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/*
* 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.Market;
using QuantConnect.Indicators;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Uses daily data and a simple moving average cross to place trades and an ema for stop placement
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="indicators" />
/// <meta name="tag" content="trading and orders" />
public class DailyAlgorithm : QCAlgorithm
{
private DateTime _lastAction;
private MovingAverageConvergenceDivergence _macd;
private ExponentialMovingAverage _ema;
private readonly Symbol _ibm = QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA);
private readonly Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 01, 01); //Set Start Date
SetEndDate(2014, 01, 01); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "IBM", Resolution.Hour);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
_macd = MACD(_spy, 12, 26, 9, MovingAverageType.Wilders, Resolution.Daily, Field.Close);
_ema = EMA(_ibm, 15*6, Resolution.Hour, Field.SevenBar);
Securities[_ibm].SetLeverage(1.0m);
}
/// <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 (!_macd.IsReady) return;
if (!data.ContainsKey(_ibm)) return;
if (_lastAction.Date == Time.Date) return;
_lastAction = Time;
var holding = Portfolio[_spy];
if (holding.Quantity <= 0 && _macd > _macd.Signal && data[_ibm].Price > _ema)
{
SetHoldings(_ibm, 0.25m);
}
else if (holding.Quantity >= 0 && _macd < _macd.Signal && data[_ibm].Price < _ema)
{
SetHoldings(_ibm, -0.25m);
}
}
}
}