# 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 AlgorithmImports import *### <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" />class DailyAlgorithm(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.set_start_date(2013,1,1) #Set Start Dateself.set_end_date(2014,1,1) #Set End Dateself.set_cash(100000) #Set Strategy Cash# Find more symbols here: http://quantconnect.com/dataself.add_equity("SPY", Resolution.DAILY)self.add_equity("IBM", Resolution.HOUR, leverage=1)self._macd = self.macd("SPY", 12, 26, 9, MovingAverageType.WILDERS, Resolution.DAILY, Field.CLOSE)self._ema = self.ema("IBM", 15 * 6, Resolution.HOUR, Field.SEVEN_BAR)self._last_action = self.start_datedef on_data(self, data):'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.Arguments:data: Slice object keyed by symbol containing the stock data'''if not self._macd.is_ready: returnbar = data.bars.get("IBM")if not bar: returnif self._last_action.date() == self.time.date(): returnself._last_action = self.timequantity = self.portfolio["SPY"].quantityif quantity <= 0 and self._macd.current.value > self._macd.signal.current.value and bar.price > self._ema.current.value:self.set_holdings("IBM", 0.25)if quantity >= 0 and self._macd.current.value < self._macd.signal.current.value and bar.price < self._ema.current.value:self.set_holdings("IBM", -0.25)
此处可能存在不合适展示的内容,页面不予展示。您可通过相关编辑功能自查并修改。
如您确认内容无涉及 不当用语 / 纯广告导流 / 暴力 / 低俗色情 / 侵权 / 盗版 / 虚假 / 无价值内容或违法国家有关法律法规的内容,可点击提交进行申诉,我们将尽快为您处理。