| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 35.480% Drawdown 11.400% Expectancy 0 Net Profit 83.548% Sharpe Ratio 1.4 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.003 Beta 15.893 Annual Standard Deviation 0.159 Annual Variance 0.025 Information Ratio 1.313 Tracking Error 0.159 Treynor Ratio 0.014 Total Fees $2.00 |
//V2: Changed indicator plots to include MOMP and MA
//V3: Changing period of MOMP from 20 to 1 (units are days, I suppose?)
//V4: Comparing a few different periods (1, 2, 5, 14) for the MOMP. Removing all other Indicators. Removed CSharp from namespace
// Leaving the BB and RSI because they are a part of the core Algorithm and I cannot run it without leaving them or modifying it for now.
// Received Runtime Error:
// Runtime Error:
/*System.NullReferenceException: Object reference not set to an instance of an object
at QuantConnect.Algorithm.IndicatorSuiteAlgorithm.OnData (QuantConnect.Data.Market.TradeBars data) [0x00013] in
<58049e9a694745e98121b80fd4e930b2>:0
at (wrapper remoting-invoke-with-check) QuantConnect.Algorithm.IndicatorSuiteAlgorithm.OnData(QuantConnect.Data.Market.TradeBars)
at (wrapper dynamic-method) QuantConnect.Algorithm.IndicatorSuiteAlgorithm.invoke(object,object[])
at QuantConnect.Lean.Engine.AlgorithmManager.Run (QuantConnect.Packets.AlgorithmNodePacket job, QuantConnect.Interfaces.IAlgorithm algorithm,
QuantConnect.Lean.Engine.DataFeeds.IDataFeed feed, QuantConnect.Lean.Engine.TransactionHandlers.ITransactionHandler transactions,
QuantConnect.Lean.Engine.Results.IResultHandler results, QuantConnect.Lean.Engine.RealTime.IRealTimeHandler realtime,
QuantConnect.Lean.Engine.Server.ILeanManager leanManager, QuantConnect.Lean.Engine.Alpha.IAlphaHandler alphas, System.Threading.CancellationToken token) [0x01148] in <3a1651000b144452bca38e38042f3f2a>:0 (Open Stacktrace)
*/
// Uncommenting MIN and MAX because it seems like they have dependencies as well (in the Custom Data Indicator: section)
using System;
using QuantConnect.Data;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
namespace QuantConnect.Algorithm
{
public class IndicatorSuiteAlgorithm : QCAlgorithm
{
private string _symbol = "SPY";
private string _customSymbol = "WIKI/FB";
private Indicators _indicators;
private Indicators _selectorIndicators;
private IndicatorBase<IndicatorDataPoint> _ratio;
//RSI Custom Data:
private RelativeStrengthIndex _rsiCustom;
private Minimum _minCustom;
private Maximum _maxCustom;
private decimal _price;
/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
//Initialize
SetStartDate(2013, 1, 1);
SetEndDate(2014, 12, 31);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Daily);
//Add the Custom Data:
AddData<Quandl>(_customSymbol);
//Set up default Indicators, these indicators are defined on the Value property of incoming data
//(except ATR and AROON which use the full TradeBar object)
_indicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
// EMA = EMA(_symbol, 14, Resolution.Daily),
//SMA = SMA(_symbol, 14, Resolution.Daily),
//MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
//AROON = AROON(_symbol, 20, Resolution.Daily),
//MOM = MOM(_symbol, 20, Resolution.Daily),
MOMP1 = MOMP(_symbol, 1, Resolution.Daily),
MOMP2 = MOMP(_symbol, 2, Resolution.Daily),
MOMP5 = MOMP(_symbol, 5, Resolution.Daily),
MOMP14 = MOMP(_symbol, 14, Resolution.Daily),
//STD = STD(_symbol, 20, Resolution.Daily),
MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
MAX = MAX(_symbol, 14, Resolution.Daily) // by default if the symbol is a tradebar type then it will be the max of the high property
};
// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
// We'll define these 'selector' functions to select the Low value
//
// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
// https://msdn.microsoft.com/en-us/library/bb397687.aspx
//
_selectorIndicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
//EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
//SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
//MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
//MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
MOMP1 = MOMP(_symbol, 1, Resolution.Daily, Field.Low),
MOMP2 = MOMP(_symbol, 2, Resolution.Daily, Field.Low),
MOMP5 = MOMP(_symbol, 5, Resolution.Daily, Field.Low),
MOMP14 = MOMP(_symbol, 14, Resolution.Daily, Field.Low),
//STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
// ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
//AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
};
//Custom Data Indicator:
_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
// in addition to defining indicators on a single security, you can all define 'composite' indicators.
// these are indicators that require multiple inputs. the most common of which is a ratio.
// suppose we seek the ratio of BTC to SPY, we could write the following:
var spyClose = Identity(_symbol);
var btcClose = Identity(_customSymbol);
// this will create a new indicator whose value is BTC/SPY
_ratio = btcClose.Over(spyClose);
// we can also easily plot our indicators each time they update using th PlotIndicator function
PlotIndicator("Ratio", _ratio);
}
/// <summary>
/// Custom data event handler:
/// </summary>
/// <param name="data">Quandl - dictionary Bars of Quandl Data</param>
public void OnData(Quandl data)
{
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
if (!_indicators.BB.IsReady || !_indicators.RSI.IsReady) return;
_price = data["SPY"].Close;
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close);
//Order function places trades: enter the string symbol and the quantity you want:
Order(_symbol, quantity);
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased SPY on " + Time.ToShortDateString());
}
}
/// <summary>
/// Fire plotting events once per day.
/// </summary>
public override void OnEndOfDay()
{
if (!_indicators.BB.IsReady) return;
Plot("BB", "Price", _price);
Plot("BB", _indicators.BB.UpperBand, _indicators.BB.MiddleBand, _indicators.BB.LowerBand);
Plot("RSI", _indicators.RSI);
//Custom data indicator
//Plot("RSI-BTC", _rsiCustom);
//Plot("ATR", _indicators.ATR);
//Plot("STD", _indicators.STD);
//Plot("AROON", _indicators.AROON.AroonUp, _indicators.AROON.AroonDown);
// The following Plot method calls are commented out because of the 10 series limit for backtests
//Plot("MOM", _indicators.MOM);
Plot("MOMP1", _indicators.MOMP1);
Plot("MOMP2", _indicators.MOMP2);
Plot("MOMP5", _indicators.MOMP5);
Plot("MOMP14", _indicators.MOMP14);
//Plot("MACD", "Price", _price);
//Plot("MACD", _indicators.MACD.Fast, _indicators.MACD.Slow, _indicators.MACD.Signal);
//Plot("Averages", _indicators.EMA, _indicators.SMA);
}
/// <summary>
/// Class to hold a bunch of different indicators for this example
/// </summary>
private class Indicators
{
public BollingerBands BB;
//public SimpleMovingAverage SMA;
//public ExponentialMovingAverage EMA;
public RelativeStrengthIndex RSI;
//public AverageTrueRange ATR;
//public StandardDeviation STD;
//public AroonOscillator AROON;
//public Momentum MOM;
//public MomentumPercent MOMP;
public MomentumPercent MOMP1;
public MomentumPercent MOMP2;
public MomentumPercent MOMP5;
public MomentumPercent MOMP14;
//public MovingAverageConvergenceDivergence MACD;
public Minimum MIN;
public Maximum MAX;
}
/// <summary>
/// Function used to select a trade bar that has double the values of the input trade bar
/// </summary>
private static TradeBar SelectorDoubleTradeBar(IBaseData baseData)
{
var bar = (TradeBar)baseData;
return new TradeBar
{
Close = 2 * bar.Close,
DataType = bar.DataType,
High = 2 * bar.High,
Low = 2 * bar.Low,
Open = 2 * bar.Open,
Symbol = bar.Symbol,
Time = bar.Time,
Value = 2 * bar.Value,
Volume = 2 * bar.Volume,
Period = bar.Period
};
}
}
}/*
* 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.
*/
/*
using System;
using QuantConnect.Data;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Demonstration algorithm of popular indicators and plotting them.
/// </summary>
/// <meta name="tag" content="indicators" />
/// <meta name="tag" content="indicator classes" />
/// <meta name="tag" content="plotting indicators" />
/// <meta name="tag" content="charting" />
/// <meta name="tag" content="indicator field selection" />
public class IndicatorSuiteAlgorithm : QCAlgorithm
{
private string _symbol = "SPY";
private string _customSymbol = "WIKI/FB";
private Indicators _indicators;
private Indicators _selectorIndicators;
private IndicatorBase<IndicatorDataPoint> _ratio;
//RSI Custom Data:
private RelativeStrengthIndex _rsiCustom;
private Minimum _minCustom;
private Maximum _maxCustom;
private decimal _price;
/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
//Initialize
SetStartDate(2013, 1, 1);
SetEndDate(2014, 12, 31);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Daily);
//Add the Custom Data:
AddData<Quandl>(_customSymbol);
//Set up default Indicators, these indicators are defined on the Value property of incoming data (except ATR and AROON which use the full TradeBar object)
_indicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
EMA = EMA(_symbol, 14, Resolution.Daily),
SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
AROON = AROON(_symbol, 20, Resolution.Daily),
MOM = MOM(_symbol, 20, Resolution.Daily),
MOMP = MOMP(_symbol, 20, Resolution.Daily),
STD = STD(_symbol, 20, Resolution.Daily),
MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
MAX = MAX(_symbol, 14, Resolution.Daily) // by default if the symbol is a tradebar type then it will be the max of the high property
};
// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
// We'll define these 'selector' functions to select the Low value
//
// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
// https://msdn.microsoft.com/en-us/library/bb397687.aspx
//
_selectorIndicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
MOMP = MOMP(_symbol, 20, Resolution.Daily, Field.Low),
STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
};
//Custom Data Indicator:
_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
// in addition to defining indicators on a single security, you can all define 'composite' indicators.
// these are indicators that require multiple inputs. the most common of which is a ratio.
// suppose we seek the ratio of BTC to SPY, we could write the following:
var spyClose = Identity(_symbol);
var btcClose = Identity(_customSymbol);
// this will create a new indicator whose value is BTC/SPY
_ratio = btcClose.Over(spyClose);
// we can also easily plot our indicators each time they update using th PlotIndicator function
PlotIndicator("Ratio", _ratio);
}
/// <summary>
/// Custom data event handler:
/// </summary>
/// <param name="data">Quandl - dictionary Bars of Quandl Data</param>
public void OnData(Quandl data)
{
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
if (!_indicators.BB.IsReady || !_indicators.RSI.IsReady) return;
_price = data["SPY"].Close;
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close);
//Order function places trades: enter the string symbol and the quantity you want:
Order(_symbol, quantity);
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased SPY on " + Time.ToShortDateString());
}
}
/// <summary>
/// Fire plotting events once per day.
/// </summary>
public override void OnEndOfDay()
{
if (!_indicators.BB.IsReady) return;
Plot("BB", "Price", _price);
Plot("BB", _indicators.BB.UpperBand, _indicators.BB.MiddleBand, _indicators.BB.LowerBand);
Plot("RSI", _indicators.RSI);
//Custom data indicator
Plot("RSI-BTC", _rsiCustom);
Plot("ATR", _indicators.ATR);
Plot("STD", _indicators.STD);
Plot("AROON", _indicators.AROON.AroonUp, _indicators.AROON.AroonDown);
// The following Plot method calls are commented out because of the 10 series limit for backtests
//Plot("MOM", _indicators.MOM);
//Plot("MOMP", _indicators.MOMP);
//Plot("MACD", "Price", _price);
//Plot("MACD", _indicators.MACD.Fast, _indicators.MACD.Slow, _indicators.MACD.Signal);
//Plot("Averages", _indicators.EMA, _indicators.SMA);
}
/// <summary>
/// Class to hold a bunch of different indicators for this example
/// </summary>
private class Indicators
{
public BollingerBands BB;
public SimpleMovingAverage SMA;
public ExponentialMovingAverage EMA;
public RelativeStrengthIndex RSI;
public AverageTrueRange ATR;
public StandardDeviation STD;
public AroonOscillator AROON;
public Momentum MOM;
public MomentumPercent MOMP;
public MovingAverageConvergenceDivergence MACD;
public Minimum MIN;
public Maximum MAX;
}
/// <summary>
/// Function used to select a trade bar that has double the values of the input trade bar
/// </summary>
private static TradeBar SelectorDoubleTradeBar(IBaseData baseData)
{
var bar = (TradeBar)baseData;
return new TradeBar
{
Close = 2 * bar.Close,
DataType = bar.DataType,
High = 2 * bar.High,
Low = 2 * bar.Low,
Open = 2 * bar.Open,
Symbol = bar.Symbol,
Time = bar.Time,
Value = 2 * bar.Value,
Volume = 2 * bar.Volume,
Period = bar.Period
};
}
}
}
*///Changed indicator plots to include MOMP and MA
/*
using System;
using QuantConnect.Data;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
namespace QuantConnect.Algorithm.CSharp
{
public class IndicatorSuiteAlgorithm : QCAlgorithm
{
private string _symbol = "SPY";
private string _customSymbol = "WIKI/FB";
private Indicators _indicators;
private Indicators _selectorIndicators;
private IndicatorBase<IndicatorDataPoint> _ratio;
//RSI Custom Data:
private RelativeStrengthIndex _rsiCustom;
private Minimum _minCustom;
private Maximum _maxCustom;
private decimal _price;
/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
//Initialize
SetStartDate(2013, 1, 1);
SetEndDate(2014, 12, 31);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Daily);
//Add the Custom Data:
AddData<Quandl>(_customSymbol);
//Set up default Indicators, these indicators are defined on the Value property of incoming data (except ATR and AROON which use the full TradeBar object)
_indicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
EMA = EMA(_symbol, 14, Resolution.Daily),
SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
AROON = AROON(_symbol, 20, Resolution.Daily),
MOM = MOM(_symbol, 20, Resolution.Daily),
MOMP = MOMP(_symbol, 20, Resolution.Daily),
STD = STD(_symbol, 20, Resolution.Daily),
MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
MAX = MAX(_symbol, 14, Resolution.Daily) // by default if the symbol is a tradebar type then it will be the max of the high property
};
// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
// We'll define these 'selector' functions to select the Low value
//
// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
// https://msdn.microsoft.com/en-us/library/bb397687.aspx
//
_selectorIndicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
MOMP = MOMP(_symbol, 20, Resolution.Daily, Field.Low),
STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
};
//Custom Data Indicator:
_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
// in addition to defining indicators on a single security, you can all define 'composite' indicators.
// these are indicators that require multiple inputs. the most common of which is a ratio.
// suppose we seek the ratio of BTC to SPY, we could write the following:
var spyClose = Identity(_symbol);
var btcClose = Identity(_customSymbol);
// this will create a new indicator whose value is BTC/SPY
_ratio = btcClose.Over(spyClose);
// we can also easily plot our indicators each time they update using th PlotIndicator function
PlotIndicator("Ratio", _ratio);
}
/// <summary>
/// Custom data event handler:
/// </summary>
/// <param name="data">Quandl - dictionary Bars of Quandl Data</param>
public void OnData(Quandl data)
{
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
if (!_indicators.BB.IsReady || !_indicators.RSI.IsReady) return;
_price = data["SPY"].Close;
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close);
//Order function places trades: enter the string symbol and the quantity you want:
Order(_symbol, quantity);
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased SPY on " + Time.ToShortDateString());
}
}
/// <summary>
/// Fire plotting events once per day.
/// </summary>
public override void OnEndOfDay()
{
if (!_indicators.BB.IsReady) return;
Plot("BB", "Price", _price);
Plot("BB", _indicators.BB.UpperBand, _indicators.BB.MiddleBand, _indicators.BB.LowerBand);
//Plot("RSI", _indicators.RSI);
//Custom data indicator
//Plot("RSI-BTC", _rsiCustom);
Plot("ATR", _indicators.ATR);
Plot("STD", _indicators.STD);
Plot("AROON", _indicators.AROON.AroonUp, _indicators.AROON.AroonDown);
// The following Plot method calls are commented out because of the 10 series limit for backtests
//Plot("MOM", _indicators.MOM);
Plot("MOMP", _indicators.MOMP);
//Plot("MACD", "Price", _price);
Plot("MACD", _indicators.MACD.Fast, _indicators.MACD.Slow, _indicators.MACD.Signal);
//Plot("Averages", _indicators.EMA, _indicators.SMA);
}
/// <summary>
/// Class to hold a bunch of different indicators for this example
/// </summary>
private class Indicators
{
public BollingerBands BB;
public SimpleMovingAverage SMA;
public ExponentialMovingAverage EMA;
public RelativeStrengthIndex RSI;
public AverageTrueRange ATR;
public StandardDeviation STD;
public AroonOscillator AROON;
public Momentum MOM;
public MomentumPercent MOMP;
public MovingAverageConvergenceDivergence MACD;
public Minimum MIN;
public Maximum MAX;
}
/// <summary>
/// Function used to select a trade bar that has double the values of the input trade bar
/// </summary>
private static TradeBar SelectorDoubleTradeBar(IBaseData baseData)
{
var bar = (TradeBar)baseData;
return new TradeBar
{
Close = 2 * bar.Close,
DataType = bar.DataType,
High = 2 * bar.High,
Low = 2 * bar.Low,
Open = 2 * bar.Open,
Symbol = bar.Symbol,
Time = bar.Time,
Value = 2 * bar.Value,
Volume = 2 * bar.Volume,
Period = bar.Period
};
}
}
}*///V2: Changed indicator plots to include MOMP and MA
//V3: Changing period of MOMP from 20 to 1 (units are days, I suppose?)
/*
using System;
using QuantConnect.Data;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
namespace QuantConnect.Algorithm.CSharp
{
public class IndicatorSuiteAlgorithm : QCAlgorithm
{
private string _symbol = "SPY";
private string _customSymbol = "WIKI/FB";
private Indicators _indicators;
private Indicators _selectorIndicators;
private IndicatorBase<IndicatorDataPoint> _ratio;
//RSI Custom Data:
private RelativeStrengthIndex _rsiCustom;
private Minimum _minCustom;
private Maximum _maxCustom;
private decimal _price;
/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
//Initialize
SetStartDate(2013, 1, 1);
SetEndDate(2014, 12, 31);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Daily);
//Add the Custom Data:
AddData<Quandl>(_customSymbol);
//Set up default Indicators, these indicators are defined on the Value property of incoming data
//(except ATR and AROON which use the full TradeBar object)
_indicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
EMA = EMA(_symbol, 14, Resolution.Daily),
SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
AROON = AROON(_symbol, 20, Resolution.Daily),
MOM = MOM(_symbol, 20, Resolution.Daily),
MOMP = MOMP(_symbol, 1, Resolution.Daily),
STD = STD(_symbol, 20, Resolution.Daily),
MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
MAX = MAX(_symbol, 14, Resolution.Daily) // by default if the symbol is a tradebar type then it will be the max of the high property
};
// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
// We'll define these 'selector' functions to select the Low value
//
// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
// https://msdn.microsoft.com/en-us/library/bb397687.aspx
//
_selectorIndicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
MOMP = MOMP(_symbol, 1, Resolution.Daily, Field.Low),
STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
};
//Custom Data Indicator:
_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
// in addition to defining indicators on a single security, you can all define 'composite' indicators.
// these are indicators that require multiple inputs. the most common of which is a ratio.
// suppose we seek the ratio of BTC to SPY, we could write the following:
var spyClose = Identity(_symbol);
var btcClose = Identity(_customSymbol);
// this will create a new indicator whose value is BTC/SPY
_ratio = btcClose.Over(spyClose);
// we can also easily plot our indicators each time they update using th PlotIndicator function
PlotIndicator("Ratio", _ratio);
}
/// <summary>
/// Custom data event handler:
/// </summary>
/// <param name="data">Quandl - dictionary Bars of Quandl Data</param>
public void OnData(Quandl data)
{
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
if (!_indicators.BB.IsReady || !_indicators.RSI.IsReady) return;
_price = data["SPY"].Close;
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close);
//Order function places trades: enter the string symbol and the quantity you want:
Order(_symbol, quantity);
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased SPY on " + Time.ToShortDateString());
}
}
/// <summary>
/// Fire plotting events once per day.
/// </summary>
public override void OnEndOfDay()
{
if (!_indicators.BB.IsReady) return;
Plot("BB", "Price", _price);
Plot("BB", _indicators.BB.UpperBand, _indicators.BB.MiddleBand, _indicators.BB.LowerBand);
//Plot("RSI", _indicators.RSI);
//Custom data indicator
//Plot("RSI-BTC", _rsiCustom);
Plot("ATR", _indicators.ATR);
Plot("STD", _indicators.STD);
Plot("AROON", _indicators.AROON.AroonUp, _indicators.AROON.AroonDown);
// The following Plot method calls are commented out because of the 10 series limit for backtests
//Plot("MOM", _indicators.MOM);
Plot("MOMP", _indicators.MOMP);
//Plot("MACD", "Price", _price);
Plot("MACD", _indicators.MACD.Fast, _indicators.MACD.Slow, _indicators.MACD.Signal);
//Plot("Averages", _indicators.EMA, _indicators.SMA);
}
/// <summary>
/// Class to hold a bunch of different indicators for this example
/// </summary>
private class Indicators
{
public BollingerBands BB;
public SimpleMovingAverage SMA;
public ExponentialMovingAverage EMA;
public RelativeStrengthIndex RSI;
public AverageTrueRange ATR;
public StandardDeviation STD;
public AroonOscillator AROON;
public Momentum MOM;
public MomentumPercent MOMP;
public MovingAverageConvergenceDivergence MACD;
public Minimum MIN;
public Maximum MAX;
}
/// <summary>
/// Function used to select a trade bar that has double the values of the input trade bar
/// </summary>
private static TradeBar SelectorDoubleTradeBar(IBaseData baseData)
{
var bar = (TradeBar)baseData;
return new TradeBar
{
Close = 2 * bar.Close,
DataType = bar.DataType,
High = 2 * bar.High,
Low = 2 * bar.Low,
Open = 2 * bar.Open,
Symbol = bar.Symbol,
Time = bar.Time,
Value = 2 * bar.Value,
Volume = 2 * bar.Volume,
Period = bar.Period
};
}
}
}
*/