RegisterIndicator(s, eit[s], res);
pvalue[s] = 0;
activate[s] = false;
// if (riskProtectSymbols.Contains(s))
// {
// prevPerf[s] = 1;
// reference[s] = 1;
// _pfeReference[s] = new PolarisedFractalEfficiency();
// }
}
}
public static bool Activate(string strategy, decimal pnl, EhlerInstantaneousTrend indicator)
{
var day = indicator.Current.EndTime.Day;
if (_pday != day)
{
_pday = day;
if (pnl > Math.Max(indicator.Lag, indicator.InstantaneousTrend)) // || indicator > 0)
{
_activated.Add(strategy);
}
else
{
_activated.Remove(strategy);
}
}
var value = _activated.Contains(strategy);
return(value);
}
public override void Initialize()
{
/*SetStartDate(2020, 1, 1);
* if (LATEST_DEPLOY) SetStartDate(2021, 2, 6);
*/
//SetStartDate(2016, 1, 1);
//SetEndDate(2021, 3, 15); //Set Start Date
// SetStartDate(2011, 2, 1);
// SetEndDate(2020, 1, 15);
POS_COUNT = symbols.Count();
POS_COUNT -= (symbols.Contains("VXX")) ? 1: 0;
POS_COUNT -= (symbols.Contains("VXX.1")) ? 1: 0;
//CASH = Math.Max(10000*POS_COUNT, 20000);//Max for when testing VXX only
//CASH = 145886;
if (LATEST_DEPLOY)
{
CASH = 179860;
}
//SetCash(CASH); //Set Strategy Cash
//SetStartDate(2018, 3, 1); //Set Start Date
// if (symbols.Count() > 5)
// {
// //symbols.UnionWith(Universes.SP500);
// symbols.UnionWith(Universes.NDX);
// symbols.UnionWith(Universes.NDX99);
// }
//SetWarmup(TimeSpan.FromDays(stockPickingPeriod*4));
var res = TimeSpan.FromHours(1);
if (VOL_PROTECT)
{
AddEquity("VIXM", Resolution.Hour);
}
foreach (var s in symbols)
{
AddEquity(s, Resolution.Minute).SetLeverage(2);
pfe[s] = new PolarisedFractalEfficiency();
Algo.RegisterIndicator(s, pfe[s], res);
ppfe[s] = 0;
eit[s] = new EhlerInstantaneousTrend();
Algo.RegisterIndicator(s, eit[s], res);
pvalue[s] = 0;
activate[s] = false;
// if (riskProtectSymbols.Contains(s))
// {
// prevPerf[s] = 1;
// reference[s] = 1;
// _pfeReference[s] = new PolarisedFractalEfficiency();
// }
}
}
