public void ComparesAgainstExternalData()
{
var adx = new AverageDirectionalIndex("adx", 14);
const double epsilon = 1;
TestHelper.TestIndicator(adx, "spy_with_adx.txt", "ADX 14",
(ind, expected) => Assert.AreEqual(expected, (double)((AverageDirectionalIndex)ind).Current.Value, epsilon)
);
}
public void ResetsProperly()
{
var adxIndicator = new AverageDirectionalIndex("ADX", 14);
foreach (var data in TestHelper.GetTradeBarStream("spy_with_adx.txt", false))
{
adxIndicator.Update(data);
}
Assert.IsTrue(adxIndicator.IsReady);
adxIndicator.Reset();
}
public SymbolData(Symbol symbol, QCAlgorithm algorithm)
{
Symbol = symbol;
Security = algorithm.Securities[symbol];
Close = algorithm.Identity(symbol);
ADX = algorithm.ADX(symbol, 14);
EMA = algorithm.EMA(symbol, 14);
MACD = algorithm.MACD(symbol, 12, 26, 9);
// if we're receiving daily
_algorithm = algorithm;
}
/// <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));
chart.AddSeries(new Series("Enter", SeriesType.Scatter));
chart.AddSeries(new Series("Exit", SeriesType.Scatter));
chart.AddSeries(new Series(PSARMin.Name, SeriesType.Scatter));
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());
}
