import numpy as np
from datetime import timedelta
from datetime import datetime
import pandas as pd
class MovingAverage(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 1)
#self.SetEndDate(2016, 1, 10)
self.SetCash(100000)
self.a = self.AddEquity("VIXY", Resolution.Minute).Symbol
self.b = self.AddEquity("SVXY", Resolution.Minute).Symbol
self.SetWarmUp(2860,Resolution.Hour)
self.previous = None
self.position = None
self.macd1 = self.MACD(self.a, 40, 85, 30, MovingAverageType.Exponential, Resolution.Hour)
self.macd2 = self.MACD(self.b, 40, 85, 30, MovingAverageType.Exponential, Resolution.Hour)
#self.rsi_vixy = self.RSI("VIXY", 18, MovingAverageType.Exponential,Resolution.Hour)
#self.rsi_svxy = self.RSI("SVXY", 18, MovingAverageType.Exponential,Resolution.Hour)
#PlusPercent = Decimal(1.2)
#MinusPercent = Decimal(0.9)
#APrice = (data["VIXY"].Open)
#self.LimitOrder("VIXY", self.CalculateOrderQuantity("VIXY", .3), APrice * PlusPercent)
##reason for not working due to price change---since price changes number of shares change
#need to change number of shares of set it to what it was in beginning
##invalid orders need something to check if orders are vaild
##stop loss
###stop gain
#self.LimitOrder("SPY", -10, price * plusThreePercent)
#self.CalculateOrderQuantity("SVXY", .3) to calculate number of shares
###stop loss
#self.StopMarketOrder("SPY", -10, price * minusThreePercent)
#leverage
#self.a = self.AddEquity("VIXY", Resolution.Minute,Market.USA,True,2).Symbol
#self.b = self.AddEquity("SVXY", Resolution.Minute,Market.USA,True,2).Symbol
def OnData(self,Data):
if self.IsWarmingUp: return
if self.macd1.Current.Value > self.macd1.Signal.Current.Value and self.macd2.Current.Value < self.macd2.Signal.Current.Value:
#self.rsi_spy.Current.Value >= 70
if self.position == None:
self.Sell("SVXY",self.CalculateOrderQuantity("SVXY", .3))
self.Buy("VIXY", self.CalculateOrderQuantity("VIXY", .5))
#1.3
else:
self.Liquidate("SVXY")
self.Buy("VIXY", self.CalculateOrderQuantity("VIXY", .3))
self.Sell("SVXY",self.CalculateOrderQuantity("SVXY", .3))
self.Buy("VIXY", self.CalculateOrderQuantity("VIXY", .2))
#1
if self.macd1.Current.Value < self.macd1.Signal.Current.Value and self.macd2.Current.Value > self.macd2.Signal.Current.Value:
#self.rsi_spy.Current.Value <= 40
if self.position == None:
self.Sell("VIXY",self.CalculateOrderQuantity("VIXY", .3))
self.Buy("SVXY",self.CalculateOrderQuantity("SVXY", .5))
#1.3
else:
self.Buy("SVXY",self.CalculateOrderQuantity("SVXY", .3))
self.Liquidate("VIXY")
self.Sell("VIXY",self.CalculateOrderQuantity("VIXY", .3))
self.Buy("SVXY",self.CalculateOrderQuantity("SVXY", .2))
#1
###import numpy as np
from decimal import *
class stopLossTakeprofitExample(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013,10, 7) #Set Start Date
self.SetEndDate(2013,10,31) #Set End Date
self.SetCash(10000) #Set Strategy Cash
self.AddEquity("SPY", Resolution.Hour)
def OnData(self, data):
if not self.Portfolio.Invested:
price = data["SPY"].Close
self.Debug('price : ' + str(price))
plusThreePercent = Decimal(1.03)
minusThreePercent = Decimal(0.97)
### Buy at current market price and simultaneously send limit sell order and stop loss order
self.Buy("SPY", 10)
self.LimitOrder("SPY", -10, price * plusThreePercent)
self.StopMarketOrder("SPY", -10, price * minusThreePercent)
#self.CalculateOrderQuantity use for quantity
def OnOrderEvent(self, orderEvent):
order = self.Transactions.GetOrderById(orderEvent.OrderId)
### Cancel remaining order if limit order or stop loss order is executed
if order.Status == OrderStatus.Filled:
if order.Type == OrderType.Limit or OrderType.StopLimit:
self.Transactions.CancelOpenOrders(order.Symbol)
if order.Status == OrderStatus.Canceled:
self.Log(str(orderEvent))import numpy as np
from datetime import timedelta
from datetime import datetime
import pandas as pd
class MovingAverage(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 1)
#self.SetEndDate(2016, 1, 10)
self.SetCash(100000)
self.a = self.AddEquity("VIXY", Resolution.Minute).Symbol
self.b = self.AddEquity("SVXY", Resolution.Minute).Symbol
self.SetWarmUp(2860,Resolution.Hour)
self.previous = None
self.position = None
self.macd1 = self.MACD(self.a, 40, 85, 30, MovingAverageType.Exponential, Resolution.Hour)
self.macd2 = self.MACD(self.b, 40, 85, 30, MovingAverageType.Exponential, Resolution.Hour)
#self.rsi_vixy = self.RSI("VIXY", 18, MovingAverageType.Exponential,Resolution.Hour)
#self.rsi_svxy = self.RSI("SVXY", 18, MovingAverageType.Exponential,Resolution.Hour)
#PlusPercent = Decimal(1.2)
#MinusPercent = Decimal(0.9)
#APrice = (data["VIXY"].Open)
#self.LimitOrder("VIXY", self.CalculateOrderQuantity("VIXY", .3), APrice * PlusPercent)
##reason for not working due to price change---since price changes number of shares change
#need to change number of shares of set it to what it was in beginning
##invalid orders need something to check if orders are vaild
##stop loss
###stop gain
#self.LimitOrder("SPY", -10, price * plusThreePercent)
#self.CalculateOrderQuantity("SVXY", .3) to calculate number of shares
###stop loss
#self.StopMarketOrder("SPY", -10, price * minusThreePercent)
#leverage
#self.a = self.AddEquity("VIXY", Resolution.Minute,Market.USA,True,2).Symbol
#self.b = self.AddEquity("SVXY", Resolution.Minute,Market.USA,True,2).Symbol
def OnData(self,Data):
if self.IsWarmingUp: return
#svxypointthree=self.CalculateOrderQuantity("SVXY", .3)
#svxyone=self.CalculateOrderQuantity("SVXY", 1)
#svxyonepointthree=self.CalculateOrderQuantity("SVXY", 1.3)
#vixypointthree=self.CalculateOrderQuantity("VIXY", .3)
#vixyone=self.CalculateOrderQuantity("VIXY", 1)
#vixyonepointthree=self.CalculateOrderQuantity("VIXY", 1.3)
if self.macd1.Current.Value > self.macd1.Signal.Current.Value and self.macd2.Current.Value < self.macd2.Signal.Current.Value:
#self.rsi_spy.Current.Value >= 70
if self.position == None:
self.Sell("SVXY",self.CalculateOrderQuantity("SVXY", .3))
self.Buy("VIXY", self.CalculateOrderQuantity("VIXY", 1.3))
else:
self.Liquidate("SVXY")
self.Buy("VIXY", self.CalculateOrderQuantity("VIXY", .3))
self.Sell("SVXY",self.CalculateOrderQuantity("SVXY", .3))
self.Buy("VIXY", self.CalculateOrderQuantity("VIXY", 1))
if self.macd1.Current.Value < self.macd1.Signal.Current.Value and self.macd2.Current.Value > self.macd2.Signal.Current.Value:
#self.rsi_spy.Current.Value <= 40
if self.position == None:
self.Sell("VIXY",self.CalculateOrderQuantity("VIXY", .3))
self.Buy("SVXY",self.CalculateOrderQuantity("SVXY", 1.3))
else:
self.Buy("SVXY",self.CalculateOrderQuantity("SVXY", .3))
self.Liquidate("VIXY")
self.Sell("VIXY",self.CalculateOrderQuantity("VIXY", .3))
self.Buy("SVXY",self.CalculateOrderQuantity("SVXY", 1))
###
