public override void Initialize()
{
SetStartDate(2016, 01, 01);
SetEndDate(DateTime.Now);
SetCash(10000);
AddForex(symbol, Resolution.Minute);
_alma = new ArnaudLegouxMovingAverage(50);
_psar = new ParabolicStopAndReverse();
var fiveConsolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(5));
SubscriptionManager.AddConsolidator(symbol, fiveConsolidator);
RegisterIndicator(symbol, _alma, fiveConsolidator);
RegisterIndicator(symbol, _psar, fiveConsolidator);
fiveConsolidator.DataConsolidated += OnFiveMinutes;
var history = History(System.TimeSpan.FromMinutes(5 * 50), Resolution.Minute);
foreach (var data in history.OrderBy(x => x.Time))
{
foreach (var key in data.Keys)
{
//_alma.Update(key.Time, key.Value);
}
}
}
public IList <BaseIndicatorValue> ComputeParabolicSAR(IList <Candle> candles)
{
var indicator = new ParabolicStopAndReverse(candles.Select(candle => candle.ToInnerModel()));
var innerValues = indicator.Compute();
var outputValues = new List <BaseIndicatorValue>();
outputValues.AddRange(innerValues
.Where(value => value.DateTime.HasValue)
.Select(value => value.ToOuterModel()));
return(outputValues);
}
public void ComparesWithExternalData()
{
var psar = new ParabolicStopAndReverse();
TestHelper.TestIndicator(psar, "spy_parabolic_SAR.txt", "Parabolic SAR 0.02 0.20");
}
/// <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, SeriesType.Line, 0));
chart.AddSeries(new Series("Enter", SeriesType.Scatter, 0));
chart.AddSeries(new Series("Exit", SeriesType.Scatter, 0));
chart.AddSeries(new Series(PSARMin.Name, SeriesType.Scatter, 0));
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 void ResetsProperly()
{
var psar = new ParabolicStopAndReverse();
TestHelper.TestIndicatorReset(psar, "spy_parabolic_SAR.txt");
}
