public void ResetsProperly()
{
var rsi = new RelativeStrengthIndex(2);
rsi.Update(DateTime.Today, 1m);
rsi.Update(DateTime.Today.AddSeconds(1), 2m);
Assert.IsFalse(rsi.IsReady);
rsi.Reset();
TestHelper.AssertIndicatorIsInDefaultState(rsi);
TestHelper.AssertIndicatorIsInDefaultState(rsi.AverageGain);
TestHelper.AssertIndicatorIsInDefaultState(rsi.AverageLoss);
}
public override void Initialize()
{
SetStartDate(2016, 01, 01); //Set Start Date
SetEndDate(2016, 06, 30); //Set End Date
SetCash(100000); //Set Strategy Cash
AddEquity(symbol, Resolution.Daily);
rsi = RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily);
mom = MOM(symbol, 10, Resolution.Daily, Field.Close);
engine = new FuzzyEngine();
}
/// <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 RSIStrategy(Indicator Price, int RSIPeriod = 40, decimal Threshold = 20)
{
// Initialize fields.
_threshold = Threshold;
_price = Price;
ActualSignal = OrderSignal.doNothing;
Position = StockState.noInvested;
EntryPrice = null;
rsi = new RelativeStrengthIndex(RSIPeriod).Of(_price);
// Fill the RSI rolling windows at every new RSI update. Once the
// rolling windows is ready, at every indicator update the CheckSignal method will be called.
rsi.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (rsi.IsReady) rsiRW.Add(rsi);
if (rsiRW.IsReady) CheckSignal();
};
}
/// <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);
}
}
/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
//Initialize
SetStartDate(2013, 1, 1);
SetEndDate(2014, 12, 31);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
//Add the Custom Data:
AddData<Bitcoin>("BTC");
//Set up default Indicators, these indicators are defined on the Value property of incoming data (except ATR and AROON which use the full TradeBar object)
_indicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
EMA = EMA(_symbol, 14, Resolution.Daily),
SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
AROON = AROON(_symbol, 20, Resolution.Daily),
MOM = MOM(_symbol, 20, Resolution.Daily),
MOMP = MOMP(_symbol, 20, Resolution.Daily),
STD = STD(_symbol, 20, Resolution.Daily),
MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
MAX = MAX(_symbol, 14, Resolution.Daily) // by default if the symbol is a tradebar type then it will be the max of the high property
};
// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
// We'll define these 'selector' functions to select the Low value
//
// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
// https://msdn.microsoft.com/en-us/library/bb397687.aspx
//
_selectorIndicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
MOMP = MOMP(_symbol, 20, Resolution.Daily, Field.Low),
STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
};
//Custom Data Indicator:
_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
// in addition to defining indicators on a single security, you can all define 'composite' indicators.
// these are indicators that require multiple inputs. the most common of which is a ratio.
// suppose we seek the ratio of BTC to SPY, we could write the following:
var spyClose = Identity(_symbol);
var btcClose = Identity(_customSymbol);
// this will create a new indicator whose value is BTC/SPY
_ratio = btcClose.Over(spyClose);
// we can also easily plot our indicators each time they update using th PlotIndicator function
PlotIndicator("Ratio", _ratio);
}
public void ComparesAgainstExternalData()
{
var rsi = new RelativeStrengthIndex("rsi", 14, MovingAverageType.Simple);
TestHelper.TestIndicator(rsi, "RSI 14");
}
/// <summary>
/// Initializes a new instance of the RSIBullBearIndicator class with the specified name and Relative Strength Indicator
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="rsi">The Relative Strength Index used by this indicator</param>
public RSIBullBearIndicator(String name, RelativeStrengthIndex rsi)
: base(name)
{
_rsi = rsi;
WarmUpPeriod = rsi.WarmUpPeriod;
}
