示例#1
0
        public void ResetsProperly()
        {
            var rsi = new RelativeStrengthIndex(2);
            rsi.Update(DateTime.Today, 1m);
            rsi.Update(DateTime.Today.AddSeconds(1), 2m);
            Assert.IsFalse(rsi.IsReady);

            rsi.Reset();
            TestHelper.AssertIndicatorIsInDefaultState(rsi);
            TestHelper.AssertIndicatorIsInDefaultState(rsi.AverageGain);
            TestHelper.AssertIndicatorIsInDefaultState(rsi.AverageLoss);
        }
        public override void Initialize()
        {
            SetStartDate(2016, 01, 01);  //Set Start Date
            SetEndDate(2016, 06, 30);    //Set End Date
            SetCash(100000);             //Set Strategy Cash
            AddEquity(symbol, Resolution.Daily);

            rsi = RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily);
            mom = MOM(symbol, 10, Resolution.Daily, Field.Close);

            engine = new FuzzyEngine();
        }
示例#3
0
        /// <summary>
        /// Initializes a new instance of the <see cref="CrossEMAStrategy"/> class.
        /// </summary>
        /// <param name="Price">The injected price indicator.</param>
        /// <param name="SlowEMAPeriod">The slow EMA period.</param>
        /// <param name="FastEMAPeriod">The fast EMA period.</param>
        public RSIStrategy(Indicator Price, int RSIPeriod = 40, decimal Threshold = 20)
        {
            // Initialize fields.
            _threshold = Threshold;
            _price = Price;
            ActualSignal = OrderSignal.doNothing;
            Position = StockState.noInvested;
            EntryPrice = null;

            rsi = new RelativeStrengthIndex(RSIPeriod).Of(_price);

            // Fill the RSI rolling windows at every new RSI update. Once the
            // rolling windows is ready, at every indicator update the CheckSignal method will be called.
            rsi.Updated += (object sender, IndicatorDataPoint updated) =>
                    {
                        if (rsi.IsReady) rsiRW.Add(rsi);
                        if (rsiRW.IsReady) CheckSignal();
                    };
        }
示例#4
0
        /// <summary>
        /// Called at the start of your algorithm to setup your requirements:
        /// </summary>
        public override void Initialize()
        {
            SetCash(100000);
            symbols.Add("SPY");
            SetStartDate(1998, 1, 1);
            SetEndDate(2014, 6, 1);

            //Present Social Media Stocks:
            // symbols.Add("FB");symbols.Add("LNKD");symbols.Add("GRPN");symbols.Add("TWTR");
            // SetStartDate(2011, 1, 1);
            // SetEndDate(2014, 12, 1);

            //2008 Financials: 
            // symbols.Add("C");symbols.Add("AIG");symbols.Add("BAC");symbols.Add("HBOS");
            // SetStartDate(2003, 1, 1);
            // SetEndDate(2011, 1, 1);

            //2000 Dot.com: 
            // symbols.Add("IPET");symbols.Add("WBVN");symbols.Add("GCTY");
            // SetStartDate(1998, 1, 1);
            // SetEndDate(2000, 1, 1); 

            //CAPE data
            AddData<CAPE>("CAPE");

            foreach (string stock in symbols)
            {
                AddSecurity(SecurityType.Equity, stock, Resolution.Minute);

                macd = MACD(stock, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily);
                macdDic.Add(stock, macd);
                rsi = RSI(stock, 14, MovingAverageType.Exponential, Resolution.Daily);
                rsiDic.Add(stock, rsi);

                Securities[stock].SetLeverage(10);
            }
        }
        /// <summary>
        /// Initialize the data and resolution you require for your strategy
        /// </summary>
        public override void Initialize()
        {
            //Initialize
            SetStartDate(2013, 1, 1);
            SetEndDate(2014, 12, 31);
            SetCash(25000);

            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);

            //Add the Custom Data:
            AddData<Bitcoin>("BTC");

            //Set up default Indicators, these indicators are defined on the Value property of incoming data (except ATR and AROON which use the full TradeBar object)
            _indicators = new Indicators
            {
                BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
                RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
                ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
                EMA = EMA(_symbol, 14, Resolution.Daily),
                SMA = SMA(_symbol, 14, Resolution.Daily),
                MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
                AROON = AROON(_symbol, 20, Resolution.Daily),
                MOM = MOM(_symbol, 20, Resolution.Daily),
                MOMP = MOMP(_symbol, 20, Resolution.Daily),
                STD = STD(_symbol, 20, Resolution.Daily),
                MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
                MAX = MAX(_symbol, 14, Resolution.Daily)  // by default if the symbol is a tradebar type then it will be the max of the high property
            };

            // Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
            //  These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
            //  We'll define these 'selector' functions to select the Low value
            //
            //  For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
            //                                                     https://msdn.microsoft.com/en-us/library/bb397687.aspx
            //
            _selectorIndicators = new Indicators
            {
                BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
                RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
                EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
                SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
                MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
                MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
                MOMP = MOMP(_symbol, 20, Resolution.Daily, Field.Low),
                STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
                MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
                MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low),  // this will find the 14 day max of the low property

                // ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
                // before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
                ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
                AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
            };

            //Custom Data Indicator:
            _rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
            _minCustom = MIN(_customSymbol, 14, Resolution.Daily);
            _maxCustom = MAX(_customSymbol, 14, Resolution.Daily);

            // in addition to defining indicators on a single security, you can all define 'composite' indicators.
            // these are indicators that require multiple inputs. the most common of which is a ratio.
            // suppose we seek the ratio of BTC to SPY, we could write the following:
            var spyClose = Identity(_symbol);
            var btcClose = Identity(_customSymbol);
            // this will create a new indicator whose value is BTC/SPY
            _ratio = btcClose.Over(spyClose);
            // we can also easily plot our indicators each time they update using th PlotIndicator function
            PlotIndicator("Ratio", _ratio);
        }
示例#6
0
 public void ComparesAgainstExternalData()
 {
     var rsi = new RelativeStrengthIndex("rsi", 14, MovingAverageType.Simple);
     TestHelper.TestIndicator(rsi, "RSI 14");
 }
示例#7
0
 /// <summary>
 /// Initializes a new instance of the RSIBullBearIndicator class with the specified name and Relative Strength Indicator
 /// </summary>
 /// <param name="name">The name of this indicator</param>
 /// <param name="rsi">The Relative Strength Index used by this indicator</param>
 public RSIBullBearIndicator(String name, RelativeStrengthIndex rsi)
     : base(name)
 {
     _rsi         = rsi;
     WarmUpPeriod = rsi.WarmUpPeriod;
 }