US Equities

• Tickers outside this list have no price data, so an algorithm subscribing to them trades nothing.
• Daily bars end on 31 March 2021, so end a backtest before then. Prefer Resolution.DAILY: a minute subscription only has data on the sample days.
• Prices are stored raw and LEAN adjusts them for splits and dividends as a backtest runs. Choose how with self.add_equity("SPY", Resolution.DAILY, data_normalization_mode=DataNormalizationMode.RAW).
• The list is today's survivors, not the market of the time, so results are flattered by survivorship bias.

# region imports
from AlgorithmImports import *
# endregion


class TrendAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2010, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        self.spy = self.add_equity("SPY", Resolution.DAILY).symbol
        self.fast = self.sma(self.spy, 50, Resolution.DAILY)
        self.slow = self.sma(self.spy, 200, Resolution.DAILY)
        self.set_warm_up(200, Resolution.DAILY)

    def on_data(self, slice):
        if self.is_warming_up:
            return
        # Hold SPY while its 50-day average is above its 200-day average.
        if self.fast.current.value > self.slow.current.value:
            self.set_holdings(self.spy, 1)
        else:
            self.liquidate(self.spy)