ParameterizedAlgorithm.cs

/*
 * 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 QuantConnect;
using QuantConnect.Algorithm;
using QuantConnect.Configuration;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Parameters;

namespace Jtc.Optimization.LeanOptimizer.Example
{
    public class ParameterizedAlgorithm : QCAlgorithm
    {

        public ExponentialMovingAverage Fast;
        public ExponentialMovingAverage Slow;
        private decimal Take;

        public override void Initialize()
        {
            SetStartDate(2013, 10, 8);
            SetEndDate(2013, 10, 10);
            SetCash(100 * 1000);

            AddSecurity(SecurityType.Equity, "SPY");

            var fastPeriod = int.Parse(GetParameter("fast") ?? "10");
            var slowPeriod = int.Parse(GetParameter("slow") ?? "56");
            Take = decimal.Parse(GetParameter("take") ?? "0.1");

            Fast = EMA("SPY", fastPeriod);
            Slow = EMA("SPY", slowPeriod);
        }

        public void OnData(TradeBars data)
        {
            // wait for our indicators to ready
            if (!Fast.IsReady || !Slow.IsReady)
            {
                return;
            }

            if (Fast > Slow * 1.001m)
            {
                SetHoldings("SPY", 1);
            }
            else if (Portfolio["SPY"].HoldStock && Portfolio["SPY"].UnrealizedProfitPercent > Take)
            {
                Liquidate("SPY");
            }

        }
    }
}