QuantConnect.Algorithm.Framework.Alphas.EmaCrossAlphaModel Class Reference

Alpha model that uses an EMA cross to create insights More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Alphas.EmaCrossAlphaModel:

Classes
class	SymbolData
	Contains data specific to a symbol required by this model More...

Public Member Functions
	EmaCrossAlphaModel (int fastPeriod=12, int slowPeriod=26, Resolution resolution=Resolution.Daily)
	Initializes a new instance of the EmaCrossAlphaModel class More...
override IEnumerable< Insight >	Update (QCAlgorithm algorithm, Slice data)
	Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities More...
override void	OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes)
	Event fired each time the we add/remove securities from the data feed More...
Public Member Functions inherited from QuantConnect.Algorithm.Framework.Alphas.AlphaModel
	AlphaModel ()
	Initialize new AlphaModel More...

Protected Attributes
readonly Dictionary< Symbol, SymbolData >	SymbolDataBySymbol
	This is made protected for testing purposes More...

Additional Inherited Members
Properties inherited from QuantConnect.Algorithm.Framework.Alphas.AlphaModel
virtual string	Name [get, set]
	Defines a name for a framework model More...
Properties inherited from QuantConnect.Algorithm.Framework.Alphas.INamedModel
string	Name [get]
	Defines a name for a framework model More...

Detailed Description

Alpha model that uses an EMA cross to create insights

Definition at line 28 of file EmaCrossAlphaModel.cs.

Constructor & Destructor Documentation

EmaCrossAlphaModel()

QuantConnect.Algorithm.Framework.Alphas.EmaCrossAlphaModel.EmaCrossAlphaModel	(	int	fastPeriod = 12,
		int	slowPeriod = 26,
		Resolution	resolution = Resolution.Daily
	)

Initializes a new instance of the EmaCrossAlphaModel class

Parameters

fastPeriod	The fast EMA period
slowPeriod	The slow EMA period
resolution	The resolution of data sent into the EMA indicators

Definition at line 46 of file EmaCrossAlphaModel.cs.

Member Function Documentation

Update()

override IEnumerable<Insight> QuantConnect.Algorithm.Framework.Alphas.EmaCrossAlphaModel.Update ( QCAlgorithm  algorithm, Slice  data  )

virtual

Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities

Parameters

algorithm	The algorithm instance
data	The new data available

Returns

The new insights generated

Reimplemented from QuantConnect.Algorithm.Framework.Alphas.AlphaModel.

Definition at line 67 of file EmaCrossAlphaModel.cs.

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OnSecuritiesChanged()

override void QuantConnect.Algorithm.Framework.Alphas.EmaCrossAlphaModel.OnSecuritiesChanged ( QCAlgorithm  algorithm, SecurityChanges  changes  )

virtual

Event fired each time the we add/remove securities from the data feed

Parameters

algorithm	The algorithm instance that experienced the change in securities
changes	The security additions and removals from the algorithm

Reimplemented from QuantConnect.Algorithm.Framework.Alphas.AlphaModel.

Definition at line 102 of file EmaCrossAlphaModel.cs.

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Member Data Documentation

SymbolDataBySymbol

readonly Dictionary<Symbol, SymbolData> QuantConnect.Algorithm.Framework.Alphas.EmaCrossAlphaModel.SymbolDataBySymbol

protected

This is made protected for testing purposes

Definition at line 38 of file EmaCrossAlphaModel.cs.

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The documentation for this class was generated from the following file:

• Algorithm.Framework/Alphas/EmaCrossAlphaModel.cs