ARIMA Models on Forecasting

Hello,

is there any documentation on how to use ARIMA models on securities forecasting? Im trying to build something basic, but im not sure if for instance the self.arima.current.value is a forecast or not, also it seems that the model is not warming up…. The goal would be an ARIMA that updates itself with every bar, and would make a prediction with the stock price.

Best

Álvaro

from clr import AddReference

AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *

# <summary>
# Regression algorithm to test the behaviour of ARMA versus AR models at the same order of differencing.
# In particular, an ARIMA(1,1,1) and ARIMA(1,1,0) are instantiated while orders are placed if their difference
# is sufficiently large (which would be due to the inclusion of the MA(1) term).
# </summary>
class AutoRegressiveIntegratedMovingAverageRegressionAlgorithm(QCAlgorithm):
    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
        self.SetStartDate(2021, 10, 1)
        self.SetEndDate(2021, 10, 20)
        
        self.EnableAutomaticIndicatorWarmUp = True
        self.SetCash(10000000)
        self.ticker = self.AddCrypto("BTCUSD",Resolution.Minute)
        #self.ticker = self.AddEquity("SPY", Resolution.Daily)
        
        #self.setBenchmark("SPY")
        
        
        self.arima = self.ARIMA(self.ticker.Symbol, 1, 1, 1, 50)
        self.ar = self.ARIMA(self.ticker.Symbol, 1, 1, 0, 50)
        


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

        Arguments:
            data: Slice object keyed by symbol containing the stock data
        '''
        if self.arima.IsReady:
            if self.arima.Current.Value > self.Securities[self.ticker.Symbol].Close and self.Portfolio.Invested == 0:
                self.SetHoldings(self.ticker.Symbol,1)
            elif self.Portfolio.Invested > 0 and self.arima.Current.Value < self.Securities[self.ticker.Symbol].Close:
                self.Liquidate()
            
        
        
        #    if abs(self.arima.Current.Value - self.ar.Current.Value) > 1:
        #        if self.arima.Current.Value > self.last:
        #            self.MarketOrder("SPY", 1)
        #        else:
        #            self.MarketOrder("SPY", -1)
        #    self.last = self.arima.Current.Value
            
        #self.Plot('SPY', self.Securities[self.ticker.Symbol].Close)
        self.Plot('BTCUSD',self.Securities[self.ticker.Symbol].Close)
        self.Plot('AR',self.ar.Current.Value)
        self.Plot('ARIMA',self.arima.Current.Value)

Best

Alvaro