public void CompositeIsReadyWhenBothAre()
{
var left = new Delay(1);
var right = new Delay(2);
var composite = new CompositeIndicator <IndicatorDataPoint>(left, right, (l, r) => l + r);
left.Update(DateTime.Today.AddSeconds(0), 1m);
right.Update(DateTime.Today.AddSeconds(0), 1m);
Assert.IsFalse(composite.IsReady);
Assert.IsFalse(composite.Left.IsReady);
Assert.IsFalse(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(1), 2m);
right.Update(DateTime.Today.AddSeconds(1), 2m);
Assert.IsFalse(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsFalse(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(2), 3m);
right.Update(DateTime.Today.AddSeconds(2), 3m);
Assert.IsTrue(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsTrue(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(3), 4m);
right.Update(DateTime.Today.AddSeconds(3), 4m);
Assert.IsTrue(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsTrue(composite.Right.IsReady);
}
/// <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(year: 2010, month: 01, day: 01); //Set Start Date
SetEndDate(year: 2013, month: 12, day: 31); //Set End Date
SetCash(startingCash: 100000); //Set Strategy Cash
// Set your Intrinino user and password.
IntrinioConfig.SetUserAndPassword(_user, _password);
// Set Intrinio config to make 1 call each minute, default is 1 call each 5 seconds.
// (1 call each minute is the free account limit for historical_data endpoint)
IntrinioConfig.SetTimeIntervalBetweenCalls(TimeSpan.FromMinutes(1));
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
_uso = AddEquity("USO", Resolution.Daily, leverage: 2m).Symbol;
_bno = AddEquity("BNO", Resolution.Daily, leverage: 2m).Symbol;
AddData <IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilWTI, Resolution.Daily);
AddData <IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilBrent, Resolution.Daily);
_spread = _brent.Minus(_wti);
_emaWti = EMA(Securities[IntrinioEconomicDataSources.Commodities.CrudeOilWTI].Symbol, 10);
}
public void CompositeIsReadyWhenBothAre()
{
var left = new Delay(1);
var right = new Delay(2);
var composite = new CompositeIndicator(left, right, (l, r) => l.Current + r.Current);
left.Update(DateTime.Today.AddSeconds(0), 1d);
right.Update(DateTime.Today.AddSeconds(0), 1d);
Assert.IsFalse(composite.IsReady);
Assert.IsFalse(composite.Left.IsReady);
Assert.IsFalse(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(1), 2d);
right.Update(DateTime.Today.AddSeconds(1), 2d);
Assert.IsFalse(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsFalse(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(2), 3d);
right.Update(DateTime.Today.AddSeconds(2), 3d);
Assert.IsTrue(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsTrue(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(3), 4d);
right.Update(DateTime.Today.AddSeconds(3), 4d);
Assert.IsTrue(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsTrue(composite.Right.IsReady);
}
public void CompositeIsReadyWhenBothAre()
{
var left = new Delay(1);
var right = new Delay(2);
var composite = new CompositeIndicator<IndicatorDataPoint>(left, right, (l, r) => l + r);
left.Update(DateTime.Today.AddSeconds(0), 1m);
right.Update(DateTime.Today.AddSeconds(0), 1m);
Assert.IsFalse(composite.IsReady);
Assert.IsFalse(composite.Left.IsReady);
Assert.IsFalse(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(1), 2m);
right.Update(DateTime.Today.AddSeconds(1), 2m);
Assert.IsFalse(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsFalse(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(2), 3m);
right.Update(DateTime.Today.AddSeconds(2), 3m);
Assert.IsTrue(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsTrue(composite.Right.IsReady);
left.Update(DateTime.Today.AddSeconds(3), 4m);
right.Update(DateTime.Today.AddSeconds(3), 4m);
Assert.IsTrue(composite.IsReady);
Assert.IsTrue(composite.Left.IsReady);
Assert.IsTrue(composite.Right.IsReady);
}
/// <summary>
/// Initializes a new instance of the VWAP class with a given name and period
/// </summary>
/// <param name="name">string - the name of the indicator</param>
/// <param name="period">The period of the VWAP</param>
public VolumeWeightedAveragePriceIndicator(string name, int period)
: base(name)
{
_price = new Identity("Price");
_volume = new Identity("Volume");
// This class will be using WeightedBy indicator extension
_vwap = _price.WeightedBy(_volume, period);
}
/// <summary>
/// Initializes a new instance of the <see cref="CrossingMovingAverageSignal" /> class.
/// </summary>
/// <param name="fast">The fast moving average.</param>
/// <param name="slow">The slow moving average.</param>
/// <param name="direction">
/// The trade rule direction. Only used if the instance will be part of a
/// <see cref="Rule" /> class
/// </param>
/// <remarks>
/// Both Moving Averages must be registered BEFORE being used by this constructor.
/// </remarks>
public CrossingMovingAverageSignal(IndicatorBase <IndicatorDataPoint> fast,
IndicatorBase <IndicatorDataPoint> slow, Direction direction, int survivalPeriod = 1)
{
_fast = fast;
_slow = slow;
_moving_average_difference = fast.Minus(slow);
_moving_average_difference.Updated += ma_Updated;
_direction = direction;
_lastSignals = new int[survivalPeriod];
}
/// <summary>
/// Initializes a new instance of the <see cref="CrossingMovingAverageSignal" /> class.
/// </summary>
/// <param name="fast">The fast moving average.</param>
/// <param name="slow">The slow moving average.</param>
/// <param name="direction">
/// The trade rule direction. Only used if the instance will be part of a
/// <see cref="Rule" /> class
/// </param>
/// <remarks>
/// Both Moving Averages must be registered BEFORE being used by this constructor.
/// </remarks>
public CrossingMovingAverageSignal(IndicatorBase <IndicatorDataPoint> fast,
IndicatorBase <IndicatorDataPoint> slow, Direction direction, int survivalPeriod = 1)
{
_fast = fast;
_slow = slow;
_moving_average_difference = fast.Minus(slow);
_moving_average_difference.Updated += ma_Updated;
_direction = direction;
SurvivalWindow = new RollingWindow <int>(survivalPeriod);
}
public void CallsDelegateCorrectly()
{
var left = new Identity("left");
var right = new Identity("right");
var composite = new CompositeIndicator(left, right, (l, r) => {
Assert.AreEqual(left, l);
Assert.AreEqual(right, r);
return(l.Current + r.Current);
});
left.Update(DateTime.Today, 1d);
right.Update(DateTime.Today, 1d);
Assert.AreEqual(2d, composite.Current.Value);
}
public void CallsDelegateCorrectly()
{
var left = new Identity("left");
var right = new Identity("right");
var composite = new CompositeIndicator<IndicatorDataPoint>(left, right, (l, r) =>
{
Assert.AreEqual(left, l);
Assert.AreEqual(right, r);
return l + r;
});
composite.Update(DateTime.Today, 1m);
Assert.AreEqual(2m, composite.Current.Value);
}
/// <summary>
/// Initialize 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(year: 2014, month: 05, day: 07); //Set Start Date
SetEndDate(year: 2014, month: 05, day: 15); //Set End Date
SetCash(startingCash: 100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
EURUSD = AddForex("EURUSD", Resolution.Minute, Market.FXCM).Symbol;
AddData <FxcmVolume>("EURUSD", Resolution.Minute, DateTimeZone.Utc);
var _price = Identity(EURUSD);
fastVWMA = _price.WeightedBy(volume, period: 15);
slowVWMA = _price.WeightedBy(volume, period: 300);
}
public void CallsDelegateCorrectly()
{
var left = new Identity("left");
var right = new Identity("right");
var composite = new CompositeIndicator <IndicatorDataPoint>(left, right, (l, r) =>
{
Assert.AreEqual(left, l);
Assert.AreEqual(right, r);
return(l + r);
});
composite.Update(DateTime.Today, 1m);
Assert.AreEqual(2m, composite.Current.Value);
}
/// <summary>
/// Creates a new Sharpe Ratio indicator using the specified periods
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">Period of historical observation for sharpe ratio calculation</param>
/// <param name="riskFreeRate">Risk-free rate for sharpe ratio calculation</param>
public SharpeRatio(string name, int period, decimal riskFreeRate = 0.0m)
: base(name)
{
_period = period;
// calculate sharpe ratio using indicators
_roc = new RateOfChange(1);
var std = new StandardDeviation(period).Of(_roc);
var sma = _roc.SMA(period);
_sharpeRatio = sma.Minus(riskFreeRate).Over(std);
// define warmup value
WarmUpPeriod = _period + 2;
}
/// <summary>
/// Initialize 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(2014, 05, 07); //Set Start Date
SetEndDate(2014, 05, 15); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: https://www.quantconnect.com/data
EURUSD = AddForex("EURUSD", Resolution.Minute).Symbol;
AddData <FxcmVolume>("EURUSD_Vol", Resolution.Minute, DateTimeZone.Utc);
var _price = Identity(EURUSD);
fastVWMA = _price.WeightedBy(volume, period: 15);
slowVWMA = _price.WeightedBy(volume, period: 300);
}
public void WhenProcessingDataByLeftOrRightIndicator_Then_OutputUpdated_IsRaised()
{
var left = new IdentityIndicator();
var right = new IdentityIndicator();
var sut = new CompositeIndicator(left, right, (l, r) => l.Output + r.Output);
var output = 0d;
sut.OutputUpdated += (sender, o) => output = o;
left.Process(1);
Assert.AreEqual(1, output);
right.Process(2);
Assert.AreEqual(3, output);
}
public void TimeAdvancesWithDataToOnlyOneSide()
{
var left = new Maximum("left", 2);
var right = new Minimum("right", 2);
var composite = new CompositeIndicator <IndicatorDataPoint>(left, right, (l, r) => l.Current.Value + r.Current.Value);
Assert.AreEqual(DateTime.MinValue, composite.Current.Time);
left.Update(Today, 1m);
Assert.AreEqual(Today, composite.Current.Time);
left.Update(Today.AddDays(1), -1m);
Assert.AreEqual(Today.AddDays(1), composite.Current.Time);
}
public void DoesNotUpdateUntilDataUpdatedOnBothSides()
{
var left = new Identity("left");
var right = new Identity("right");
var composite = new CompositeIndicator <IndicatorDataPoint>(left, right, (l, r) => l.Current.Value + r.Current.Value);
// Base value assertion
Assert.AreEqual(0m, composite.Current.Value);
// Update one side, should still be base value
left.Update(Today, 1m);
Assert.AreEqual(0m, composite.Current.Value);
// Update the other side, should be updated
right.Update(Today, 1m);
Assert.AreEqual(2m, composite.Current.Value);
}
/// <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(year: 2010, month: 01, day: 01); //Set Start Date
SetEndDate(year: 2013, month: 12, day: 31); //Set End Date
SetCash(startingCash: 100000); //Set Strategy Cash
// Set your Intrinino user and password.
IntrinioConfig.SetUserAndPassword(_user, _password);
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
_uso = AddEquity("USO", Resolution.Daily, leverage: 2m).Symbol;
_bno = AddEquity("BNO", Resolution.Daily, leverage: 2m).Symbol;
AddData <IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilWTI, Resolution.Daily);
AddData <IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilBrent, Resolution.Daily);
_spread = _brent.Minus(_wti);
}
/// <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(2010, 01, 01); //Set Start Date
SetEndDate(2013, 12, 31); //Set End Date
SetCash(100000); //Set Strategy Cash
// Set your Intrinino user and password.
IntrinioConfig.SetUserAndPassword("<YourUser>", "<YourPassword>");
// The Intrinio user and password can be also defined in the config.json file for local backtest.
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
_uso = AddEquity("USO", Resolution.Daily, leverage: 2m).Symbol;
_bno = AddEquity("BNO", Resolution.Daily, leverage: 2m).Symbol;
AddData <IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilWTI, Resolution.Daily);
AddData <IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilBrent, Resolution.Daily);
_spread = _brent.Minus(_wti);
}
public void ResetsProperly() {
var left = new Maximum("left", 2);
var right = new Minimum("right", 2);
var composite = new CompositeIndicator<IndicatorDataPoint>(left, right, (l, r) => l + r);
left.Update(DateTime.Today, 1m);
right.Update(DateTime.Today,-1m);
left.Update(DateTime.Today.AddDays(1), -1m);
right.Update(DateTime.Today.AddDays(1), 1m);
Assert.AreEqual(left.PeriodsSinceMaximum, 1);
Assert.AreEqual(right.PeriodsSinceMinimum, 1);
composite.Reset();
TestHelper.AssertIndicatorIsInDefaultState(composite);
TestHelper.AssertIndicatorIsInDefaultState(left);
TestHelper.AssertIndicatorIsInDefaultState(right);
Assert.AreEqual(left.PeriodsSinceMaximum, 0);
Assert.AreEqual(right.PeriodsSinceMinimum, 0);
}
public void ResetsProperly()
{
var left = new Maximum("left", 2);
var right = new Minimum("right", 2);
var composite = new CompositeIndicator(left, right, (l, r) => l.Current + r.Current);
left.Update(DateTime.Today, 1d);
right.Update(DateTime.Today, -1d);
left.Update(DateTime.Today.AddDays(1), -1d);
right.Update(DateTime.Today.AddDays(1), 1d);
Assert.AreEqual(left.PeriodsSinceMaximum, 1);
Assert.AreEqual(right.PeriodsSinceMinimum, 1);
composite.Reset();
TestHelper.AssertIndicatorIsInDefaultState(composite);
TestHelper.AssertIndicatorIsInDefaultState(left);
TestHelper.AssertIndicatorIsInDefaultState(right);
Assert.AreEqual(left.PeriodsSinceMaximum, 0);
Assert.AreEqual(right.PeriodsSinceMinimum, 0);
}
public void ResetsProperly()
{
var left = new Maximum("left", 2);
var right = new Minimum("right", 2);
var composite = new CompositeIndicator <IndicatorDataPoint>(left, right, (l, r) => l + r);
left.Update(DateTime.Today, TimeZone.Utc, 1m);
right.Update(DateTime.Today, TimeZone.Utc, -1m);
left.Update(DateTime.Today.AddDays(1), TimeZone.Utc, -1m);
right.Update(DateTime.Today.AddDays(1), TimeZone.Utc, 1m);
Assert.Equal(1, left.PeriodsSinceMaximum);
Assert.Equal(1, right.PeriodsSinceMinimum);
composite.Reset();
TestHelper.AssertIndicatorIsInDefaultState(composite);
TestHelper.AssertIndicatorIsInDefaultState(left);
TestHelper.AssertIndicatorIsInDefaultState(right);
Assert.Equal(0, left.PeriodsSinceMaximum);
Assert.Equal(0, right.PeriodsSinceMinimum);
}
