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Trading SPX500 in margin account

Hello, the following algoritm works.

However, if I have a margin account in Oanda I am able to short this asset.

How could I change this algo to go short?

Thanks for helping, I don't find any example in github.

 

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

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

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from datetime import datetime

### <summary>
### Simple indicator demonstration algorithm of MACD
### </summary>
### <meta name="tag" content="indicators" />
### <meta name="tag" content="indicator classes" />
### <meta name="tag" content="plotting indicators" />
class MACDTrendAlgorithm(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(2004, 1, 1) #Set Start Date
self.SetEndDate(2005, 1, 1) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.AddCfd("SPX500USD", Resolution.Daily, Market.Oanda)

# define our daily macd(12,26) with a 9 day signal
self.__macd = self.MACD("SPX500USD", 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily)
self.__previous = datetime.min
self.PlotIndicator("MACD", True, self.__macd, self.__macd.Signal)
self.PlotIndicator("SPX500USD", self.__macd.Fast, self.__macd.Slow)


def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
# wait for our macd to fully initialize
if not self.__macd.IsReady: return

# only once per day
if self.__previous.date() == self.Time.date(): return

# define a small tolerance on our checks to avoid bouncing
tolerance = 0.0025

holdings = self.Portfolio["SPX500USD"].Quantity

signalDeltaPercent = (self.__macd.Current.Value - self.__macd.Signal.Current.Value)/self.__macd.Fast.Current.Value

# if our macd is greater than our signal, then let's go long
if holdings <= 0 and signalDeltaPercent > tolerance: # 0.01%
# longterm says buy as well
self.SetHoldings("SPX500USD", 1.0)

# of our macd is less than our signal, then let's go short
elif holdings >= 0 and signalDeltaPercent < -tolerance:
self.Liquidate("SPX500USD")


self.__previous = self.Time

 

Update Backtest








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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Islander,

Thank you for your question. You can simply transform this MACD Long strategy to a Short one by editing the codes between line 66 to line 72:

# if our macd is less than our signal, then let's go short
if holdings >= 0 and signalDeltaPercent < -tolerance:
self.SetHoldings("SPX500USD", -1.0)

# if our macd is greater than our signal, then let's liquidate
elif holdings <= 0 and signalDeltaPercent > tolerance: # 0.01%
# longterm says buy as well
self.Liquidate("SPX500USD")

Below I've attached a backtest for this MACD Short algorithm. Hope it helps!

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks Daniel,

 

it works.

Cheers

0

Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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