# 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.

import clr

clr.AddReference("System")

clr.AddReference("QuantConnect.Algorithm")

clr.AddReference("QuantConnect.Indicators")

clr.AddReference("QuantConnect.Common")

from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *

from QuantConnect.Indicators import *

from QuantConnect.Parameters import *

class ParameterizedAlgorithm(QCAlgorithm):

def __init__(self):

# The values 100 and 200 are just default values

# that only used if the parameters do not exist

self.FastPeriod = 100

self.SlowPeriod = 200

self.Fast = None

self.Slow = None

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.SetStartDate(2013, 10, 07) #Set Start Date

self.SetEndDate(2013, 10, 11) #Set End Date

self.SetCash(100000) #Set Strategy Cash

# Find more symbols here: http://quantconnect.com/data

self.AddSecurity(SecurityType.Equity, "SPY")

# Receive parameters from the Job

fastPeriod = self.GetParameter("ema-fast")

slowPeriod = self.GetParameter("ema-slow")

if fastPeriod is not None: self.FastPeriod = int(fastPeriod)

if slowPeriod is not None: self.SlowPeriod = int(slowPeriod)

self.Fast = self.EMA("SPY", self.FastPeriod);

self.Slow = self.EMA("SPY", self.SlowPeriod);

def OnData(self, data):

'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

Arguments:

data: TradeBars IDictionary object with your stock data

'''

# wait for our indicators to ready

if not self.Fast.IsReady or not self.Slow.IsReady:

return

if self.Fast.Current.Value > self.Slow.Current.Value * 1.001:

self.SetHoldings("SPY", 1)

elif self.Fast.Current.Value < self.Slow.Current.Value * 0.999:

self.Liquidate("SPY")