# 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>### Regression Channel algorithm simply initializes the date range and cash### </summary>### <meta name="tag" content="indicators" />### <meta name="tag" content="indicator classes" />### <meta name="tag" content="placing orders" />### <meta name="tag" content="plotting indicators" />class RegressionChannelAlgorithm(QCAlgorithm):def initialize(self):self.set_cash(100000)self.set_start_date(2009,1,1)self.set_end_date(2015,1,1)equity = self.add_equity("SPY", Resolution.MINUTE)self._spy = equity.symbolself._holdings = equity.holdingsself._rc = self.rc(self._spy, 30, 2, Resolution.DAILY)stock_plot = Chart("Trade Plot")stock_plot.add_series(Series("Buy", SeriesType.SCATTER, 0))stock_plot.add_series(Series("Sell", SeriesType.SCATTER, 0))stock_plot.add_series(Series("UpperChannel", SeriesType.LINE, 0))stock_plot.add_series(Series("LowerChannel", SeriesType.LINE, 0))stock_plot.add_series(Series("Regression", SeriesType.LINE, 0))self.add_chart(stock_plot)def on_data(self, data):if (not self._rc.is_ready) or (not data.contains_key(self._spy)): returnif data[self._spy] is None: returnvalue = data[self._spy].valueif self._holdings.quantity <= 0 and value < self._rc.lower_channel.current.value:self.set_holdings(self._spy, 1)self.plot("Trade Plot", "Buy", value)if self._holdings.quantity >= 0 and value > self._rc.upper_channel.current.value:self.set_holdings(self._spy, -1)self.plot("Trade Plot", "Sell", value)def on_end_of_day(self, symbol):self.plot("Trade Plot", "UpperChannel", self._rc.upper_channel.current.value)self.plot("Trade Plot", "LowerChannel", self._rc.lower_channel.current.value)self.plot("Trade Plot", "Regression", self._rc.linear_regression.current.value)
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