/// <summary>
/// Initializes a new instance of the <see cref="CoppockCurve" /> indicator
/// </summary>
/// <param name="name">A name for the indicator</param>
/// <param name="shortRocPeriod">The period for the short ROC</param>
/// <param name="longRocPeriod">The period for the long ROC</param>
/// <param name="lwmaPeriod">The period for the LWMA</param>
public CoppockCurve(string name, int shortRocPeriod, int longRocPeriod, int lwmaPeriod)
: base(name)
{
_shortRoc = new RateOfChangePercent(shortRocPeriod);
_longRoc = new RateOfChangePercent(longRocPeriod);
_lwma = new LinearWeightedMovingAverage(lwmaPeriod);
}
public override void Initialize()
{
this.UnderlyingTicker = this.GetParameter("symbol");
//AAPL
SetStartDate(2018, 01, 01);
SetEndDate(2018, 11, 30);
//
//SetStartDate(2018, 03, 01);
//SetEndDate(2018, 03, 01);
//SetStartDate(2015, 01, 01);
//SetStartDate(2018, 02, 15);
//SetEndDate(2018, 03, 09);
SetCash(100000);
var equity = AddEquity(UnderlyingTicker, RESOLUTION);
var option = AddOption(UnderlyingTicker, RESOLUTION);
// use the underlying equity as the benchmark
SetBenchmark(equity.Symbol);
var consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(MINUTE_RATE));
consolidator.DataConsolidated += Consolidator_DataConsolidated;
_rocp = new RateOfChangePercent(9);
RegisterIndicator(equity.Symbol, _rocp, consolidator);
SubscriptionManager.AddConsolidator(equity.Symbol, consolidator);
// init strategy
_Statistics = new OptionStatistics(this, option);
}
public void ComputesCorrectly()
{
var rocp = new RateOfChangePercent(50);
double epsilon = 1e-3;
TestHelper.TestIndicator(rocp, "spy_with_rocp50.txt", "Rate of Change % 50", (ind, expected) => Assert.AreEqual(expected, (double)ind.Current.Value, epsilon));
}
/// <summary>
/// Creates a new RateOfChangePercent indicator. This will compute the n-period percentage rate of change in the security.
/// The indicator will be automatically updated on the given resolution.
/// </summary>
/// <param name="symbol">The symbol whose rateofchange we want</param>
/// <param name="period">The period over which to compute the rateofchangepercent</param>
/// <param name="resolution">The resolution</param>
/// <param name="selector">Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)</param>
/// <returns>The rateofchangepercent indicator for the requested symbol over the specified period</returns>
public RateOfChangePercent ROCP(string symbol, int period, Resolution?resolution = null, Func <BaseData, decimal> selector = null)
{
string name = CreateIndicatorName(symbol, "ROCP" + period, resolution);
var rateofchangepercent = new RateOfChangePercent(name, period);
RegisterIndicator(symbol, rateofchangepercent, resolution, selector);
return(rateofchangepercent);
}
public void ComputesCorrectly()
{
var rocp = new RateOfChangePercent(50);
double epsilon = 1e-3;
TestHelper.TestIndicator(rocp, "spy_with_rocp50.txt", "Rate of Change % 50",
(ind, expected) => ((double)ind.Current.Price).Should().BeApproximately(expected, epsilon));
}
/// <summary>
/// Initializes a new instance of the <see cref="Trix"/> class using the specified name and period.
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the indicator</param>
public Trix(string name, int period)
: base(name)
{
_period = period;
_ema1 = new ExponentialMovingAverage(name + "_1", period);
_ema2 = new ExponentialMovingAverage(name + "_2", period);
_ema3 = new ExponentialMovingAverage(name + "_3", period);
_roc = new RateOfChangePercent(name + "_ROCP1", 1);
}
public void ResetsProperly()
{
var rocp = new RateOfChangePercent(50);
foreach (var data in TestHelper.GetDataStream(51))
{
rocp.Update(data);
}
Assert.IsTrue(rocp.IsReady);
rocp.Reset();
TestHelper.AssertIndicatorIsInDefaultState(rocp);
}
public SymbolData(QCAlgorithm algorithm, Symbol symbol, int dailyLookback, int lookback, Resolution resolution)
{
Symbol = symbol;
_dailyReturn = new RateOfChangePercent($"{symbol}.DailyROCP(1)", 1);
_dailyConsolidator = algorithm.ResolveConsolidator(symbol, Resolution.Daily);
_dailyReturnHistory = new RollingWindow <IndicatorDataPoint>(dailyLookback);
_dailyReturn.Updated += (s, e) => _dailyReturnHistory.Add(e);
algorithm.RegisterIndicator(symbol, _dailyReturn, _dailyConsolidator);
Return = new RateOfChangePercent($"{symbol}.ROCP({lookback})", lookback);
_consolidator = algorithm.ResolveConsolidator(symbol, resolution);
algorithm.RegisterIndicator(symbol, Return, _consolidator);
}
public void ResetsProperly()
{
var rocp = new RateOfChangePercent(50);
foreach (var data in TestHelper.GetDataStream(51))
{
rocp.Update(data);
}
Assert.IsTrue(rocp.IsReady);
rocp.Reset();
TestHelper.AssertIndicatorIsInDefaultState(rocp);
}
public override void Initialize()
{
SetStartDate(2015, 6, 26);
SetEndDate(2015, 7, 2);
SetCash(25000);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
// define our 15 minute consolidator
var fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
// if we want to make decisions every 15 minutes as well, we can add an event handler
// to the DataConsolidated event
fifteenMinuteConsolidator.DataConsolidated += OnFiftenMinuteSPY;
int fast = 15;
int slow = 30;
// define our EMA, we'll manually register this, so we aren't using the helper function 'EMA(...)'
var fastEmaOnFifteenMinuteBars = new ExponentialMovingAverage("SPY_EMA15", fast);
var slowEmaOnFifteenMinuteBars = new ExponentialMovingAverage("SPY_EMA30", slow);
// we can define complex indicator's using various extension methods.
// here I use the 'Over' extension method which performs division
// so this will be fast/slow. This returns a new indicator that represents
// the division operation between the two
var ratio = fastEmaOnFifteenMinuteBars.Over(slowEmaOnFifteenMinuteBars, "SPY_Ratio_EMA");
// now we can use the 'Of' extension method to define the ROC on the ratio
// The 'Of' extension method allows combining multiple indicators together such
// that the data from one gets sent into the other
var rocpOfRatio = new RateOfChangePercent("SPY_ROCP_Ratio", fast).Of(ratio);
// we an even define a smoothed version of this indicator
var smoothedRocpOfRatio = new ExponentialMovingAverage("SPY_Smoothed_ROCP_Ratio", 5).Of(rocpOfRatio);
// register our indicator and consolidator together. this will wire the consolidator up to receive
// data for the specified symbol, and also set up the indicator to receive its data from the consolidator
RegisterIndicator("SPY", fastEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
RegisterIndicator("SPY", slowEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
// register the indicator to be plotted along
PlotIndicator("SPY", fastEmaOnFifteenMinuteBars);
PlotIndicator("SPY", slowEmaOnFifteenMinuteBars);
PlotIndicator("SPY_ROCP_Ratio", rocpOfRatio, smoothedRocpOfRatio);
PlotIndicator("SPY_Ratio_EMA", ratio);
}
public override void Initialize()
{
SetStartDate(2015, 6, 26);
SetEndDate(2015, 7, 2);
SetCash(25000);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
// define our 15 minute consolidator
var fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
// if we want to make decisions every 15 minutes as well, we can add an event handler
// to the DataConsolidated event
fifteenMinuteConsolidator.DataConsolidated += OnFiftenMinuteSPY;
int fast = 15;
int slow = 30;
// define our EMA, we'll manually register this, so we aren't using the helper function 'EMA(...)'
var fastEmaOnFifteenMinuteBars = new ExponentialMovingAverage("SPY_EMA15", fast);
var slowEmaOnFifteenMinuteBars = new ExponentialMovingAverage("SPY_EMA30", slow);
// we can define complex indicator's using various extension methods.
// here I use the 'Over' extension method which performs division
// so this will be fast/slow. This returns a new indicator that represents
// the division operation between the two
var ratio = fastEmaOnFifteenMinuteBars.Over(slowEmaOnFifteenMinuteBars, "SPY_Ratio_EMA");
// now we can use the 'Of' extension method to define the ROC on the ratio
// The 'Of' extension method allows combining multiple indicators together such
// that the data from one gets sent into the other
var rocpOfRatio = new RateOfChangePercent("SPY_ROCP_Ratio", fast).Of(ratio);
// we an even define a smoothed version of this indicator
var smoothedRocpOfRatio = new ExponentialMovingAverage("SPY_Smoothed_ROCP_Ratio", 5).Of(rocpOfRatio);
// register our indicator and consolidator together. this will wire the consolidator up to receive
// data for the specified symbol, and also set up the indicator to receive its data from the consolidator
RegisterIndicator("SPY", fastEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
RegisterIndicator("SPY", slowEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
// register the indicator to be plotted along
PlotIndicator("SPY", fastEmaOnFifteenMinuteBars);
PlotIndicator("SPY", slowEmaOnFifteenMinuteBars);
PlotIndicator("SPY_ROCP_Ratio", rocpOfRatio, smoothedRocpOfRatio);
PlotIndicator("SPY_Ratio_EMA", ratio);
}
public override void Initialize()
{
UnderlyingTicker = GetParameter("symbol");
Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
//AAPL
//SetStartDate(2014, 06, 06);
//SetEndDate(2014, 06, 06);
DateTime startDate = DateTime.Parse(GetParameter("start-date"));
DateTime endDate = DateTime.Parse(GetParameter("end-date"));
_ROC_THRESHOLD = parseInt(GetParameter("roc"), _ROC_THRESHOLD);
_RocPeriod = parseInt(GetParameter("roc-period"), _RocPeriod);
/*
* _MinDaysRemaining = parseInt(GetParameter("min-days"), _MinDaysRemaining);
* _MinDaysRemaining = parseInt(GetParameter("max-days"), _MinDaysRemaining);
* _AtmSpread = parseInt(GetParameter("atm-spread"), _AtmSpread);
*/
//
SetStartDate(startDate);
SetEndDate(endDate);
//SetStartDate(2015, 01, 01);
//SetStartDate(2018, 02, 15);
//SetEndDate(2018, 03, 09);
SetCash(50000);
//this.
var equity = AddEquity(UnderlyingTicker, RESOLUTION);
var option = AddOption(UnderlyingTicker, RESOLUTION);
// use the underlying equity as the benchmark
SetBenchmark(equity.Symbol);
var consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(MINUTE_RATE));
consolidator.DataConsolidated += Consolidator_DataConsolidated;
_rocp = new RateOfChangePercent(_RocPeriod);
RegisterIndicator(Underlying, _rocp, consolidator);
SubscriptionManager.AddConsolidator(Underlying, consolidator);
// init strategy
_Strategy = new OptionTraverseStrategy(this, option);
}
public void ComputesCorrectly()
{
var rocp = new RateOfChangePercent(50);
double epsilon = 1e-3;
TestHelper.TestIndicator(rocp, "spy_with_rocp50.txt", "Rate of Change % 50", (ind, expected) => Assert.AreEqual(expected, (double)ind.Current.Value, epsilon));
}
/// <summary>
/// Executes the Instant Trend strategy
/// </summary>
/// <param name="data">TradeBars - the current OnData</param>
/// <param name="tradesize"></param>
/// <param name="trendCurrent">IndicatorDataPoint - the current trend value trend</param>
/// <param name="orderId">int - the orderId if one is placed, -1 if order has not filled and 0 if no order was placed</param>
public string ExecuteStrategy(TradeBars data, int tradesize, IndicatorDataPoint max, IndicatorDataPoint min, RateOfChangePercent rocp, ref SimpleMovingAverage sma20, out int orderId)
{
maximum = max;
minimum = min;
Price.Add(idp(data[_symbol].EndTime, (data[_symbol].Close + data[_symbol].Open) / 2));
orderId = 0;
comment = string.Empty;
if (_algorithm.Portfolio[_symbol].IsLong)
{
nStatus = 1;
}
if (_algorithm.Portfolio[_symbol].IsShort)
{
nStatus = -1;
}
#region "Strategy Execution"
bReverseTrade = false;
try
{
if (!_algorithm.Portfolio.Invested)
{
if (PricePassedAValley() && rocp.Current.Value < 0)
{
ticket = GetLong(tradesize);
orderId = ticket.OrderId;
comment = "Bot new position ppMin && rocp < 0";
}
if (PricePassedAPeak() && rocp.Current.Value > 0)
{
ticket = GetShort(tradesize);
orderId = ticket.OrderId;
comment = "Sld new position ppMin && rocp < 0";
}
}
else
{
if (PricePassedAValley() && _algorithm.Portfolio[_symbol].IsShort)
{
if (Price[0].Value > sma20.Current.Value && (Math.Abs(sma20.Current.Value - Price[0].Value) / Price[0].Value) > .001m)
{
ticket = ReverseToLong();
comment = "Rev2Long Passed a Valley";
}
}
if (PricePassedAPeak() && _algorithm.Portfolio[_symbol].IsLong)
{
if (Price[0].Value <sma20.Current.Value && (Math.Abs(sma20.Current.Value - Price[0].Value) / Price[0].Value)> .001m)
{
ticket = ReverseToShort();
comment = "Rev2Short Passed a Peak";
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
return(comment);
}
/// <summary>
/// Executes the Instant Trend strategy
/// </summary>
/// <param name="data">TradeBars - the current OnData</param>
/// <param name="tradesize"></param>
/// <param name="trendCurrent">IndicatorDataPoint - the current trend value trend</param>
/// <param name="orderId">int - the orderId if one is placed, -1 if order has not filled and 0 if no order was placed</param>
public string ExecuteStrategy(TradeBars data, int tradesize, IndicatorDataPoint max, IndicatorDataPoint min, RateOfChangePercent rocp, ref SimpleMovingAverage sma20, out int orderId)
{
maximum = max;
minimum = min;
Price.Add(idp(data[_symbol].EndTime, (data[_symbol].Close + data[_symbol].Open) / 2));
orderId = 0;
comment = string.Empty;
if (_algorithm.Portfolio[_symbol].IsLong) nStatus = 1;
if (_algorithm.Portfolio[_symbol].IsShort) nStatus = -1;
#region "Strategy Execution"
bReverseTrade = false;
try
{
if (!_algorithm.Portfolio.Invested)
{
if (PricePassedAValley() && rocp.Current.Value < 0)
{
ticket = GetLong(tradesize);
orderId = ticket.OrderId;
comment = "Bot new position ppMin && rocp < 0";
}
if (PricePassedAPeak() && rocp.Current.Value > 0)
{
ticket = GetShort(tradesize);
orderId = ticket.OrderId;
comment = "Sld new position ppMin && rocp < 0";
}
}
else
{
if (PricePassedAValley() && _algorithm.Portfolio[_symbol].IsShort)
{
if (Price[0].Value > sma20.Current.Value && (Math.Abs(sma20.Current.Value - Price[0].Value) / Price[0].Value) > .001m)
{
ticket = ReverseToLong();
comment = "Rev2Long Passed a Valley";
}
}
if (PricePassedAPeak() && _algorithm.Portfolio[_symbol].IsLong)
{
if (Price[0].Value < sma20.Current.Value && (Math.Abs(sma20.Current.Value - Price[0].Value) / Price[0].Value) > .001m)
{
ticket = ReverseToShort();
comment = "Rev2Short Passed a Peak";
}
}
}
}
catch (Exception ex)
{
System.Diagnostics.Debug.WriteLine(ex.StackTrace);
}
#endregion
return comment;
}