public override void Initialize()
{
SetCash(1000);
SetStartDate(Config.GetValue <DateTime>("startDate", new DateTime(2017, 6, 12)));
SetEndDate(Config.GetValue <DateTime>("endDate", new DateTime(2017, 7, 22)));
if (IsOutOfSampleRun)
{
var startDate = new DateTime(year: 2016, month: 1, day: 1);
SetStartDate(startDate);
SetEndDate(startDate.AddMonths(oosPeriod));
RuntimeStatistics["ID"] = GetParameter("ID");
SetParameters(config.ToDictionary(k => k.Key, v => v.Value.ToString()));
}
_symbol = AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Tick, Market.GDAX, false, 1m, false).Symbol;
SetBrokerageModel(QuantConnect.Brokerages.BrokerageName.GDAX, AccountType.Cash);
var con = new TickConsolidator(new TimeSpan(1, 0, 0));
SetBenchmark(_symbol);
var factory = new SignalFactory(7);
_entry = factory.Create(this, _symbol, true);
_exit = factory.Create(this, _symbol, false);
}
public override void Initialize()
{
SetCash(10000);
SetStartDate(Configuration.GetConfigDateTime("startDate", new DateTime(2017, 11, 21), this));
SetEndDate(Configuration.GetConfigDateTime("endDate", new DateTime(2017, 11, 21), this));
Configuration.GetConfiguration(Configuration.configUrl, config);
if (IsOutOfSampleRun)
{
//var startDate = new DateTime(year: 2016, month: 1, day: 1);
//SetStartDate(startDate);
//SetEndDate(startDate.AddMonths(oosPeriod));
RuntimeStatistics["ID"] = GetParameter("ID");
SetParameters(config.ToDictionary(k => k.Key, v => v.Value.ToString()));
}
SetBrokerageModel(QuantConnect.Brokerages.BrokerageName.OandaBrokerage);
var con = new TickConsolidator(new TimeSpan(1, 0, 0));
// SetBenchmark(_symbol);
_symbols = new List <Symbol>();
_entry = new List <Rule>();
_exit = new List <Rule>();
foreach (var symbol in TradingSymbols.OandaFXMajors0)
{
var security = AddSecurity(SecurityType.Forex, symbol, Configuration._resolution, Market.Oanda, true, Configuration._leverage, false);
_symbols.Add(security.Symbol);
}
foreach (var symbol in TradingSymbols.OandaCFD)
{
// AddSecurity(SecurityType.Cfd, symbol, _resolution, Market.Oanda, true, _leverage, false);
}
var factory = new SignalFactory();
foreach (var symbol in _symbols)
{
Securities[symbol].VolatilityModel = new ThreeSigmaVolatilityModel(STD(symbol: symbol, period: 12 * 60, resolution: Configuration._resolution), 20.0m);
_entry.Add(factory.Create(this, symbol, true, Configuration._resolution));
_exit.Add(factory.Create(this, symbol, false, Configuration._resolution));
}
RiskManager = new FxRiskManagment(Portfolio, Configuration._riskPerTrade, Configuration._maxExposurePerTrade, Configuration._maxExposure, Configuration._lotSize);
}
