Regression Channel on crypto in python

Does anyone have a demo using the Regression Channel algorithm but on crypto? The demos use equities...

Update Backtest

+1 , I'm new and have same question. Pls share if you have the answer


Hi, i tried this and it seems to work but i have no idea if what i do is correct.

from clr import AddReference
AddReference ("System")
AddReference ("QuantConnect.Algorithm")
AddReference ("QuantConnect.Common")

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

class BTC_Reg_Channel (QCAlgorithm) :

def Initialize(self):

self.SetStartDate (2018, 1, 1)
self.SetEndDate (2018, 5, 1)
self.SetCash (100000)
self.SetBrokerageModel (BrokerageName.GDAX, AccountType.Cash)

crypto = self.AddCrypto ("ETHUSD", Resolution.Daily)

self.sym = crypto.Symbol

self.rc = self.RC (self.sym, 30, 2, Resolution.Daily)

def OnData (self, data):

if (not self.rc.IsReady) or (not data.ContainsKey(self.sym)): return
if data[self.sym] is None: return

holdings = self.Portfolio [self.sym].Quantity
price = self.Securities [self.sym].Close

quantity = 1

if (holdings <= 0):
if (price > self.rc.LowerChannel.Current.Value) :
self.SetHoldings (self.sym, quantity)

if (holdings > 0) :
if (price > self.rc.UpperChannel.Current.Value) :
self.SetHoldings(self.sym, - quantity)




Update Backtest


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