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Popular Algorithms

Satyapravin Bezwada 1.3k Community

First attempt with Hawkes process. Holding period < 4 minutes.

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Grant Kot 2.5k Community

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Grant Kot 2.5k Community

Hi guys! This is my first algorithm coded just this afternoon. This keeps track of 80 EMAs from 1 minute to 3 days. Each step it does a comparison of gains from all possible EMA pairs and uses the recent best performing pair to execute its next trade.

Clone Algorithm

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xiaoxiao 2.4k Community

Trading signal is trigger by ema 10 day cross 50 day.

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Quant Trader 452 I believe the queue is used to store data items before the average can be calculated on the average of last tick. If you know a library which can process tick data on the fly instead of doing numerous calculations, that would be great. Sample code (not tested yet!):


using System;
using System.Collections;
using System.Collections.Generic;
using System.Text;
using System.Threading.Tasks;
using System.Linq;
using QuantConnect;
using QuantConnect.Models;

namespace QuantConnect.Algorithm.Library
{
    /// 
    /// An indicator shows the average value of secuitry's price  
    /// over a set period 
    /// 
    public class ExponentialMovingAverage
    {
        private int _period;
        private decimal _ema;
        private bool _initialized;
        private Queue _data = new Queue();

        public void Clear()
        {
            _data.Clear();
        }
        /// 
        /// EMA value
        /// 
        public decimal EMA
        {
            get { return _ema; }
        }
        private decimal ExponentialComponent
        {
            get { return (decimal) 2 / (_period + 1); }
        }
        /// 
        /// Initialise the Algorithm
        /// 
        public ExponentialMovingAverage(int period)
        {
            _period = period;
            _ema = 0;
            _initialized = false;
        }
        public bool IsInitialized
        {
            get { return _initialized;}
        }
        /// 
        /// Calculate the exponential moving average 
        ///           
        public bool Push(decimal priceToday)
        {
            if (_initialized)
            {
                _ema = (1 - ExponentialComponent) * _ema + ExponentialComponent * priceToday;
                //http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average
            }
            else
            {
                _data.Enqueue(priceToday);
                if (_data.Count >= _period)
                {
                    _ema = _data.Average();
                    _initialized = true;
                }
            }
            return _initialized;
        }
    }
}

Jared Broad 10.9k I had something similar prepped for next release -- to kick off the community indicator library :) Would you be interested in contributing to the OS project?

namespace QuantConnect
{
    using QuantConnect.Models;
    
    /// 
    /// Online exponential moving average indicator class:
    /// 
    public class EMA : Indicator
    {
        /// 
        /// Initialize a new instance of the online EMA.
        /// 
        /// number of samples in the EMA.
        public EMA(int period) {
            _period = period;
        }

        private decimal _ema = 0;
        private decimal _period = 0;

        /// 
        /// Period of the EMA.
        /// 
        public decimal Period
        {
            get {
                return _period;
            }
        }

        /// 
        /// Last calculated EMA
        /// 
        public decimal Result
        {
            get {
                return _ema;
            }
        }

        /// 
        /// Push in the latest price and get back an updated EMA.
        /// 
        /// latest price of asset
        /// Period EMA
        public decimal Push(decimal latestPrice) {
            try
            {
                //Set the first value of EMA.
                if (_ema == 0) _ema = latestPrice;
                //Online EMA 
                _ema = (1m / _period) * latestPrice + ((_period - 1m) / _period) * _ema;
            }
            catch (Exception err) 
            {
                throw new Exception("Indicator: EMA(): Sorry there was an error your EMA: " + err.Message);
            }
            return _ema;
        }

        /// 
        /// Push in the last market data to get the period based EMA.
        /// 
        /// Tick Market Data
        /// Decimal EMA over the requested period.
        public decimal Push(Tick tick) 
        {
            return Push(tick.Price);
        }

        /// 
        /// Push in the last market data to get the period based EMA.
        /// 
        /// TradeBar Market Data
        /// Decimal EMA over the requested period.
        public decimal Push(TradeBar bar) 
        {
            return Push(bar.Price);
        }

    } // End Indicator Class
} // End QC Namespace

Will Patton 112 Community

A Single Buy Transaction on Jan 1, 2013 to Dec 31, 2013.

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Jared Broad 10.9k Community

2012 was a rough year for SPY. using System; using System.Collections; using System.Collections.Generic; namespace QuantConnect { using QuantConnect.Securities; using QuantConnect.Models; public partial class BasicTemplateAlgorithm : QCAlgorithm, IAlgorithm { bool bTraded = false; DateTime nextDate = new DateTime(); public override void ...

Clone Algorithm

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joyanta 1.5k using System; using System.Collections; using System.Collections.Generic; namespace QuantConnect { using QuantConnect.Securities; using QuantConnect.Models; public partial class DollarCostAverageAlgorithm : QCAlgorithm, IAlgorithm { private string etf = "SPY"; private DateTime startDate = new DateTime(2009, 10, 01); private DateTime endDate = new DateTime(2010, 03, 31); private DateTime nextTradeDate = DateTime.MinValue; // Monthly Dollar Value to be used, say every month you have 1000 to invest. private decimal monthlyDollarValue = 1000; public override void Initialize() { SetRunMode(RunMode.Series); Resolution resolution = Resolution.Minute; nextTradeDate = startDate.AddDays(15); SetStartDate(startDate); SetEndDate(endDate); SetCash(SetupCapital(startDate, endDate)); AddSecurity(SecurityType.Equity, etf, resolution); } private decimal SetupCapital(DateTime startDate, DateTime endDate) { if (startDate.Date < endDate.Date ) { int months = (int) ((endDate.Date - startDate.Date).Days / 30); return (decimal) months * monthlyDollarValue * 10 ; } //Default 100,000 dollars, return (decimal) 100000.0; } private int Quantity(decimal price) { int quantity = (int) (monthlyDollarValue / price); return quantity; } public override void OnTradeBar(Dictionary securityData) { try { //trade in the on a midday if (Time.Date >= nextTradeDate.Date && Time.Hour >= 12) { // finally we will make our investment. Ho Ho HO Ho father christmas has arrived early. int quantity = Quantity(securityData[etf].Price); Order(etf, quantity); //symbol, quantity nextTradeDate = nextTradeDate.AddMonths(1); } return; } catch (Exception err) { Error("This is an error handler." + err.Message); } } } }

Intraday FX Strategy - Hawkes process

First attempt with Hawkes process. Holding period < 4 minutes. by Satyapravin Bezwada 1.3k

Clone Algorithm

Auto Adjusting MA Crossover Periods

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MSFT 2013 Buy and Hold

A Single Buy Transaction on Jan 1, 2013 to Dec 31, 2013. by Will Patton 112

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Override Transaction Model Example

Hey @DroidMaster, Its a little tricky but you have to override the default models with your own. The full documentation is here: https://www.quantconnect.com/docs/API#2.10.1 but I've hacked up a quick example and set the Slippage to 0 to give you an example in the attached code. I tested two backtests with different slippage values and surely enough a higher slippage gave a lower profit figure :) You can view the default model here for FX and use it as an example: https://raw.github.com/QuantConnect/QCAlgorithm/master/QuantConnect.Common/Securities/Forex/ForexTransactionModel.cs by Jared Broad 10.9k

Clone Algorithm

Auto-Adjusting Moving Average Crossovers

Here's the original algorithm for a longer period of time. There's still a lot of work to be done on both of these strategies that could improve them a lot. by Grant Kot 2.5k

Clone Algorithm

Example End Of Day

@Peter -- please see example code with EOD messages streaming to console. If any messages aren't streaming for you it might be because your messages are identical and repeating (we block identical debug messages to prevent flooding), or that you've exceeded the maximum debug messages. Debug messages are very slow (synchronous web request) so logs are best. We limit the Log at 2000 lines at the moment (and this will be reduced soon per data providers requests) - so any EOD logs after 2000 lines will be lost (this is mentioned on line 2000 of your log). by Jared Broad 10.9k

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Renko Trends

So here is a new idea I started working on today that is based on Renko charts. For those of you who don't know (I also only found out about them today!), Renko charts are variable in time and a new bar is only created after a specific amount of price movement. Attached is an example of an extremely simple algorithm that buys or sells after a specified number of up/down movements. As you can see, it performs relatively well until mid July, and then it starts tanking. Anyway, I'm really excited to experiment more with Renko chart based algorithms. by Grant Kot 2.5k

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StapiarFastStrategy

The other strategy using TickData by Sebastián Tapia Reed 30

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Liquidity Trigger Sebastin

Hi guys I am Sebasti�n Tapia and I am a Software Engineers Attach are a couple of simple strategies. Currently don't work very well, but I think that with better parameters could work. Regards by Sebastián Tapia Reed 30

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Auto-Adjusting Moving Average Crossovers

Here is the backtest and source from a somewhat failed "improvement". It was supposed to look for the moving average crossovers that made the fastest gains while the original algorithm looked for the crossovers with the longest runs. Some things I will work on are: Improving the scoring criteria for determining which periods to use, include things like risk Using some additional "indicators" to gauge likelihood of success, maybe look at slopes of the MAs Improving exit strategy. Right now, I am only trading on crossovers. There needs to be some kind of stop loss. Once I optimize the algorithm to be a little faster, I will start tracking multiple companies. by Grant Kot 2.5k

Clone Algorithm

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Have some great ideas? Lets test it out!

Start Your Algorithm

public class MyFirstAlgorithm : QCAlgorithm, IAlgorithm {
	public override void Initialize() {
		SetStartDate(2011, 01, 01);
		SetEndDate(2012, 12, 31);
		SetCash(100000);
	}
	//Data event - Every minute, second or tick
	public override function OnTradeBar(data) {
		//Your strategy here!
	}
}

Event Driven Strategies

Designing an algorithm couldn't be easier. With only 2 required functions we take care of everything else! You just Initialize() and then handle the data-events you requested. You can create new indicators, classes, folders and files.

We are committed to giving you the best possible algorithm design experience.

Built for Speed

Just as highways revolutionized travel, we are providing infrastructure to enable rapid strategy design and testing at speeds you've never seen before.

5-10 year second or tick data strategies, across gigabytes of data complete in 30-60 seconds. Roughly 50x faster than possible on your home computer.

You don't need to wait for your simulation to complete! Keep coding and it will notify you when completed.

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With your permission we'll introduce you to capital providers to fund your strategy with millions in trading capital. Leverage your potential and earn a great return from your ideas.

First and foremost, your ideas are your property and yours to do with as you like. If you'd prefer to remain independent we'll happily help you execute through your broker of choice.

We carefully selected our investors and partners to avoid conflicts of interest. Our interests are aligned with yours, so lets create the next revolution in finance.

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Design strategies with a multi-terabyte financial data library, spanning global markets, worth over $100,000 at your disposal.

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We have the FX tick data on 13 major currency pairs going back to April 2007, and updated daily with yesterday's market data. Data provided by FXCM. See more details on exactly what pairs in our data library.

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Estimize provides QuantConnect quarterly earnings predictions generated by a community of 13,000 traders and investors. Estimize data goes back early 2011 and covers most stocks. It is better than Wall Street's predictions 69% of the time!

//Add Security Function Pattern - Request asset data.
AddSecurity(SecurityType marketType,
	    string symbol,
	    Resolution resolution = Resolution.Minute,
	    bool fillDataForward = true,
	    int leverage = 0,
	    bool includePremarketData = false);

//For example - requesting market data:
AddSecurity(SecurityType.Equity, "IBM", Resolution.Second);
AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Minute);

//Requesting Sentiment Data to go with your stock:
AddSentimentData(SentimentType.Estimize, "IBM");
//And Twitter Sentiment with your Currencies:
AddSentimentData(SentimentType.StockPulse, "EURUSD");

StockPulse provides Twitter Sentiment Analysis to identify moods, rumors, and market-moving trends and provides valuable trading ideas and signals on every traded asset in the world.

QuantConnect believes in applying principles of openness and transparency in all aspects of the company. As such we're giving you complete access to an enormous library of financial data. Thanks to our generous data partners for providing this resource.

Design and trade algorithmic trading strategies in a web browser, with free financial data, fast cloud backtesting and capital.

Learn More

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Intraday FX Strategy - Hawkes process

Auto Adjusting MA Crossover Periods

MSFT 2013 Buy and Hold

Override Transaction Model Example

Auto-Adjusting Moving Average Crossovers

Example End Of Day

Renko Trends

StapiarFastStrategy

Liquidity Trigger Sebastin

Auto-Adjusting Moving Average Crossovers

How does it work?

Unparalleled Speed

Unlimited Financial Data

Beautiful Charting

Event Driven Strategies

Built for Speed

Leverage your Potential

Professional Quality, Open Data Library

US Equities

FOREX Majors

Crowd Sentiment Data

Design and trade algorithmic trading strategies in a web browser,
with free financial data,
fast cloud backtesting and capital.