from System.Drawing import Color
# simple RSI trading SPY
class SimpleRSI(QCAlgorithm):
def Initialize(self):
# Likely Don't Change
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
self.SetCash(100000) # Set Strategy Cash
# Maybe Change
self.SetStartDate(2009, 1, 1) # Set Start Date
self.SetEndDate(2012, 1, 1)
self.SetWarmUp(20)
self.equity_str = "AAPL"
self.SetBenchmark(self.equity_str)
# Personal additions
self.AddEquity(self.equity_str,Resolution.Hour)
self.portfolio_percentages = {self.equity_str: 0.0}
# self.AddEquity(self.equity_str, Resolution.Daily)
self.rsi = self.RSI(self.equity_str, 14)
# Charting
rsi_plot = Chart('Indicators')
# On the Trade Plotter Chart we want 3 series: trades and price:
rsi_plot.AddSeries(Series('RSI', SeriesType.Line, "", Color.DeepSkyBlue))
rsi_plot.AddSeries(Series('Upper', SeriesType.Line, "", Color.LightGray))
rsi_plot.AddSeries(Series('Lower', SeriesType.Line, "", Color.LightGray))
self.AddChart(rsi_plot)
order_plot = Chart('Orders')
order_plot.AddSeries(Series('Buy', SeriesType.Scatter, "", Color.Blue, ScatterMarkerSymbol.Triangle))
order_plot.AddSeries(Series('Sell', SeriesType.Scatter, "", Color.Black, ScatterMarkerSymbol.TriangleDown))
self.candles = Series('Equity', SeriesType.Candle, "$", Color.DeepSkyBlue)
order_plot.AddSeries(self.candles)
self.AddChart(order_plot)
# self.candles = Series('Daily', SeriesType.Candle)
# self.chart = Chart('Candles')
# self.chart.AddSeries(self.candles)
# self.AddChart(self.chart)
def OnData(self, data):
if not self.rsi.IsReady:
return
self.Debug("Symbol: {}, Quantity: {}, AvgPrice: {:.2F}, MktPrice: {:.2F}, Holding P/L {:.2F}, Holding P/L % {:.2F}, RSI: {:.2F}, portfolio percentage: {}".format(
self.Portfolio[self.equity_str].Symbol,
self.Portfolio[self.equity_str].Quantity,
self.Portfolio[self.equity_str].AveragePrice,
self.Portfolio[self.equity_str].Price,
self.Portfolio[self.equity_str].UnrealizedProfit,
self.Portfolio[self.equity_str].UnrealizedProfitPercent * 100,
self.rsi.Current.Value,
self.portfolio_percentages[self.equity_str]
)
)
time = self.UtcTime
if data[self.equity_str] is not None:
# NOTE: order is important and each point has to be one minute apart because reasons.
self.candles.AddPoint(time + timedelta(minutes=1), data[self.equity_str].Open)
self.candles.AddPoint(time + timedelta(minutes=2), data[self.equity_str].High)
self.candles.AddPoint(time + timedelta(minutes=3), data[self.equity_str].Low)
self.candles.AddPoint(time + timedelta(minutes=4), data[self.equity_str].Close)
else:
print(f'Candlestick was not plotted for {time}')
order_proportion = 0.05
if self.rsi.Current.Value < 30:
if self.portfolio_percentages[self.equity_str] < 0.91:
self.portfolio_percentages[self.equity_str] += order_proportion
self.SetHoldings(self.equity_str, self.portfolio_percentages[self.equity_str])
else:
self.Debug('Maximum Leverage reached')
elif self.rsi.Current.Value > 70:
if self.portfolio_percentages[self.equity_str] > -0.91:
self.portfolio_percentages[self.equity_str] -= order_proportion
self.SetHoldings(self.equity_str, self.portfolio_percentages[self.equity_str])
else:
self.Debug('Maximum Leverage reached')
def OnEndOfDay(self):
# Plot RSI chart
self.Plot("Indicators", "RSI", self.rsi.Current.Value)
self.Plot("Indicators","Upper", 70)
self.Plot("Indicators","Lower", 30)
# Plot Orders chart
# self.Plot("Orders", self.equity_str, self.Portfolio[self.equity_str].Price)
def OnOrderEvent(self, OrderEvent):
# On Order Fill
if OrderEvent.Status == OrderStatus.Filled:
order = self.Transactions.GetOrderById(OrderEvent.OrderId)
self.Debug("Order {} . Symbol: {}, Direction: {}, Fee: {}, Quantity: {}, Fill_Price: {}".format(
order.Id,
order.Symbol,
OrderEvent.Direction,
OrderEvent.OrderFee,
OrderEvent.FillQuantity,
OrderEvent.FillPrice
)
)
if OrderEvent.Direction == 1:
self.Plot("Orders", "Sell", OrderEvent.FillPrice)
elif OrderEvent.Direction == 0:
self.Plot("Orders", "Buy", OrderEvent.FillPrice)# # simple RSI trading SPY
# class SimpleRSI(QCAlgorithm):
# def Initialize(self):
# # Likely Don't Change
# self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
# self.SetCash(100000) # Set Strategy Cash
# # Maybe Change
# self.SetStartDate(2000, 1, 1) # Set Start Date
# self.SetWarmUp(20)
# self.SetBenchmark("SPY")
# # self.AddEquity(self.equity_str, Resolution.Daily)
# self.rsi = self.RSI("SPY", 14)
# # Personal additions
# self.equity_list = ["SPY"]
# self.AddEquity("SPY",Resolution.Daily)
# self.PorfolioPercentages = self.portfolio_percentages()
# @property
# def portfolio_percentages(self):
# """
# Keeps a record of portfolio percentages in portfolio
# """
# percentages = {}
# for keys in self.Securities:
# percentages[key] = 0.0
# return percentages
# def OnData(self, data):
# if not self.rsi.IsReady:
# return
# order_proportion = 0.1
# if self.rsi.Current.Value < 30:
# if self.PortfolioPercentages < 0.91:
# self.PortfolioPercentages["SPY"] + 0.1
# self.SetHoldings(self.PortfolioPercentages["SPY"])
# self.Debug(f"RSI is at {self.rsi}")
# else:
# self.Debug('Maximum Leverage reached')
# elif self.rsi.Current.Value > 70:
# if self.PortfolioPercentages > -0.91:
# self.PortfolioPercentages["SPY"] - 0.1
# self.SetHoldings(self.PortfolioPercentages["SPY"])
# self.Debug(f"RSI is at {self.rsi}")
# else:
# self.Debug('Maximum Leverage reached')
# def OnEndOfDay(self):
# self.Plot("Indicators","RSI", self.rsi.Current.Value)
# def OnOrderEvent(self, OrderEvent):
# # On Order Fill
# order = self.Transactions.GetOrderById(OrderEvent.OrderId)
# self.Debug("OrderT {} . Symbol: {}, Direction: {}, Fee: {}, Quantity: {}, Fill_Price: {}".format(
# order.Id,
# order.Symbol,
# OrderEvent.Direction,
# OrderEvent.Fee,
# OrderEvent.FillQuantity,
# OrderEvent.FillPrice
# ))
# self.Plot('')# # FullRSI algorithm according to alpha framework
# class SelectionData(object):
# def __init__(self, symbol, period):
# self.symbol = symbol
# self.indicator = RelativeStrengthIndex(self.symbol, self.period)
# self.volume = 0
# def update(self, time, price, volume):
# self.volume = volume
# if self.ema.Update(time, price):
# self.is_above_ema = price > ema
# class FullRSI(QCAlgorithm):
# def Initialize(self):
# # Likely Don't Change
# self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
# self.SetCash(100000) # Set Strategy Cash
# self.SetLeverage(1.0)
# # Maybe Change
# self.SetStartDate(2000, 1, 1) # Set Start Date
# self.SetWarmUp(20)
# self.SetBenchmark("SPY")
# # self.AddEquity(self.equity_str, Resolution.Daily)
# self.rsi = self.RSI(self.equity_str, 14)
# # Personal additions
# self.equity_list = ["SPY"]
# self.manual_equity_universe()
# self.PorfolioPercentages = self.portfolio_percentages()
# @property
# def portfolio_percentages(self):
# """
# Keeps a record of portfolio percentages in portfolio
# """
# percentages = {}
# for keys in self.Securities:
# percentages[key] = 0.0
# return percentages
# def manual_equity_universe(self):
# self.UniverseSettings.Resolution = resolution.Daily
# self.UniverseSettings.Leverage = 1
# symbols = [Symbol.Create(e, SecurityType.Equity, Market.USA) for e in self.equity_list]
# self.AddUniverseSelection(ManualUniverseSelectionModel(symbols))
# def OnData(self, data):
# if not self.rsi.IsReady:
# return
# order_proportion = 0.1
# if self.rsi.Current.Value < 30:
# self.SetHoldings(self.PortfolioPercentages[])
# self.Debug(f"RSI is at {self.rsi}")
# marketTicket = self.MarketOrder("SPY", quantity)
# elif self.rsi.Current.Value > 70:
# self.Debug(f"RSI is at {self.rsi}")
# marketTicket = self.MarketOrder("SPY", -100)
# def OnEndOfDay(self):
# self.Plot("Indicators","RSI", self.rsi.Current.Value)
# def OnOrderEvent(self, OrderEvent):
# # On Order Fill
# order = self.Transactions.GetOrderById(OrderEvent.OrderId)
# self.Debug("OrderT {} . Symbol: {}, Direction: {}, Fee: {}, Quantity: {}, Fill_Price: {}".format(
# order.Id,
# order.Symbol,
# OrderEvent.Direction,
# OrderEvent.Fee,
# OrderEvent.FillQuantity,
# OrderEvent.FillPrice
# ))
# self.Plot('')