/// <summary>
/// Initializes a new instance of the <see cref="AccumulationDistributionOscillator"/> class using 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>
public AccumulationDistributionOscillator(string name, int fastPeriod, int slowPeriod)
: base(name)
{
_period = Math.Max(fastPeriod, slowPeriod);
_ad = new AccumulationDistribution(name + "_AD");
_emaFast = new ExponentialMovingAverage(name + "_Fast", fastPeriod);
_emaSlow = new ExponentialMovingAverage(name + "_Slow", slowPeriod);
}
/// <summary>Creates a new ExponentialMovingAverage indicator with the specified period and smoothingFactor from the left indicator
/// </summary>
/// <param name="left">The ExponentialMovingAverage indicator will be created using the data from left</param>
/// <param name="period">The period of the ExponentialMovingAverage indicators</param>
/// <param name="smoothingFactor">The percentage of data from the previous value to be carried into the next value</param>
/// <param name="waitForFirstToReady">True to only send updates to the second if left.IsReady returns true, false to alway send updates</param>
/// <returns>A reference to the ExponentialMovingAverage indicator to allow for method chaining</returns>
public static ExponentialMovingAverage EMA <T>(this IndicatorBase <T> left, int period, decimal?smoothingFactor = null, bool waitForFirstToReady = true)
where T : IBaseData
{
decimal k = smoothingFactor.HasValue ? k = smoothingFactor.Value : ExponentialMovingAverage.SmoothingFactorDefault(period);
ExponentialMovingAverage emaOfLeft = new ExponentialMovingAverage(string.Format("EMA{0}_Of_{1}", period, left.Name), period, k).Of(left, waitForFirstToReady);
return(emaOfLeft);
}
public PolarisedFractalEfficiency(string name, Source source, int lookback, int period)
: base(name, 1)
{
_source = source;
xEma = new ExponentialMovingAverage(period);
Src = new RollingWindow <decimal>(lookback + 1);
C2C = new RollingWindow <double>(lookback);
WarmUpPeriod = period + lookback;
}
public ZeroLagExponentialMovingAverage(string name, int period) : base(name)
{
_period = period;
_k = 2m / (_period + 1);
_lag = (int)Math.Round((_period - 1) / 2m);
_ema = new ExponentialMovingAverage(name + "_EMA", period);
_delayedEMA = new Delay(name + "_DelayedEMA", _lag);
_delayedZLEMA = new Delay(name + "_DelayedZLEMA", 1);
}
/// <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(2000, 07, 01); //Set Start Date
SetEndDate(2015,10, 05); //Set End Date
SetCash(5200); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, Symbol, Resolution.Daily);
//AddSecurity(SecurityType.Equity, Symbol2, Resolution.Daily);
ema = EMA (Symbol, 10, Resolution.Daily);
SetBrokerageModel (QuantConnect.Brokerages.BrokerageName.InteractiveBrokersBrokerage);
}
/// <summary>
/// Initializes a new instance of the <see cref="TrueStrengthIndex"/> class using the specified name, the short and long term smoothing periods, and the signal period and type.
/// </summary>
/// <param name="name">The name of the indicator</param>
/// <param name="shortTermPeriod">Period used for the first price change smoothing</param>
/// <param name="longTermPeriod">Period used for the second (double) price change smoothing</param>
/// <param name="signalPeriod">The signal period</param>
/// <param name="signalType">The type of moving average to use for the signal</param>
public TrueStrengthIndex(string name, int longTermPeriod = 25, int shortTermPeriod = 13, int signalPeriod = 7, MovingAverageType signalType = MovingAverageType.Exponential)
: base(name)
{
_priceChangeEma = new ExponentialMovingAverage(name + "_PC_EMA", longTermPeriod);
_absPriceChangeEma = new ExponentialMovingAverage(name + "_APC_EMA", longTermPeriod);
_priceChangeEmaEma = new ExponentialMovingAverage(name + "_PC_EMA_EMA", shortTermPeriod).Of(_priceChangeEma, true);
_absPriceChangeEmaEma = new ExponentialMovingAverage(name + "_APC_EMA_EMA", shortTermPeriod).Of(_absPriceChangeEma, true);
_tsi = _priceChangeEmaEma.Over(_absPriceChangeEmaEma).Times(100m);
Signal = signalType.AsIndicator(name + "_Signal", signalPeriod).Of(_tsi, true);
WarmUpPeriod = longTermPeriod + shortTermPeriod;
}
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SetCash(100*1000);
AddSecurity(SecurityType.Equity, "SPY");
Fast = EMA("SPY", FastPeriod);
Slow = EMA("SPY", SlowPeriod);
}
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
AddSecurity(SecurityType.Equity, Symbol, Resolution.Second);
fast = EMA(Symbol, FastPeriod);
slow = EMA(Symbol, SlowPeriod);
SetWarmup(SlowPeriod);
}
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
SetStartDate(2014, 07, 11);
SetEndDate(2015,10,1);
SetCash(25000);
AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
var shortval = Config.GetInt ("EMA_VAR1",10);
emaShort = EMA(symbol, shortval, Resolution.Daily);
emaLong = EMA(symbol, 50, Resolution.Daily);
for (int i = 0; i < MAXRETURNS; i++) {
_tradeReturns.Add(0);
}
}
public TripleMovingAverageStrategy(Symbol sym, Indicator priceIdentity, MeanReversionAlgorithm algorithm, decimal minBarSize, decimal barDifferenceTolerance)
{
Algorithm = algorithm;
symbol = sym;
trend = new InstantaneousTrend(10).Of(_price);
ema10 = new ExponentialMovingAverage(10).Of(_price);
sma10 = new SimpleMovingAverage(10).Of(_price);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
}
/// <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()
{
// ema reset is just setting the value and samples back to 0
var ema = new ExponentialMovingAverage(3);
foreach (var data in TestHelper.GetDataStream(5))
{
ema.Update(data);
}
Assert.IsTrue(ema.IsReady);
Assert.AreNotEqual(0m, ema.Current.Value);
Assert.AreNotEqual(0, ema.Samples);
ema.Reset();
TestHelper.AssertIndicatorIsInDefaultState(ema);
}
public override void Initialize()
{
// set up our analysis span
SetStartDate(2009, 01, 01);
SetEndDate(2015, 01, 01);
// request SPY data with minute resolution
AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute);
// create a 15 day exponential moving average
fast = EMA(Symbol, 15, Resolution.Daily);
// create a 30 day exponential moving average
slow = EMA(Symbol, 30, Resolution.Daily);
int ribbonCount = 8;
int ribbonInterval = 15;
ribbon = Enumerable.Range(0, ribbonCount).Select(x => SMA(Symbol, (x + 1)*ribbonInterval, Resolution.Daily)).ToArray();
}
/// <summary>
///
/// </summary>
/// <param name="name"></param>
/// <param name="period"></param>
public CyclePeriod(string name, int period = 3)
: base(name, period)
{
// Initialize the differents window needed
_smooth = new RollingWindow <decimal>(3);
_cycle = new RollingWindow <decimal>(6);
_quadrature = new RollingWindow <decimal>(2);
_deltaPhase = new RollingWindow <decimal>(5);
// Initialize the EMA needed
_instPeriod = new ExponentialMovingAverage(2, new decimal(0.33));
_period = new ExponentialMovingAverage(10, new decimal(0.15)); // weight = 80%
_A = (decimal)Math.Pow(1 - (double)_alpha / 2, 2);
_B = 1 - _alpha;
_quadCoeffA = new decimal(0.0962);
_quadCoeffB = new decimal(0.5769);
}
/// <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();
};
}
/// <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.Forex, "EURUSD", Resolution.Second);
fast = EMA("EURUSD", 60);
slow = EMA("EURUSD", 3600);
// 3601 because rolling window waits for one to fall off the back to be considered ready
var history = History("EURUSD", 3601);
foreach (var bar in history)
{
fast.Update(bar.EndTime, bar.Close);
slow.Update(bar.EndTime, bar.Close);
}
Log(string.Format("FAST IS {0} READY. Samples: {1}", fast.IsReady ? "" : "NOT", fast.Samples));
Log(string.Format("SLOW IS {0} READY. Samples: {1}", slow.IsReady ? "" : "NOT", slow.Samples));
}
public void EMAComputesCorrectly()
{
const int period = 4;
decimal[] values = {1m, 10m, 100m, 1000m};
const decimal expFactor = 2m/(1m + period);
var ema4 = new ExponentialMovingAverage(period);
decimal current = 0m;
for (int i = 0; i < values.Length; i++)
{
ema4.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), values[i]));
if (i == 0)
{
current = values[i];
}
else
{
current = values[i]*expFactor + (1 - expFactor)*current;
}
Assert.AreEqual(current, ema4.Current.Value);
}
}
public void ComparesAgainstExternalData()
{
var ema = new ExponentialMovingAverage(14);
TestHelper.TestIndicator(ema, "spy_with_indicators.txt", "EMA14", TestHelper.AssertDeltaDecreases(2.5e-2));
}
/// <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("Mean Reversion Algorithm");
mylog.Debug(ondataheader);
dailylog.Debug("Mean Reversion Algorithm");
dailylog.Debug(dailyheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow<IndicatorDataPoint>(14);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
trend = new InstantaneousTrend(10);
ema10 = new ExponentialMovingAverage(10);
sma10 = new SimpleMovingAverage(10);
madiff = new RollingWindow<IndicatorDataPoint>(390);
stddev = new StandardDeviation(390);
emaHistory = new RollingWindow<IndicatorDataPoint>(10);
smaHistory = new RollingWindow<IndicatorDataPoint>(10);
}
/// <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()
{
// initialize algorithm level parameters
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
//SetStartDate(2014, 01, 01);
//SetEndDate(2014, 06, 01);
SetCash(100000);
// leverage tradier $1 traders
SetBrokerageModel(BrokerageName.TradierBrokerage);
// request high resolution equity data
AddSecurity(SecurityType.Equity, Symbol, Resolution.Second);
// save off our security so we can reference it quickly later
Security = Securities[Symbol];
// Set our max leverage
Security.SetLeverage(MaximumLeverage);
// define our longer term indicators
ADX14 = ADX(Symbol, 28, Resolution.Hour);
STD14 = STD(Symbol, 14, Resolution.Daily);
ATR14 = ATR(Symbol, 14, resolution: Resolution.Daily);
PSARMin = new ParabolicStopAndReverse(Symbol, afStart: 0.0001m, afIncrement: 0.0001m);
// smooth our ATR over a week, we'll use this to determine if recent volatilty warrants entrance
var oneWeekInMarketHours = (int)(5*6.5);
SmoothedATR14 = new ExponentialMovingAverage("Smoothed_" + ATR14.Name, oneWeekInMarketHours).Of(ATR14);
// smooth our STD over a week as well
SmoothedSTD14 = new ExponentialMovingAverage("Smoothed_"+STD14.Name, oneWeekInMarketHours).Of(STD14);
// initialize our charts
var chart = new Chart(Symbol);
chart.AddSeries(new Series(ADX14.Name));
chart.AddSeries(new Series("Enter", SeriesType.Scatter));
chart.AddSeries(new Series("Exit", SeriesType.Scatter));
chart.AddSeries(new Series(PSARMin.Name, SeriesType.Scatter));
AddChart(chart);
var history = History(Symbol, 20, Resolution.Daily);
foreach (var bar in history)
{
ADX14.Update(bar);
ATR14.Update(bar);
STD14.Update(bar.EndTime, bar.Close);
}
// schedule an event to run every day at five minutes after our Symbol's market open
Schedule.Event("MarketOpenSpan")
.EveryDay(Symbol)
.AfterMarketOpen(Symbol, minutesAfterOpen: OpeningSpanInMinutes)
.Run(MarketOpeningSpanHandler);
Schedule.Event("MarketOpen")
.EveryDay(Symbol)
.AfterMarketOpen(Symbol, minutesAfterOpen: -1)
.Run(() => PSARMin.Reset());
}
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 SelectionData()
{
Fast = new ExponentialMovingAverage(100);
Slow = new ExponentialMovingAverage(300);
}
public SelectionData()
{
EMA50 = new ExponentialMovingAverage(50);
EMA100 = new ExponentialMovingAverage(100);
}
