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);
}
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
SetStartDate(2000, 01, 01);
SetEndDate(2004, 01, 01);
SetCash(25000);
AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
var shortval = Config.GetInt("EMA_VAR1", 10);
var longval = Config.GetInt("EMA_VAR2", 50);
emaShort = EMA(symbol, shortval, Resolution.Daily);
emaLong = EMA(symbol, longval, Resolution.Daily);
for (int i = 0; i < MAXRETURNS; i++)
{
_tradeReturns.Add(0);
}
startTime = DateTime.Now;
}
/// <summary>
/// Called at the start of your algorithm to setup your requirements:
/// </summary>
public override void Initialize()
{
//Set the date range you want to run your algorithm:
SetStartDate(1998, 1, 1);
SetEndDate(DateTime.Today.AddDays(-1));
//Set the starting cash for your strategy:
SetCash(100000);
//Add any stocks you'd like to analyse, and set the resolution:
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "SPY", resolution: Resolution.Minute);
//EMA Average Trackers:
emaShort = new ExponentialMovingAverage(10);
emaLong = new ExponentialMovingAverage(50);
}
/// <summary>
/// Called at the start of your algorithm to setup your requirements:
/// </summary>
public override void Initialize()
{
//Set the date range you want to run your algorithm:
SetStartDate(1998, 1, 1);
SetEndDate(DateTime.Today.AddDays(-1));
//Set the starting cash for your strategy:
SetCash(100000);
//Add any stocks you'd like to analyse, and set the resolution:
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "SPY", resolution: Resolution.Minute);
//EMA Average Trackers:
emaShort = new ExponentialMovingAverage(10);
emaLong = new ExponentialMovingAverage(50);
}
public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 11);
SetCash(250000);
foreach (var symbol in Symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Second);
// Define an Identity Indicator with the close price.
Identity priceIdentityIndicator = new Identity(symbol + "PriceIdentityIndicator");
RegisterIndicator(symbol, priceIdentityIndicator, Resolution.Second, Field.Close);
// Define an EMA.
ExponentialMovingAverage EMA = new ExponentialMovingAverage("EMA_" + symbol, 100);
RegisterIndicator(symbol, EMA, Resolution.Minute, Field.Close);
// Inject the Price Identity indicator and the EMA in the Strategy object.
StrategyDict.Add(symbol, new NoStrategy(symbol, priceIdentityIndicator, EMA));
stockLogging.Add(symbol, new StringBuilder());
}
}
