using QuantConnect.Indicators;
namespace QuantConnect
{
/*
* QuantConnect University: Full Basic Template:
*
* The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect.
* We have explained some of these here, but the full algorithm can be found at:
* https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs
*/
public class BasicTemplateAlgorithm : QCAlgorithm
{
private BollingerBands _bb;
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
//Start and End Date range for the backtest:
SetStartDate(2013, 1, 1);
SetEndDate(DateTime.Now.Date.AddDays(-1));
//Cash allocation
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
// Create a Bolling Band indicator with a simple moving average and bands distanced by 2 std-deviation
_bb = BB("SPY", 20, 2, MovingAverageType.Simple, Resolution.Daily);
//Chart - Master Container for the Chart:
var stockPlot = new Chart("Trade Plot");
//On the Trade Plotter Chart we want 3 series: trades and price:
stockPlot.AddSeries(new Series("Buy", SeriesType.Scatter, 0));
stockPlot.AddSeries(new Series("Sell", SeriesType.Scatter, 0));
stockPlot.AddSeries(new Series("Price", SeriesType.Line, 0));
AddChart(stockPlot);
}
//Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
public void OnData(TradeBars data)
{
if(!_bb.IsReady) return;
var price = data["SPY"].Close;
var qnty = Portfolio["SPY"].Quantity;
// Enter long position if flat or short and price below the lower band
if(qnty <= 0 && price < _bb.LowerBand)
{
SetHoldings("SPY", +1m);
Debug("Long SPY on " + Time.ToShortDateString());
Plot("Trade Plot", "Buy", price);
}
// Enter short position if flat or long and price above the upper band
if(qnty >= 0 && price > _bb.UpperBand)
{
SetHoldings("SPY", -1m);
Debug("Short SPY on " + Time.ToShortDateString());
Plot("Trade Plot", "Sell", price);
}
}
public override void OnEndOfDay()
{
if(_bb.IsReady) Plot("Trade Plot", _bb.UpperBand, _bb.MiddleBand, _bb.LowerBand);
}
}
}