# 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 clr import AddReference

AddReference("System")

AddReference("QuantConnect.Algorithm")

AddReference("QuantConnect.Indicators")

AddReference("QuantConnect.Common")

from System import *

from QuantConnect import *

from QuantConnect.Data import *

from QuantConnect.Algorithm import *

from QuantConnect.Indicators import *

class WarmupAlgorithm(QCAlgorithm):

'''Warmup Algorithm'''

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(2013,10,8) #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.AddEquity("SPY", Resolution.Second)

fast_period = 60

slow_period = 3600

self.fast = self.EMA("SPY", fast_period)

self.slow = self.EMA("SPY", slow_period)

self.SetWarmup(slow_period)

self.first = True

def OnData(self, data):

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

if self.first and not self.IsWarmingUp:

self.first = False

self.Log("Fast: {0}".format(self.fast.Samples))

self.Log("Slow: {0}".format(self.slow.Samples))

if self.fast.Current.Value > self.slow.Current.Value:

self.SetHoldings("SPY", 1)

else:

self.SetHoldings("SPY", -1)