| Overall Statistics |
|
Total Trades 512 Average Win 0.71% Average Loss -0.42% Compounding Annual Return 10.961% Drawdown 9.000% Expectancy 0.820 Net Profit 150.244% Sharpe Ratio 1.154 Probabilistic Sharpe Ratio 70.157% Loss Rate 32% Win Rate 68% Profit-Loss Ratio 1.66 Alpha 0.072 Beta 0.022 Annual Standard Deviation 0.064 Annual Variance 0.004 Information Ratio -0.117 Tracking Error 0.134 Treynor Ratio 3.435 Total Fees $512.00 |
using System.Collections.Generic;
using QuantConnect.Data;
using System;
using System.Collections;
using QuantConnect.Orders;
using System.Globalization;
using QuantConnect.Data.Market;
using QuantConnect.Algorithm;
using QuantConnect.Securities;
using QuantConnect.Brokerages;
namespace QuantConnect
{
public class PortfolioOfStrategies : QCAlgorithm
{
// Algorithm parameters
private int mStartYear = 2011;
public int mStartMonth = 1;
public int mStartDay = 28;
private decimal mStartingCash = 10000;
private Resolution mResolution = Resolution.Minute; // Hourly or more frequent. Daily and up bugs.
private decimal mLeverage = 0.95m;
private bool mRebalanceOnLaunch = true; // Whether the algorithms should trigger a rebalance when launching the algorithm (true) or wait until the next rebalance period (false)
protected decimal mAvoidRebalancesBelowThisAmount = 500.0m; // 500 is a good value. Value, in dollars, under which small rebalances will be ignored to cut on fees.
private decimal mAllocationRatioUIS = 1.0m;
private decimal mAllocationRatioUISZIV = 0.0m;
private decimal mAllocationRatioBRS = 0.0m;
private decimal mAllocationRatioGLDUSD = 0.0m;
private decimal mAllocationRatioMYRS = 0.0m;
private decimal mAllocationRatioNASDAQ_LI_SIGNALS = 0.0m;
private decimal mAllocationRatioGLD_LI_SIGNALS = 0.0m;
private decimal mAllocationRatioUIS_LI_SIGNALS = 0.0m;
private decimal mAllocationRatioFFA = 0.0m;
private decimal mAllocationRatioEMPTYALGO = 0.0m;
private decimal mAllocationRatioSRCTEST = 0.0m;
//Other variables
public bool mBacktestDatesOverriden = false;
private List<SubAlgorithm> mSubAlgorithms = null;
EquityExchange mEquityMarket = new EquityExchange();
public override void Initialize()
{
Portfolio.MarginCallModel = MarginCallModel.Null;
SetCash(mStartingCash);
SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
// Request SPY and USDCAD data
AddSecurity(SecurityType.Equity, "SPY", mResolution, true, 3, false);
AddSecurity(SecurityType.Forex, "USDCAD", mResolution, true, 3, false);
// Instantiate our subalgorithm classes
mSubAlgorithms = new List<SubAlgorithm>();
mSubAlgorithms.Add(new UIS (this, mResolution, mAllocationRatioUIS, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new UISZIV (this, mResolution, mAllocationRatioUISZIV, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new MYRS (this, mResolution, mAllocationRatioMYRS, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new BRS (this, mResolution, mAllocationRatioBRS, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new GLDUSD (this, mResolution, mAllocationRatioGLDUSD, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new NASDAQ_LI_SIGNALS(this, mResolution, mAllocationRatioNASDAQ_LI_SIGNALS, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new GLD_LI_SIGNALS (this, mResolution, mAllocationRatioGLD_LI_SIGNALS, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new UIS_LI_SIGNALS (this, mResolution, mAllocationRatioUIS_LI_SIGNALS, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new FFA (this, mResolution, mAllocationRatioFFA, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new EMPTYALGO (this, mResolution, mAllocationRatioEMPTYALGO, mStartYear, mRebalanceOnLaunch));
mSubAlgorithms.Add(new Test_SRC (this, mResolution, mAllocationRatioSRCTEST, mStartYear, mRebalanceOnLaunch));
// Initialize the subalgorithms
foreach(SubAlgorithm wSubAlgorithm in mSubAlgorithms)
{
if(wSubAlgorithm.mAllocationRatio > 0.01m)
{
wSubAlgorithm.Initialize(mLeverage * wSubAlgorithm.mAllocationRatio * (Portfolio.TotalPortfolioValue - GetUnconvertedCadValueInUsd()));
}
}
// Set up our analysis span (unless a strategy has overridden them)
if (!mBacktestDatesOverriden)
{
SetStartDate(mStartYear, mStartMonth, mStartDay);
SetEndDate(DateTime.Today.AddDays(-1));
}
}
public void OnData(TradeBars data)
{
if(mEquityMarket.DateTimeIsOpen(Time))
{
// Set allocation of money in the different subalgorithms, and dispatch them
bool wAllAlgosCommunicatedDesiredAllocation = true;
foreach(SubAlgorithm wSubAlgorithm in mSubAlgorithms)
{
if(wSubAlgorithm.mAllocationRatio > 0.01m)
{
wSubAlgorithm.SetAllocationAmount(mLeverage * wSubAlgorithm.mAllocationRatio * (Portfolio.TotalPortfolioValue - GetUnconvertedCadValueInUsd()));
wSubAlgorithm.OnData(data);
wAllAlgosCommunicatedDesiredAllocation &= wSubAlgorithm.CommunicatedDesiredAllocation;
}
}
// Process the reallocation requests from all sub-algorithms, if all algos ran at least once and gave their required symbols
if (wAllAlgosCommunicatedDesiredAllocation) ProcessReallocations(data);
}
// If there is more than 1000 USD worth of CAD, convert it to USD
ConvertCadToUsd();
}
private decimal GetUnconvertedCadValueInCad()
{
Cash wUnconvertedCAD;
Portfolio.CashBook.TryGetValue("CAD",out wUnconvertedCAD);
return wUnconvertedCAD.Amount;
}
private decimal GetUnconvertedCadValueInUsd()
{
Cash wUnconvertedCAD;
Portfolio.CashBook.TryGetValue("CAD",out wUnconvertedCAD);
return wUnconvertedCAD.ValueInAccountCurrency;
}
private void ConvertCadToUsd()
{
decimal wUnconvertedCADValueInUSD = GetUnconvertedCadValueInUsd();
if (wUnconvertedCADValueInUSD >= 1000)
{
decimal wHowManyUSDToBuy = Math.Floor(wUnconvertedCADValueInUSD/1000)*1000;
Log("Converting CAD to USD: Buying " + wHowManyUSDToBuy + " USD");
MarketOrder("USDCAD", wHowManyUSDToBuy);
}
}
public SharpeRatioCalculator SRC(List<decimal> iSymbolsRatios, int period, decimal volatilityFactor)
{
var src = new SharpeRatioCalculator(iSymbolsRatios, period, volatilityFactor);
return src;
}
public SharpeRatioCalculator SRC(int period, decimal volatilityFactor)
{
var src = new SharpeRatioCalculator(period, volatilityFactor);
return src;
}
private void ProcessReallocations(TradeBars data)
{
Dictionary<string,int> wDesiredEquityAmounts = new Dictionary<string,int>();
foreach (KeyValuePair<Symbol,Security> wSymbolSecurity in Securities)
{
if (wSymbolSecurity.Key == "USDCAD") continue;
wDesiredEquityAmounts.Add(wSymbolSecurity.Key,0);
}
foreach (SubAlgorithm wSubAlgorithm in mSubAlgorithms)
{
foreach (KeyValuePair<string,int> wSymbolAmount in wSubAlgorithm.mDesiredEquityAmounts)
{
if (!wDesiredEquityAmounts.ContainsKey(wSymbolAmount.Key))
{
wDesiredEquityAmounts.Add(wSymbolAmount.Key, 0);
}
wDesiredEquityAmounts[wSymbolAmount.Key] = wDesiredEquityAmounts[wSymbolAmount.Key] + wSymbolAmount.Value;
}
}
SetHoldingsSellFirst(data, wDesiredEquityAmounts);
}
private void SetHoldingsSellFirst(TradeBars data, Dictionary<string,int> wSymbolsAndAmounts)
{
Dictionary<string,int> wTransactions = new Dictionary<string,int>();
int wDesiredAmount = 0;
int wActualAmount = 0;
int wDelta = 0;
foreach (KeyValuePair<string,int> wSymbolAndAmount in wSymbolsAndAmounts)
{
wDesiredAmount = wSymbolAndAmount.Value;
wActualAmount = (int)Securities[wSymbolAndAmount.Key].Holdings.Quantity;
wDelta = wDesiredAmount - wActualAmount;
if (wDelta != 0 && data.ContainsKey(wSymbolAndAmount.Key))
{
if ((Math.Abs(wDelta) * data[wSymbolAndAmount.Key].Close) > mAvoidRebalancesBelowThisAmount)
{
wTransactions.Add(wSymbolAndAmount.Key, wDelta);
}
}
}
foreach (KeyValuePair<string,int> wTransaction in wTransactions)
{
if (wTransaction.Value < 0)
{
MarketOrder(wTransaction.Key, wTransaction.Value);
}
}
foreach (KeyValuePair<string,int> wTransaction in wTransactions)
{
if (wTransaction.Value > 0)
{
MarketOrder(wTransaction.Key, wTransaction.Value);
}
}
}
// Helper function to get week of year
public int GetIso8601WeekOfYear(DateTime time)
{
// Seriously cheat. If its Monday, Tuesday or Wednesday, then it'll
// be the same week# as whatever Thursday, Friday or Saturday are,
// and we always get those right
DayOfWeek day = CultureInfo.InvariantCulture.Calendar.GetDayOfWeek(time);
if (day >= DayOfWeek.Monday && day <= DayOfWeek.Wednesday)
{
time = time.AddDays(3);
}
// Return the week of our adjusted day
return CultureInfo.InvariantCulture.Calendar.GetWeekOfYear(time, CalendarWeekRule.FirstFourDayWeek, DayOfWeek.Monday);
}
}
}using QuantConnect.Data.Market;
namespace QuantConnect
{
/// <summary>
///
/// Empty algorithm. To be used to run live to only monitor IB account without trading.
///
/// </summary>
public class EMPTYALGO : SubAlgorithm
{
public EMPTYALGO(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
mDataFeedFrequency = "Weekly";
mRebalanceFrequency = "Weekly";
mName = "EMPTYALGO";
}
public override void Initialize_Specific()
{
}
public override void OnData_Specific(TradeBars data)
{
mCommunicatedDesiredAllocation = true;
}
protected override bool IsDataValid(TradeBars iData)
{
return true;
}
}
}using System.Net;
using System.Text.RegularExpressions;
using System;
using System.Collections;
using QuantConnect.Data.Market;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Orders;
using System.Globalization;
using System.Linq;
namespace QuantConnect
{
/// <summary>
///
/// Universal Investment Strategy (UIS) as described here: http://seekingalpha.com/article/2714185-the-spy-tlt-universal-investment-strategy
///
/// </summary>
public abstract class SubAlgorithm
{
// Strategy parameters
protected bool EnableLogs = false;
protected string mDataFeedFrequency = "Daily"; // Minute, Hour, Daily, Weekly, Monthly. If shorter than algo resolution, resolution will be used.
protected string mRebalanceFrequency = "Daily"; // Must be a longer timeframe, or equal, to mDataFeedFrequency
private bool mRebalanceOnLaunch = true;
protected decimal mLastAllocationAmount;
protected bool mFirstPass = true;
public decimal mAllocationRatio = 0.0m;
protected decimal mAllocationAmount = 0.0m;
protected DateTime mPrevious;
protected PortfolioOfStrategies mAlgorithm;
protected Resolution mResolution;
protected int mStartYear;
protected bool mKeepFeedingData = false; // If, for some reason, a sub-algorithm needs to keep receiving data (more than just once a day/week/month), toggle this to true.
public Dictionary<string,int> mDesiredEquityAmounts;
protected Dictionary<DateTime,Dictionary<string,string>> mHistoryDictionary;
protected string mName = "";
protected bool mCommunicatedDesiredAllocation = false;
protected DateTime Time
{
get
{
return this.mAlgorithm.Time;
}
}
protected SecurityManager Securities
{
get
{
return this.mAlgorithm.Securities;
}
}
public bool RanOnce
{
get
{
return !mFirstPass;
}
}
public bool CommunicatedDesiredAllocation
{
get
{
return mCommunicatedDesiredAllocation;
}
}
public string Name
{
get
{
return mName;
}
}
protected bool LiveMode
{
get
{
return this.mAlgorithm.LiveMode;
}
}
public bool RebalanceOnLaunch
{
get
{
return this.mRebalanceOnLaunch;
}
}
public SubAlgorithm(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch)
{
mAlgorithm = iAlgorithm;
mResolution = iResolution;
mAllocationRatio = iAllocationRatio;
mStartYear = iStartYear;
mRebalanceOnLaunch = iRebalanceOnLaunch;
mDesiredEquityAmounts = new Dictionary<string,int>();
mHistoryDictionary = new Dictionary<DateTime,Dictionary<string,string>>();
}
public void Initialize(decimal iAllocationAmount)
{
mAllocationAmount = iAllocationAmount;
mLastAllocationAmount = mAllocationAmount;
mDesiredEquityAmounts = new Dictionary<string,int>();
Initialize_Specific();
}
abstract public void Initialize_Specific();
public void SetAllocationAmount(decimal iAllocationAmount)
{
mAllocationAmount = iAllocationAmount;
}
public void OnData(TradeBars data)
{
if (!IsDataValid(data)) return;
if (!mKeepFeedingData) // If the algo requested to keep feeding data more frequently, do so.
{
if (mDataFeedFrequency == "Minute")
{
// Only once per minute
if ((mPrevious.Minute == mAlgorithm.Time.Minute) && (mPrevious.Hour == mAlgorithm.Time.Hour) && (mPrevious.Date == mAlgorithm.Time.Date)) return;
}
else if (mDataFeedFrequency == "Hour" || mDataFeedFrequency == "Hourly")
{
// Only once per hour
if ((mPrevious.Hour == mAlgorithm.Time.Hour) && (mPrevious.Date == mAlgorithm.Time.Date)) return;
}
else if (mDataFeedFrequency == "Daily")
{
// Only once per day
if (mPrevious.Date == mAlgorithm.Time.Date) return;
}
else if (mDataFeedFrequency == "Weekly")
{
// only once per week
if ((GetIso8601WeekOfYear(mPrevious) == GetIso8601WeekOfYear(mAlgorithm.Time)) && (mPrevious.Year == mAlgorithm.Time.Year)) return; // Added year check, because at start of algo, month = Jan 1997, so if we start in jan 2010 for example, the first month used to be skipped.
}
else
{
// only once per month
if ((mPrevious.Month == mAlgorithm.Time.Month) && (mPrevious.Year == mAlgorithm.Time.Year)) return; // Added year check, because at start of algo, month = Jan 1997, so if we start in jan 2010 for example, the first month used to be skipped.
}
}
// Dispatch the algorithm
OnData_Specific(data);
mPrevious = mAlgorithm.Time;
mLastAllocationAmount = mAllocationAmount;
mFirstPass = false;
}
abstract public void OnData_Specific(TradeBars data);
// Helper function to get week of year
public int GetIso8601WeekOfYear(DateTime time)
{
// Seriously cheat. If its Monday, Tuesday or Wednesday, then it'll
// be the same week# as whatever Thursday, Friday or Saturday are,
// and we always get those right
DayOfWeek day = CultureInfo.InvariantCulture.Calendar.GetDayOfWeek(time);
if (day >= DayOfWeek.Monday && day <= DayOfWeek.Wednesday)
{
time = time.AddDays(3);
}
// Return the week of our adjusted day
return CultureInfo.InvariantCulture.Calendar.GetWeekOfYear(time, CalendarWeekRule.FirstFourDayWeek, DayOfWeek.Monday);
}
// Helper function to initialize a SharpeRatioCalculator indicator
public SharpeRatioCalculator SRC(List<decimal> iSymbolsRatios, int period, decimal volatilityFactor)
{
var src = new SharpeRatioCalculator(iSymbolsRatios, period, volatilityFactor);
return src;
}
public SharpeRatioCalculator SRC(int period, decimal volatilityFactor)
{
var src = new SharpeRatioCalculator(period, volatilityFactor);
return src;
}
protected void Reallocate(TradeBars data, List<KeyValuePair<string,decimal>> wSymbolsAndRatios)
{
mDesiredEquityAmounts = new Dictionary<string,int>();
foreach (KeyValuePair<string,decimal> wSymbolAndRatio in wSymbolsAndRatios)
{
mDesiredEquityAmounts.Add(wSymbolAndRatio.Key, (int)(wSymbolAndRatio.Value * mAllocationAmount / data[wSymbolAndRatio.Key].Close));
}
mCommunicatedDesiredAllocation = true;
}
protected abstract bool IsDataValid(TradeBars iData);
protected bool IsTimeToRebalance()
{
if (!mRebalanceOnLaunch && mFirstPass)
{
return false;
}
else if (mRebalanceFrequency == "Daily")
{
// Only once per day
return (mPrevious.Date != mAlgorithm.Time.Date);
}
else if (mRebalanceFrequency == "Weekly")
{
// only once per week
return ((GetIso8601WeekOfYear(mPrevious) != GetIso8601WeekOfYear(mAlgorithm.Time)) || (mPrevious.Year != mAlgorithm.Time.Year)); // Added year check, because at start of algo, month = Jan 1997, so if we start in jan 2010 for example, the first month used to be skipped.
}
else
{
// only once per month
return ((mPrevious.Month != mAlgorithm.Time.Month) || (mPrevious.Year != mAlgorithm.Time.Year)); // Added year check, because at start of algo, month = Jan 1997, so if we start in jan 2010 for example, the first month used to be skipped.
}
}
protected void ReadHistoryFromLogicalInvest(string iStrategyPrefix, string iHistoryURL)
{
WebClient wc = new System.Net.WebClient();
byte[] raw = null;
string webData = "";
try
{
raw = wc.DownloadData(iHistoryURL);
}
catch
{
Log("Could not retrieve " + mName + " history from Logical Invest, at " + iHistoryURL);
return;
}
if (raw == null)
{
Log("Data retrieved from " + iHistoryURL + " is null.");
return;
}
webData = System.Text.Encoding.UTF8.GetString(raw).Replace("</td><td>",",").Replace("<tr><td>","").Replace("</td></tr>","");
var lines = webData.Split(new[] { Environment.NewLine },StringSplitOptions.None);
DateTime wPreviousDate = new DateTime();
DateTime wDate = new DateTime();
int wValuesCounter = 1;
string wSymbol = "";
string wRatio = "";
foreach (string line in lines)
{
Dictionary<string,string> wEntry = new Dictionary<string,string>();
if(line.Contains("table")) continue;
if(line.Contains("###")) continue;
List<string> values = line.Split(',').ToList();
if (values.Count < 4) continue;
if (values[0] == "") continue;
wDate = DateTime.Parse(values[1]);
wDate = new DateTime(wDate.Year, wDate.Month, 1);
if (wDate != wPreviousDate)
{
wValuesCounter = 1;
mHistoryDictionary.Add(wDate,new Dictionary<string,string>());
wPreviousDate = wDate;
}
wSymbol = values[2];
wRatio = (values[3].ToDecimal()/100).ToString();
mHistoryDictionary[wDate].Add(iStrategyPrefix + "_Symbol" + wValuesCounter, wSymbol);
mHistoryDictionary[wDate].Add(iStrategyPrefix + "_Symbol" + wValuesCounter + "_Ratio", wRatio);
wValuesCounter += 1;
}
}
protected void Trade(TradeBars data, List<string> iSymbolsList, List<decimal> iSymbolsRatios)
{
if (iSymbolsList.Count() != iSymbolsRatios.Count()) {Log("Error in " + Name + ", Trade: Symbols list count must match symbols ratios list count. Number of symbols = " + iSymbolsList.Count() + ", number of ratios = " + iSymbolsRatios.Count()); return;}
List<KeyValuePair<string,decimal>> wSymbolsAndRatios = new List<KeyValuePair<string,decimal>>();
for (int i = 0; i < iSymbolsList.Count; i++)
{
wSymbolsAndRatios.Add(new KeyValuePair<string, decimal>(iSymbolsList[i], iSymbolsRatios[i]));
}
Reallocate(data, wSymbolsAndRatios);
}
protected void Trade(TradeBars data, string iSymbol1, decimal iSymbol1Ratio)
{
List<string> wSymbolsList = new List<string>();
wSymbolsList.Add(iSymbol1);
List<decimal> wSymbolRatiosList = new List<decimal>();
wSymbolRatiosList.Add(iSymbol1Ratio);
Trade(data, wSymbolsList, wSymbolRatiosList);
}
protected void Trade(TradeBars data, string iSymbol1, decimal iSymbol1Ratio, string iSymbol2, decimal iSymbol2Ratio)
{
List<string> wSymbolsList = new List<string>();
wSymbolsList.Add(iSymbol1);
wSymbolsList.Add(iSymbol2);
List<decimal> wSymbolRatiosList = new List<decimal>();
wSymbolRatiosList.Add(iSymbol1Ratio);
wSymbolRatiosList.Add(iSymbol2Ratio);
Trade(data, wSymbolsList, wSymbolRatiosList);
}
protected void Trade(TradeBars data, string iSymbol1, decimal iSymbol1Ratio, string iSymbol2, decimal iSymbol2Ratio, string iSymbol3, decimal iSymbol3Ratio)
{
List<string> wSymbolsList = new List<string>();
wSymbolsList.Add(iSymbol1);
wSymbolsList.Add(iSymbol2);
wSymbolsList.Add(iSymbol3);
List<decimal> wSymbolRatiosList = new List<decimal>();
wSymbolRatiosList.Add(iSymbol1Ratio);
wSymbolRatiosList.Add(iSymbol2Ratio);
wSymbolRatiosList.Add(iSymbol3Ratio);
Trade(data, wSymbolsList, wSymbolRatiosList);
}
protected void Trade(TradeBars data, string iSymbol1, decimal iSymbol1Ratio, string iSymbol2, decimal iSymbol2Ratio, string iSymbol3, decimal iSymbol3Ratio, string iSymbol4, decimal iSymbol4Ratio)
{
List<string> wSymbolsList = new List<string>();
wSymbolsList.Add(iSymbol1);
wSymbolsList.Add(iSymbol2);
wSymbolsList.Add(iSymbol3);
wSymbolsList.Add(iSymbol4);
List<decimal> wSymbolRatiosList = new List<decimal>();
wSymbolRatiosList.Add(iSymbol1Ratio);
wSymbolRatiosList.Add(iSymbol2Ratio);
wSymbolRatiosList.Add(iSymbol3Ratio);
wSymbolRatiosList.Add(iSymbol4Ratio);
Trade(data, wSymbolsList, wSymbolRatiosList);
}
protected void Trade(TradeBars data, string iSymbol1, decimal iSymbol1Ratio, string iSymbol2, decimal iSymbol2Ratio, string iSymbol3, decimal iSymbol3Ratio, string iSymbol4, decimal iSymbol4Ratio, string iSymbol5, decimal iSymbol5Ratio)
{
List<string> wSymbolsList = new List<string>();
wSymbolsList.Add(iSymbol1);
wSymbolsList.Add(iSymbol2);
wSymbolsList.Add(iSymbol3);
wSymbolsList.Add(iSymbol4);
wSymbolsList.Add(iSymbol5);
List<decimal> wSymbolRatiosList = new List<decimal>();
wSymbolRatiosList.Add(iSymbol1Ratio);
wSymbolRatiosList.Add(iSymbol2Ratio);
wSymbolRatiosList.Add(iSymbol3Ratio);
wSymbolRatiosList.Add(iSymbol4Ratio);
wSymbolRatiosList.Add(iSymbol5Ratio);
Trade(data, wSymbolsList, wSymbolRatiosList);
}
protected void SetStartDate(int iYear, int iMonth, int iDay)
{
mAlgorithm.mBacktestDatesOverriden = true;
mAlgorithm.SetStartDate(iYear, iMonth, iDay);
}
protected void SetEndDate(DateTime iEndDate)
{
mAlgorithm.mBacktestDatesOverriden = true;
mAlgorithm.SetEndDate(iEndDate);
}
protected void Log(string iString)
{
mAlgorithm.Log(iString);
}
protected void Log(int iString)
{
mAlgorithm.Log(iString.ToString());
}
protected void Log(decimal iString)
{
mAlgorithm.Log(iString.ToString());
}
protected void Log(TradeBars iString)
{
mAlgorithm.Log(iString.ToString());
}
protected void AddSecurity(SecurityType securityType, string symbol, Resolution resolution, bool fillDataForward, decimal leverage, bool extendedMarketHours)
{
mAlgorithm.AddSecurity(securityType, symbol, resolution, fillDataForward, leverage, extendedMarketHours);
}
protected void SetHoldings(Symbol symbol, decimal percentage)
{
mAlgorithm.SetHoldings(symbol, percentage);
}
protected void Plot(string chart, string series, decimal value)
{
mAlgorithm.Plot(chart, series, value);
}
protected void Plot(string chart, string series, double value)
{
mAlgorithm.Plot(chart, series, value);
}
protected void Plot(string chart, string series, Int32 value)
{
mAlgorithm.Plot(chart, series, value);
}
protected void Plot(string chart, string series, Single value)
{
mAlgorithm.Plot(chart, series, value);
}
protected IEnumerable<TradeBar> History(Symbol symbol,int numberOfBars, Nullable<Resolution> resolution)
{
return mAlgorithm.History(symbol, numberOfBars, resolution);
}
protected OrderTicket MarketOrder(Symbol symbol, int quantity)
{
return mAlgorithm.MarketOrder(symbol, quantity);
}
protected OrderTicket MarketOrder(Symbol symbol, decimal quantity)
{
return mAlgorithm.MarketOrder(symbol, quantity);
}
}
}using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;
using System.Linq;
namespace QuantConnect
{
/// <summary>
///
/// Same strategy as UIS, but with addition of ZIV, similar to MYRS strategy explained here: https://seekingalpha.com/article/1698412-how-to-build-an-etf-rotation-strategy-with-50-percent-annualized-returns
///
/// Generally outperformed UIS for 2012-2017, a bit more stable
///
/// UIS return UIS Sharpe UISZIV return UISZIV Sharpe
/// 2011 93,10% 1,981
/// 2012 14,54% 0,727 36,37% 1,66
/// 2013 50,17% 1,609 48,60% 1,67
/// 2014 56,53% 2,395 58,66% 2,59
/// 2015 -9,64% -0,11 -2,94% 0,03
/// 2016 42,29% 1,488 53,84% 1,87
/// 2017 57,51% 2,898 56,18% 2,83
///
/// </summary>
public class UISZIV : SubAlgorithm
{
// Strategy parameters
private string mSymbol1 = "SPY";
private string mSymbol2 = "TLT";
private string mSymbol3 = "SPXU";
private string mSymbol4 = "TMV";
private string mSymbol5 = "ZIV";
private bool mUseShort = false;
private bool mUseCorrelationExit = true; // Cash exit when the correlation between UPRU and TMF is positive, for a 1, 2, and 3 months lookback period. Does not exit ZIV positions.
private int mMinimumRebalancePeriod = 1;
private int mSharpeLookback = 63; // 63
private decimal mSharpeVolatilityFactor = 2.8m; // 2.8
private SharpeRatioCalculator mMaxSharpeCombination;
private CorrelationCalculator mCorrel2Weeks;
private CorrelationCalculator mCorrel1Month;
private CorrelationCalculator mCorrel2Month;
private CorrelationCalculator mCorrel3Month;
private int mDaysCounter = 0;
private List<SharpeRatioCalculator> mSrcList;
private decimal mLastRatio1 = 0;
private decimal mLastRatio2 = 0;
private decimal mLastRatio5 = 0;
bool mCashExit = false;
bool mCashExit_previous = false;
bool mBuyBackIn = false;
DateTime mLastHistoryCallsDate = DateTime.MinValue;
List<TradeBar> mTradeBarHistorySymbol1;
List<TradeBar> mTradeBarHistorySymbol2;
List<TradeBar> mTradeBarHistorySymbol5;
public UISZIV(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute";
}
else
{
mDataFeedFrequency = "Daily"; // Needs to stay daily or faster, for correlation exits and historical performances calculation
}
mRebalanceFrequency = "Weekly";
mName = "UISZIV";
}
public override void Initialize_Specific()
{
if (EnableLogs)
{
Log("UISZIV Strategy: Backtesting with following parameters:");
Log("\tSymbol1 >> " + mSymbol1);
Log("\tSymbol2 >> " + mSymbol2);
if (mUseShort)
{
Log("\tSymbol3 >> " + mSymbol3);
Log("\tSymbol4 >> " + mSymbol4);
}
Log("\tUseShort >> " + mUseShort);
Log("\tMinimum Rebalance Period >> " + mMinimumRebalancePeriod);
Log("\tStart year >> " + mStartYear);
Log("\tSharpe lookback >> " + mSharpeLookback);
Log("\tSharpe volatility factor >> " + mSharpeVolatilityFactor);
}
AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol5, mResolution, true, 3, false);
if (mUseShort)
{
AddSecurity(SecurityType.Equity, mSymbol3, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol4, mResolution, true, 3, false);
}
mTradeBarHistorySymbol1 = new List<TradeBar>();
mTradeBarHistorySymbol2 = new List<TradeBar>();
mTradeBarHistorySymbol5 = new List<TradeBar>();
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
}
public override void OnData_Specific(TradeBars data)
{
mDaysCounter = mDaysCounter - 1;
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
// For backtesting purposes only, exclude the discontinuity that occured in the data on Aug 22-25 2016
if (Time.Date >= DateTime.Parse("08/22/2016") && Time.Date <= DateTime.Parse("08/26/2016"))
{
if (mUseShort)
{
Trade(data, mSymbol3, 0, mSymbol4, 0, mSymbol5, 0);
}
else
{
Trade(data, mSymbol1, 0, mSymbol2, 0, mSymbol5, 0);
}
return;
}
decimal wRatio1 = 0.0m;
decimal wRatio2 = 0.0m;
decimal wRatio5 = 0.0m;
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
wRatio1 = mMaxSharpeCombination.mSymbolsRatios[0];
wRatio2 = mMaxSharpeCombination.mSymbolsRatios[1];
wRatio5 = mMaxSharpeCombination.mSymbolsRatios[2];
}
if (mFirstPass == true || mDaysCounter <= 0 || mLastRatio1 != wRatio1 || mLastRatio2 != wRatio2 || mLastRatio5 != wRatio5)
{
mDaysCounter = mMinimumRebalancePeriod;
if (EnableLogs)
{
Log(" ");
Log("Rebalancing:");
}
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
if (EnableLogs)
{
Log(" Max Sharpe Combination >> " + mSymbol1 + " " + (mMaxSharpeCombination.mSymbolsRatios[0] * 100).ToString ("#.#") + "%, " + mSymbol2 + " " + (mMaxSharpeCombination.mSymbolsRatios[1] * 100).ToString ("#.#") + "%.");
}
decimal wSymbol1Ratio = mMaxSharpeCombination.mSymbolsRatios[0];
decimal wSymbol2Ratio = mMaxSharpeCombination.mSymbolsRatios[1];
decimal wSymbol5Ratio = mMaxSharpeCombination.mSymbolsRatios[2];
if (mUseCorrelationExit)
{
// Cash exit when the correlation between UPRU and TMF is positive, for a 1, 2, and 3 months lookback period. Does not exit ZIV positions.
if (mCorrel1Month.Correlation > 0 && mCorrel2Month.Correlation > 0 && mCorrel3Month.Correlation > 0)
{
wSymbol1Ratio = 0;
wSymbol2Ratio = 0;
mCashExit = true;
if (EnableLogs)
{
Log("Cash exit: Correlation between UPRO and TMF is positive for 1, 2, and 3 months lookback period. Keeping ZIV positions.");
}
}
else if (mCashExit == true && mBuyBackIn == false)
{
mCashExit = false;
mBuyBackIn = true;
}
}
// Trade if it it time to trade, or if there is cash exit toggle or buy back in toggle
if ((mCashExit && !mCashExit_previous) || mBuyBackIn || IsTimeToRebalance())
{
if (mUseShort)
{
Trade(data, mSymbol3, -wSymbol1Ratio, mSymbol4, -wSymbol2Ratio, mSymbol5, wSymbol5Ratio);
}
else
{
Trade(data, mSymbol1, wSymbol1Ratio, mSymbol2, wSymbol2Ratio, mSymbol5, wSymbol5Ratio);
}
mBuyBackIn = false;
}
mCashExit_previous = mCashExit;
}
else
{
if (EnableLogs) Log(" Sharpe not ready >> " + mSymbol1 + " 50%, " + mSymbol2 + " 50%.");
if (IsTimeToRebalance())
{
// If sharpe ratio not ready yet, use a 50%-50% split between UPRO and TMF
if (mUseShort)
{
Trade(data, mSymbol3, -0.5m, mSymbol4, -0.5m, mSymbol5, 0.0m);
}
else
{
Trade(data, mSymbol1, 0.5m, mSymbol2, 0.5m, mSymbol5, 0.0m);
}
}
}
mLastAllocationAmount = mAllocationAmount;
mLastRatio1 = wRatio1;
mLastRatio2 = wRatio2;
mLastRatio5 = wRatio5;
}
decimal wSymbol1Percentage;
decimal wSymbol2Percentage;
decimal wSymbol5Percentage;
if (mSrcList[0].IsReady && mMaxSharpeCombination != null)
{
wSymbol1Percentage = mMaxSharpeCombination.mSymbolsRatios[0] * 100;
wSymbol2Percentage = mMaxSharpeCombination.mSymbolsRatios[1] * 100;
wSymbol5Percentage = mMaxSharpeCombination.mSymbolsRatios[2] * 100;
}
else
{
wSymbol1Percentage = 50;
wSymbol2Percentage = 50;
wSymbol5Percentage = 0;
}
Plot(mSymbol1 + "-" + mSymbol2 + "-" + mSymbol5 + " Split", mSymbol1 + " (%)", wSymbol1Percentage);
Plot(mSymbol1 + "-" + mSymbol2 + "-" + mSymbol5 + " Split", mSymbol2 + " (%)", wSymbol2Percentage);
Plot(mSymbol1 + "-" + mSymbol2 + "-" + mSymbol5 + " Split", mSymbol5 + " (%)", wSymbol5Percentage);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "Correl 2 Weeks", mCorrel2Weeks.Correlation*100);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "Correl 1 Month", mCorrel1Month.Correlation*100);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "Correl 2 Months", mCorrel2Month.Correlation*100);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "Correl 3 Months", mCorrel3Month.Correlation*100);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "0", 0);
}
protected override bool IsDataValid(TradeBars iData)
{
bool wValid = true;
if (!mUseShort)
{
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
wValid &= iData.ContainsKey(mSymbol5);
}
if (mUseShort)
{
wValid &= iData.ContainsKey(mSymbol3);
wValid &= iData.ContainsKey(mSymbol4);
wValid &= iData.ContainsKey(mSymbol5);
}
return wValid;
}
private void RecalculateSharpeRatios(int iLookback, decimal iVolatilityFactor, ref List<SharpeRatioCalculator> iSrcList)
{
iSrcList = new List<SharpeRatioCalculator>();
mCorrel2Weeks = new CorrelationCalculator(10);
mCorrel1Month = new CorrelationCalculator(21);
mCorrel2Month = new CorrelationCalculator(42);
mCorrel3Month = new CorrelationCalculator(63);
int granularity = 10;
for (decimal i = 0.0m; i <= 1.0m; i+=(decimal)(1.0m/granularity))
{
for (decimal j = 0.0m; j <= 1.0m-i; j+=(decimal)(1.0m/granularity))
{
List<decimal> wSymbolsRatios = new List<decimal>();
wSymbolsRatios.Add(j);
wSymbolsRatios.Add(1.0m-i-j);
wSymbolsRatios.Add(i);
iSrcList.Add(SRC(wSymbolsRatios, iLookback, iVolatilityFactor));
}
}
// get the last 100 daily bars, once a day
if (mAlgorithm.Time.Date > mLastHistoryCallsDate.Date)
{
mLastHistoryCallsDate = mAlgorithm.Time;
mTradeBarHistorySymbol1 = History(mSymbol1, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol2 = History(mSymbol2, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol5 = History(mSymbol5, 100, Resolution.Daily).ToList();
}
for (int i = 0; i < mTradeBarHistorySymbol5.Count(); i++)
{
for (int j = 0; j < iSrcList.Count; j++)
{
List<TradeBar> wData = new List<TradeBar>();
wData.Add(mTradeBarHistorySymbol1[i]);
wData.Add(mTradeBarHistorySymbol2[i]);
wData.Add(mTradeBarHistorySymbol5[i]);
iSrcList[j].AddObservation(wData);
}
mCorrel2Weeks.AddObservation((double)mTradeBarHistorySymbol1[i].Close, (double)mTradeBarHistorySymbol2[i].Close);
mCorrel1Month.AddObservation((double)mTradeBarHistorySymbol1[i].Close, (double)mTradeBarHistorySymbol2[i].Close);
mCorrel2Month.AddObservation((double)mTradeBarHistorySymbol1[i].Close, (double)mTradeBarHistorySymbol2[i].Close);
mCorrel3Month.AddObservation((double)mTradeBarHistorySymbol1[i].Close, (double)mTradeBarHistorySymbol2[i].Close);
}
}
}
}using QuantConnect.Data.Market;
using QuantConnect.Util;
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
namespace QuantConnect
{
/// <summary>
///
/// Bond rotation strategy (BRS) as described here: https://seekingalpha.com/article/2936206-the-new-enhanced-bond-rotation-strategy-with-adaptive-bond-allocation
///
/// Optimization results:
/// lookback volatilityfactor CAGR Sharpe
/// 40 1.5 10.32 1.407
/// 50 1.5 10.07 1.365
/// 60 1.5 9.595 1.302
/// 70 1.5 10.41 1.402
/// 80 1.5 9.214 1.225
/// 40 1.75 10.508 1.453
/// 50 1.75 10.356 1.437
/// 60 1.75 9.335 1.278
/// 70 1.75 10.499 1.422
/// 80 1.75 9.634 1.291
/// 40 2 10.417 1.443
/// 50 2 10.203 1.428
/// 60 2 9.528 1.311
/// 70 2 10.295 1.403
/// 80 2 9.835 1.326
/// 40 2.25 10.155 1.422
/// 50 2.25 10.956 1.53
/// 60 2.25 9.362 1.296
/// 70 2.25 9.674 1.367
/// 80 2.25 9.024 1.25
/// 40 2.5 10.284 1.449
/// 50 2.5 10.941 1.536
/// 60 2.5 9.388 1.305
/// 70 2.5 9.478 1.35
/// 80 2.5 8.98 1.261
/// 40 2.75 10.055 1.457
/// 50 2.75 10.987 1.545
/// 60 2.75 9.492 1.319
/// 70 2.75 9.492 1.353
/// 80 2.75 9.263 1.306
/// 40 3
/// 50 3 11.225 1.583
///
/// </summary>
public class BRS : SubAlgorithm
{
// Strategy parameters
private string mSymbol1 = "CWB";
private string mSymbol2 = "JNK";
private string mSymbol3 = "TLT";
private string mSymbol4 = "PCY";
private int mMinimumRebalancePeriod = 1;
private int mSharpeLookback = 50; //50
private decimal mSharpeVolatilityFactor = 3.0m; //3.0
private decimal SharpeThresholdForCash = 0; // Threshold for max sharpe ratio under which the algo will go 50% cash. Needs to be tuned when changes to volatility factor are made.
private SharpeRatioCalculator mMaxSharpeCombination;
private int mDaysCounter = 0;
private List<SharpeRatioCalculator> mSrcList;
private decimal mLastRatio1 = 0;
private decimal mLastRatio2 = 0;
private decimal mLastRatio3 = 0;
private decimal mLastRatio4 = 0;
DateTime mLastHistoryCallsDate = DateTime.MinValue;
List<TradeBar> mTradeBarHistorySymbol1;
List<TradeBar> mTradeBarHistorySymbol2;
List<TradeBar> mTradeBarHistorySymbol3;
List<TradeBar> mTradeBarHistorySymbol4;
public BRS(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute";
}
else
{
mDataFeedFrequency = "Monthly";
}
mRebalanceFrequency = "Monthly";
mName = "BRS";
}
public override void Initialize_Specific()
{
if (EnableLogs)
{
Log("BRS Strategy: Backtesting with following parameters:");
Log("\tSymbol1 >> " + mSymbol1);
Log("\tSymbol2 >> " + mSymbol2);
Log("\tSymbol3 >> " + mSymbol3);
Log("\tSymbol4 >> " + mSymbol4);
Log("\tMinimum Rebalance Period >> " + mMinimumRebalancePeriod);
Log("\tStart year >> " + mStartYear);
Log("\tSharpe lookback >> " + mSharpeLookback);
Log("\tSharpe volatility factor >> " + mSharpeVolatilityFactor);
}
AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol3, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol4, mResolution, true, 3, false);
mTradeBarHistorySymbol1 = new List<TradeBar>();
mTradeBarHistorySymbol2 = new List<TradeBar>();
mTradeBarHistorySymbol3 = new List<TradeBar>();
mTradeBarHistorySymbol4 = new List<TradeBar>();
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
}
public override void OnData_Specific(TradeBars data)
{
mDaysCounter = mDaysCounter - 1;
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
decimal wRatio1 = 0.0m;
decimal wRatio2 = 0.0m;
decimal wRatio3 = 0.0m;
decimal wRatio4 = 0.0m;
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
// If the maximum sharpe ratio combination yields a sharpe ratio below SharpeThresholdForCash, then reduce ratios by 50% and invest 50% in cash
if (mMaxSharpeCombination < SharpeThresholdForCash)
{
for (int i=0; i<mMaxSharpeCombination.mSymbolsRatios.Count(); i++)
{
mMaxSharpeCombination.mSymbolsRatios[i] = mMaxSharpeCombination.mSymbolsRatios[i] / 2;
}
}
wRatio1 = mMaxSharpeCombination.mSymbolsRatios[0];
wRatio2 = mMaxSharpeCombination.mSymbolsRatios[1];
wRatio3 = mMaxSharpeCombination.mSymbolsRatios[2];
wRatio4 = mMaxSharpeCombination.mSymbolsRatios[3];
}
if (mFirstPass == true || mDaysCounter <= 0 || mLastRatio1 != wRatio1 || mLastRatio2 != wRatio2 || mLastRatio3 != wRatio3 || mLastRatio4 != wRatio4)
{
mDaysCounter = mMinimumRebalancePeriod;
if (EnableLogs)
{
Log(" ");
Log("Rebalancing:");
}
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
if (EnableLogs) Log(" Max Sharpe Combination >> " +
mSymbol1 + " " + (mMaxSharpeCombination.mSymbolsRatios[0] * 100).ToString ("#.#") + "%, " +
mSymbol2 + " " + (mMaxSharpeCombination.mSymbolsRatios[1] * 100).ToString ("#.#") + "%, " +
mSymbol3 + " " + (mMaxSharpeCombination.mSymbolsRatios[2] * 100).ToString ("#.#") + "%, " +
mSymbol4 + " " + (mMaxSharpeCombination.mSymbolsRatios[3] * 100).ToString ("#.#") + "%.");
if (IsTimeToRebalance())
{
Trade(data,
mSymbol1, mMaxSharpeCombination.mSymbolsRatios[0],
mSymbol2, mMaxSharpeCombination.mSymbolsRatios[1],
mSymbol3, mMaxSharpeCombination.mSymbolsRatios[2],
mSymbol4, mMaxSharpeCombination.mSymbolsRatios[3]);
}
}
else
{
if (EnableLogs) Log(" Sharpe not ready >> " +
mSymbol1 + " 50%, " +
mSymbol2 + " 50%, " +
mSymbol3 + " 0%, " +
mSymbol4 + " 0%.");
if (IsTimeToRebalance())
{
// If sharpe ratio not ready yet, use a 50%-50% split
Trade(data,
mSymbol1, 0.5m,
mSymbol2, 0.5m,
mSymbol3, 0.0m,
mSymbol4, 0.0m);
}
}
mLastAllocationAmount = mAllocationAmount;
mLastRatio1 = wRatio1;
}
decimal wSymbol1Percentage;
decimal wSymbol2Percentage;
decimal wSymbol3Percentage;
decimal wSymbol4Percentage;
if (mSrcList[0].IsReady && mMaxSharpeCombination != null)
{
wSymbol1Percentage = mMaxSharpeCombination.mSymbolsRatios[0] * 100;
wSymbol2Percentage = mMaxSharpeCombination.mSymbolsRatios[1] * 100;
wSymbol3Percentage = mMaxSharpeCombination.mSymbolsRatios[2] * 100;
wSymbol4Percentage = mMaxSharpeCombination.mSymbolsRatios[3] * 100;
}
else
{
wSymbol1Percentage = 50;
wSymbol2Percentage = 50;
wSymbol3Percentage = 0;
wSymbol4Percentage = 0;
}
Plot("BRS Assets Split", mSymbol1 + " (%)", wSymbol1Percentage);
Plot("BRS Assets Split", mSymbol2 + " (%)", wSymbol2Percentage);
Plot("BRS Assets Split", mSymbol3 + " (%)", wSymbol3Percentage);
Plot("BRS Assets Split", mSymbol4 + " (%)", wSymbol4Percentage);
}
protected override bool IsDataValid(TradeBars iData)
{
bool wValid = true;
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
wValid &= iData.ContainsKey(mSymbol3);
wValid &= iData.ContainsKey(mSymbol4);
return wValid;
}
private void RecalculateSharpeRatios(int iLookback, decimal iVolatilityFactor, ref List<SharpeRatioCalculator> iSrcList)
{
iSrcList = new List<SharpeRatioCalculator>();
for (int i=0; i<4; i++)
{
for (int j=i+1; j<4; j++)
{
for (decimal k=0.4m; k<=0.6m; k+=0.05m)
{
List<decimal> wSymbolsRatios = new List<decimal> {0.0m,0.0m,0.0m,0.0m};
wSymbolsRatios[i] = k;
wSymbolsRatios[j] = 1-k;
iSrcList.Add(SRC(wSymbolsRatios,iLookback,iVolatilityFactor));
}
}
}
// get the last 100 daily bars, once a day
if (mAlgorithm.Time.Date > mLastHistoryCallsDate.Date)
{
mLastHistoryCallsDate = mAlgorithm.Time;
mTradeBarHistorySymbol1 = History(mSymbol1, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol2 = History(mSymbol2, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol3 = History(mSymbol3, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol4 = History(mSymbol4, 100, Resolution.Daily).ToList();
}
for (int i = 0; i < mTradeBarHistorySymbol1.Count(); i++)
{
for (int j = 0; j < iSrcList.Count; j++)
{
List<TradeBar> wData = new List<TradeBar>();
wData.Add(mTradeBarHistorySymbol1[i]);
wData.Add(mTradeBarHistorySymbol2[i]);
wData.Add(mTradeBarHistorySymbol3[i]);
wData.Add(mTradeBarHistorySymbol4[i]);
iSrcList[j].AddObservation(wData);
}
}
}
}
}namespace QuantConnect {
public class SharpeRatioCalculator
{
public SharpeRatioCalculator(List<decimal> iSymbolsRatios, int period, decimal volatilityFactor)
{
mSymbolsRatios = iSymbolsRatios;
mVolatilityFactor = volatilityFactor;
mPreviousTradeBars = new List<TradeBar>();
for (int i = 0; i<iSymbolsRatios.Count(); i++)
{
mPreviousTradeBars.Add(null);
}
SharpeRatio = 0.0m;
MAC = new MovingAverageCalculator(period);
}
public SharpeRatioCalculator(int period, decimal volatilityFactor)
{
mSymbolsRatios = new List<decimal>();
mSymbolsRatios.Add(1.0m);
mVolatilityFactor = volatilityFactor;
mPreviousTradeBars = new List<TradeBar>();
mPreviousTradeBars.Add(null);
SharpeRatio = 0.0m;
MAC = new MovingAverageCalculator(period);
}
public double Average
{
get { return MAC.Average; }
}
public double StandardDeviation
{
get { return MAC.StandardDeviation; }
}
public double Variance
{
get { return MAC.Variance; }
}
public bool IsReady
{
get { return MAC.HasFullPeriod; }
}
public bool HasFullPeriod
{
get { return MAC.HasFullPeriod; }
}
public IEnumerable<double> Observations
{
get { return MAC.Observations; }
}
public int N
{
get { return MAC.N; }
}
public void AddObservation(List<TradeBar> iData)
{
for (int i = 0; i < iData.Count; i++)
{
if (mPreviousTradeBars[i] == null) mPreviousTradeBars[i] = iData[i];
}
List<decimal> wSymbolSplitFactorList = new List<decimal>();
for (int i = 0; i < iData.Count; i++)
{
decimal wSymbolSplitFactor = 1.0m;
if (mPreviousTradeBars[i].Close > iData[i].Close)
{
wSymbolSplitFactor = Math.Round(mPreviousTradeBars[i].Close / iData[i].Close);
}
else
{
wSymbolSplitFactor = 1.0m / Math.Round(iData[i].Close / mPreviousTradeBars[i].Close);
}
wSymbolSplitFactorList.Add(wSymbolSplitFactor);
}
List<decimal> wDailyReturns = new List<decimal>();
for (int i = 0; i < iData.Count; i++)
{
decimal wDailyReturn = ((iData[i].Close * wSymbolSplitFactorList[i]) - mPreviousTradeBars[i].Close) / mPreviousTradeBars[i].Close;
wDailyReturns.Add(wDailyReturn);
}
decimal wTotalDailyReturn = 0.0m;
for (int i = 0; i < iData.Count; i++)
{
wTotalDailyReturn = wTotalDailyReturn + (wDailyReturns[i] * mSymbolsRatios[i]);
}
MAC.AddObservation((double) wTotalDailyReturn);
if (MAC.HasFullPeriod && MAC.StandardDeviation > 0)
{
SharpeRatio = (decimal) (MAC.Average / Math.Pow(MAC.StandardDeviation, (double) mVolatilityFactor));
}
for (int i = 0; i < iData.Count; i++)
{
mPreviousTradeBars[i] = iData[i];
}
}
public void AddObservation(List<decimal> iCloseData)
{
List<TradeBar> wTradeBarsData = new List<TradeBar>();
foreach (decimal wCloseData in iCloseData)
{
wTradeBarsData.Add(new TradeBar(new DateTime(),"Portfolio",wCloseData,wCloseData,wCloseData,wCloseData,wCloseData,null));
}
AddObservation(wTradeBarsData);
}
public void AddObservation(decimal iCloseData)
{
List<TradeBar> wTradeBarsData = new List<TradeBar>();
wTradeBarsData.Add(new TradeBar(new DateTime(),"Portfolio",iCloseData,iCloseData,iCloseData,iCloseData,iCloseData,null));
AddObservation(wTradeBarsData);
}
public MovingAverageCalculator MAC;
private decimal SharpeRatio;
public List<decimal> mSymbolsRatios;
public List<TradeBar> mPreviousTradeBars;
public decimal mVolatilityFactor;
/// <summary>
/// Returns the current value of this instance
/// </summary>
/// <param name="instance">The indicator instance</param>
/// <returns>The current value of the indicator</returns>
public static implicit operator decimal(SharpeRatioCalculator instance)
{
return instance.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is greater than the specified value
/// </summary>
public static bool operator >(SharpeRatioCalculator left, double right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio > (decimal)right;
}
/// <summary>
/// Determines if the indicator's current value is less than the specified value
/// </summary>
public static bool operator <(SharpeRatioCalculator left, double right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio < (decimal)right;
}
/// <summary>
/// Determines if the specified value is greater than the indicator's current value
/// </summary>
public static bool operator >(double left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left > right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is less than the indicator's current value
/// </summary>
public static bool operator <(double left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left < right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is greater than or equal to the specified value
/// </summary>
public static bool operator >=(SharpeRatioCalculator left, double right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio >= (decimal)right;
}
/// <summary>
/// Determines if the indicator's current value is less than or equal to the specified value
/// </summary>
public static bool operator <=(SharpeRatioCalculator left, double right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio <= (decimal)right;
}
/// <summary>
/// Determines if the specified value is greater than or equal to the indicator's current value
/// </summary>
public static bool operator >=(double left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left >= right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is less than or equal to the indicator's current value
/// </summary>
public static bool operator <=(double left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left <= right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is equal to the specified value
/// </summary>
public static bool operator ==(SharpeRatioCalculator left, double right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio == (decimal)right;
}
/// <summary>
/// Determines if the indicator's current value is not equal to the specified value
/// </summary>
public static bool operator !=(SharpeRatioCalculator left, double right)
{
if (ReferenceEquals(left, null)) return true;
return left.SharpeRatio != (decimal)right;
}
/// <summary>
/// Determines if the specified value is equal to the indicator's current value
/// </summary>
public static bool operator ==(double left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left == right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is not equal to the indicator's current value
/// </summary>
public static bool operator !=(double left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return true;
return (decimal)left != right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is greater than the specified value
/// </summary>
public static bool operator >(SharpeRatioCalculator left, float right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio > (decimal)right;
}
/// <summary>
/// Determines if the indicator's current value is less than the specified value
/// </summary>
public static bool operator <(SharpeRatioCalculator left, float right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio < (decimal)right;
}
/// <summary>
/// Determines if the specified value is greater than the indicator's current value
/// </summary>
public static bool operator >(float left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left > right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is less than the indicator's current value
/// </summary>
public static bool operator <(float left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left < right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is greater than or equal to the specified value
/// </summary>
public static bool operator >=(SharpeRatioCalculator left, float right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio >= (decimal)right;
}
/// <summary>
/// Determines if the indicator's current value is less than or equal to the specified value
/// </summary>
public static bool operator <=(SharpeRatioCalculator left, float right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio <= (decimal)right;
}
/// <summary>
/// Determines if the specified value is greater than or equal to the indicator's current value
/// </summary>
public static bool operator >=(float left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left >= right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is less than or equal to the indicator's current value
/// </summary>
public static bool operator <=(float left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left <= right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is equal to the specified value
/// </summary>
public static bool operator ==(SharpeRatioCalculator left, float right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio == (decimal)right;
}
/// <summary>
/// Determines if the indicator's current value is not equal to the specified value
/// </summary>
public static bool operator !=(SharpeRatioCalculator left, float right)
{
if (ReferenceEquals(left, null)) return true;
return left.SharpeRatio != (decimal)right;
}
/// <summary>
/// Determines if the specified value is equal to the indicator's current value
/// </summary>
public static bool operator ==(float left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return (decimal)left == right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is not equal to the indicator's current value
/// </summary>
public static bool operator !=(float left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return true;
return (decimal)left != right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is greater than the specified value
/// </summary>
public static bool operator >(SharpeRatioCalculator left, int right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio > right;
}
/// <summary>
/// Determines if the indicator's current value is less than the specified value
/// </summary>
public static bool operator <(SharpeRatioCalculator left, int right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio < right;
}
/// <summary>
/// Determines if the specified value is greater than the indicator's current value
/// </summary>
public static bool operator >(int left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left > right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is less than the indicator's current value
/// </summary>
public static bool operator <(int left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left < right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is greater than or equal to the specified value
/// </summary>
public static bool operator >=(SharpeRatioCalculator left, int right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio >= right;
}
/// <summary>
/// Determines if the indicator's current value is less than or equal to the specified value
/// </summary>
public static bool operator <=(SharpeRatioCalculator left, int right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio <= right;
}
/// <summary>
/// Determines if the specified value is greater than or equal to the indicator's current value
/// </summary>
public static bool operator >=(int left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left >= right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is less than or equal to the indicator's current value
/// </summary>
public static bool operator <=(int left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left <= right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is equal to the specified value
/// </summary>
public static bool operator ==(SharpeRatioCalculator left, int right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio == right;
}
/// <summary>
/// Determines if the indicator's current value is not equal to the specified value
/// </summary>
public static bool operator !=(SharpeRatioCalculator left, int right)
{
if (ReferenceEquals(left, null)) return true;
return left.SharpeRatio != right;
}
/// <summary>
/// Determines if the specified value is equal to the indicator's current value
/// </summary>
public static bool operator ==(int left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left == right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is not equal to the indicator's current value
/// </summary>
public static bool operator !=(int left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return true;
return left != right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is greater than the specified value
/// </summary>
public static bool operator >(SharpeRatioCalculator left, long right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio > right;
}
/// <summary>
/// Determines if the indicator's current value is less than the specified value
/// </summary>
public static bool operator <(SharpeRatioCalculator left, long right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio < right;
}
/// <summary>
/// Determines if the specified value is greater than the indicator's current value
/// </summary>
public static bool operator >(long left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left > right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is less than the indicator's current value
/// </summary>
public static bool operator <(long left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left < right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is greater than or equal to the specified value
/// </summary>
public static bool operator >=(SharpeRatioCalculator left, long right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio >= right;
}
/// <summary>
/// Determines if the indicator's current value is less than or equal to the specified value
/// </summary>
public static bool operator <=(SharpeRatioCalculator left, long right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio <= right;
}
/// <summary>
/// Determines if the specified value is greater than or equal to the indicator's current value
/// </summary>
public static bool operator >=(long left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left >= right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is less than or equal to the indicator's current value
/// </summary>
public static bool operator <=(long left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left <= right.SharpeRatio;
}
/// <summary>
/// Determines if the indicator's current value is equal to the specified value
/// </summary>
public static bool operator ==(SharpeRatioCalculator left, long right)
{
if (ReferenceEquals(left, null)) return false;
return left.SharpeRatio == right;
}
/// <summary>
/// Determines if the indicator's current value is not equal to the specified value
/// </summary>
public static bool operator !=(SharpeRatioCalculator left, long right)
{
if (ReferenceEquals(left, null)) return true;
return left.SharpeRatio != right;
}
/// <summary>
/// Determines if the specified value is equal to the indicator's current value
/// </summary>
public static bool operator ==(long left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return false;
return left == right.SharpeRatio;
}
/// <summary>
/// Determines if the specified value is not equal to the indicator's current value
/// </summary>
public static bool operator !=(long left, SharpeRatioCalculator right)
{
if (ReferenceEquals(right, null)) return true;
return left != right.SharpeRatio;
}
public override bool Equals(Object right)
{
// If parameter is null return false.
if (right == null)
{
return false;
}
// Return true if the fields match:
return (this == right);
}
public override int GetHashCode()
{
int hash = 13;
foreach (decimal wSymbolRatio in mSymbolsRatios)
{
hash = (hash * 7) + wSymbolRatio.GetHashCode();
}
hash = (hash * 7) + mVolatilityFactor.GetHashCode();
hash = (hash * 7) + SharpeRatio.GetHashCode();
return hash;
}
}
}using QuantConnect.Data.Market;
using System;
namespace QuantConnect {
//
// Test for SharpeRatioCalculator
//
/// <summary>
///
/// This test verifies that the SharpeRatioCalculator returns values that are at least proportional to
/// test runs from the real algorithm, for different time periods, with the same parameters.
///
/// How to test it:
/// - In Main.cs, change the allocation to 100% SharpeRatioCalculatorTest (mAllocationRatioSRCTEST = 1.0m)
/// - Run the test
/// - In the backtests statistics section, copy the 3-months SharpeRatio values in an Excel file
/// - Open the graph "Sharpe Ratio three months"
/// - For about 2 years of data, manually copy in the Excel file the values of the calculated sharpe ratios, at the same dates as the algo statistics
/// - See if there is a correlation
///
/// Results so far: quite poor (analysis done from April 2015 to December 2016)
/// Correlation = 0.268
///
/// Data results:
///
/// Date 3 Months, algo 3 Months, SRC calculator
/// 04/30/2015 -0.014354245 -0.0454
/// 05/31/2015 -0.013994576 -0.0341
/// 06/30/2015 -0.045307418 -0.1322
/// 07/31/2015 -0.002708537 -0.0005
/// 08/31/2015 -0.007749081 -0.0385
/// 09/30/2015 -0.003662463 -0.0183
/// 10/31/2015 -0.014735746 0.0008
/// 11/30/2015 0.011244831 0.0962
/// 12/31/2015 -0.007871732 0.0992
/// 01/31/2016 -0.013966913 -0.0727
/// 02/29/2016 -0.001043126 0.0296
/// 03/31/2016 -0.01398189 0.1413
/// 04/30/2016 -0.018236248 0.2148
/// 05/31/2016 -0.009374347 0.1655
/// 06/30/2016 -0.008349114 0.1858
/// 07/31/2016 -0.014002565 0.3271
/// 08/31/2016 -0.010672807 0.2293
/// 09/30/2016 -0.003444261 0.0323
/// 10/31/2016 -0.007270203 -0.0989
/// 11/30/2016 -0.015016703 -0.1928
/// 12/31/2016 -0.020562391 -0.1895
///
/// À faire: Faire les calculs de sharpe ratio et moving average, manuellement, dans Excel.
/// Pour faire ça, faire logger la valeur du portfolio à chaque jour.
///
/// Ok, j'ai complété le test manuellement dans Excel. Le calcul du Sharpe ratio manuel donne bien le résultat de l'indicateur.
/// Possiblement que c'est parce que QC calcule le sharpe ratio basé sur des gains de close - open, et moi close - past close.
///
/// </summary>
public class Test_SRC : SubAlgorithm
{
// Strategy parameters
private string mSymbol1 = "SPY";
private string mSymbol2 = "TLT";
private SharpeRatioCalculator testSharpeRatioCalculator;
public Test_SRC(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
}
public override void Initialize_Specific()
{
// Override start and end date for this test only
SetStartDate(2015,01,01);
SetEndDate(DateTime.Today.AddDays(-1));
mDataFeedFrequency = "Daily";
AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
testSharpeRatioCalculator = SRC(63, 1);
}
public override void OnData_Specific(TradeBars data)
{
mLastAllocationAmount = mAllocationAmount;
if (mFirstPass)
{
SetHoldings(mSymbol1,0.5m);
SetHoldings(mSymbol2,0.5m);
}
testSharpeRatioCalculator.AddObservation(mAllocationAmount);
Plot("SharpeRatio three months", "Sharpe Ratio", testSharpeRatioCalculator);
Plot("SharpeRatio three months", "Moving average", testSharpeRatioCalculator);
}
protected override bool IsDataValid(TradeBars iData)
{
bool wValid = true;
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
return wValid;
}
}
}namespace QuantConnect {
public class CorrelationCalculator
{
public CorrelationCalculator(int period)
{
_period = period;
_window1 = new double[period];
_window2 = new double[period];
}
public double Correlation
{
get { return _correlation; }
}
public bool HasFullPeriod
{
get { return _num_added >= _period; }
}
public int N
{
get { return Math.Min(_num_added, _period); }
}
public void AddObservation(double iValue1, double iValue2)
{
// Window is treated as a circular buffer.
var ndx = _num_added % _period;
_window1[ndx] = iValue1; // add new observation
_window2[ndx] = iValue2; // add new observation
_num_added++;
// Update correlation coefficient
int wNumElements = N;
double[] array_xy = new double[wNumElements];
double[] array_xp2 = new double[wNumElements];
double[] array_yp2 = new double[wNumElements];
double sum_xy = 0;
double sum_xpow2 = 0;
double sum_ypow2 = 0;
for (int i = 0; i < wNumElements; i++)
array_xy[i] = _window1[i] * _window2[i];
for (int i = 0; i < wNumElements; i++)
array_xp2[i] = Math.Pow(_window1[i], 2.0);
for (int i = 0; i < wNumElements; i++)
array_yp2[i] = Math.Pow(_window2[i], 2.0);
double sum_x = 0;
double sum_y = 0;
for (int i = 0; i < wNumElements; i++)
{
sum_x += _window1[i];
sum_y += _window2[i];
sum_xy += array_xy[i];
sum_xpow2 += array_xp2[i];
sum_ypow2 += array_yp2[i];
}
double Ex2 = Math.Pow(sum_x, 2.00);
double Ey2 = Math.Pow(sum_y, 2.00);
_correlation =
(_window1.Length * sum_xy - sum_x * sum_y) /
Math.Sqrt((_window1.Length * sum_xpow2 - Ex2) * (_window1.Length * sum_ypow2 - Ey2));
}
private readonly int _period;
private readonly double[] _window1;
private readonly double[] _window2;
private int _num_added;
private double _correlation;
}
}namespace QuantConnect {
public class MovingAverageCalculator
{
public MovingAverageCalculator(int period)
{
_period = period;
_window = new double[period];
}
public double Average
{
get { return _average; }
}
public double StandardDeviation
{
get
{
var variance = Variance;
if (variance >= double.Epsilon)
{
var sd = Math.Sqrt(variance);
return double.IsNaN(sd) ? 0.0 : sd;
}
return 0.0;
}
}
public double Variance
{
get
{
var n = N;
return n > 1 ? _variance_sum / (n - 1) : 0.0;
}
}
public bool HasFullPeriod
{
get { return _num_added >= _period; }
}
public IEnumerable<double> Observations
{
get { return _window.Take(N); }
}
public int N
{
get { return Math.Min(_num_added, _period); }
}
public void AddObservation(double observation)
{
// Window is treated as a circular buffer.
var ndx = _num_added % _period;
var old = _window[ndx]; // get value to remove from window
_window[ndx] = observation; // add new observation in its place.
_num_added++;
// Update average and standard deviation using deltas
var old_avg = _average;
if (_num_added <= _period)
{
var delta = observation - old_avg;
_average += delta / _num_added;
_variance_sum += (delta * (observation - _average));
}
else // use delta vs removed observation.
{
var delta = observation - old;
_average += delta / _period;
_variance_sum += (delta * ((observation - _average) + (old - old_avg)));
}
}
private readonly int _period;
private readonly double[] _window;
private int _num_added;
private double _average;
private double _variance_sum;
}
}using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;
using System.Linq;
namespace QuantConnect
{
/// <summary>
///
/// Universal Investment Strategy (UIS) as described here: http://seekingalpha.com/article/2714185-the-spy-tlt-universal-investment-strategy
///
/// Best config so far (for long):
/// Log("Backtesting with following parameters:");
/// Log("Symbol1 >> " + UPRO);
/// Log("Symbol2 >> " + TMF);
/// Log("Symbol3 >> " + SPXU);
/// Log("Symbol4 >> " + TMV);
/// Log("Use short >> " + false);
/// Log("Leverage >> " + 0.98);
/// Log("Minimum Rebalance Period >> " + 1);
/// Log("Start year >> " + 2010);
/// Log("Sharpe lookback >> " + 63);
/// Log("Sharpe volatility factor >> " + 2.8);
///
/// Best config so far (for short):
/// Log("Backtesting with following parameters:");
/// Log("Symbol1 >> " + UPRO);
/// Log("Symbol2 >> " + TMF);
/// Log("Symbol3 >> " + SPXU);
/// Log("Symbol4 >> " + TMV);
/// Log("Use short >> " + true);
/// Log("Leverage >> " + 0.98);
/// Log("Minimum Rebalance Period >> " + 21);
/// Log("Start year >> " + 2010);
/// Log("Sharpe lookback >> " + 63);
/// Log("Sharpe volatility factor >> " + 2.8);
///
/// </summary>
public class UIS : SubAlgorithm
{
// Strategy parameters
private string mSymbol1 = "SPY";
private string mSymbol2 = "TLT";
private string mSymbol3 = "SPXU";
private string mSymbol4 = "TMV";
private bool mUseShort = false;
private bool mUseCorrelationExit = true; // Cash exit when the correlation between UPRU and TMF is positive, for a 1, 2, and 3 months lookback period. Does not exit ZIV positions.
private int mMinimumRebalancePeriod = 1;
private int mSharpeLookback = 63; // 63
private decimal mSharpeVolatilityFactor = 2.8m; // 2.8
private SharpeRatioCalculator mMaxSharpeCombination;
private CorrelationCalculator mCorrel2Weeks;
private CorrelationCalculator mCorrel1Month;
private CorrelationCalculator mCorrel2Month;
private CorrelationCalculator mCorrel3Month;
private int mDaysCounter = 0;
private List<SharpeRatioCalculator> mSrcList;
private decimal mLastRatio1 = 0;
private decimal mLastRatio2 = 0;
bool mCashExit = false;
bool mCashExit_previous = false;
bool mBuyBackIn = false;
DateTime mLastHistoryCallsDate = DateTime.MinValue;
List<TradeBar> mTradeBarHistorySymbol1;
List<TradeBar> mTradeBarHistorySymbol2;
public UIS(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute";
}
else
{
mDataFeedFrequency = "Daily"; // Needs to stay daily or faster, for correlation exits and historical performances calculation
}
mRebalanceFrequency = "Weekly";
mName = "UIS";
}
public override void Initialize_Specific()
{
if (EnableLogs)
{
Log("UIS Strategy: Backtesting with following parameters:");
Log("\tSymbol1 >> " + mSymbol1);
Log("\tSymbol2 >> " + mSymbol2);
if (mUseShort)
{
Log("\tSymbol3 >> " + mSymbol3);
Log("\tSymbol4 >> " + mSymbol4);
}
Log("\tUseShort >> " + mUseShort);
Log("\tMinimum Rebalance Period >> " + mMinimumRebalancePeriod);
Log("\tStart year >> " + mStartYear);
Log("\tSharpe lookback >> " + mSharpeLookback);
Log("\tSharpe volatility factor >> " + mSharpeVolatilityFactor);
}
AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
if (mUseShort)
{
AddSecurity(SecurityType.Equity, mSymbol3, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol4, mResolution, true, 3, false);
}
mTradeBarHistorySymbol1 = new List<TradeBar>();
mTradeBarHistorySymbol2 = new List<TradeBar>();
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
}
public override void OnData_Specific(TradeBars data)
{
mDaysCounter = mDaysCounter - 1;
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
// For backtesting purposes only, exclude the discontinuity that occured in the data on Aug 22-25 2016
if (Time.Date >= DateTime.Parse("08/22/2016") && Time.Date <= DateTime.Parse("08/26/2016"))
{
if (mUseShort)
{
Trade(data, mSymbol3, 0, mSymbol4, 0);
}
else
{
Trade(data, mSymbol1, 0, mSymbol2, 0);
}
return;
}
decimal wRatio1 = 0.5m;
decimal wRatio2 = 0.5m;
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
wRatio1 = mMaxSharpeCombination.mSymbolsRatios[0];
wRatio2 = mMaxSharpeCombination.mSymbolsRatios[1];
}
if (mFirstPass == true || mDaysCounter <= 0 || mLastRatio1 != wRatio1 || mLastRatio2 != wRatio2)
{
mDaysCounter = mMinimumRebalancePeriod;
if (EnableLogs)
{
Log(" ");
Log("Rebalancing:");
}
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
if (EnableLogs)
{
Log(" Max Sharpe Combination >> " + mSymbol1 + " " + (mMaxSharpeCombination.mSymbolsRatios[0] * 100).ToString ("#.#") + "%, " + mSymbol2 + " " + (mMaxSharpeCombination.mSymbolsRatios[1] * 100).ToString ("#.#") + "%.");
}
decimal wSymbol1Ratio = mMaxSharpeCombination.mSymbolsRatios[0];
decimal wSymbol2Ratio = mMaxSharpeCombination.mSymbolsRatios[1];
if (mUseCorrelationExit)
{
// Cash exit when the correlation between UPRU and TMF is positive, for a 1, 2, and 3 months lookback period.
if (mCorrel1Month.Correlation > 0 && mCorrel2Month.Correlation > 0 && mCorrel3Month.Correlation > 0)
{
wSymbol1Ratio = 0;
wSymbol2Ratio = 0;
mCashExit = true;
if (EnableLogs)
{
Log("Cash exit: Correlation between UPRO and TMF is positive for 1, 2, and 3 months lookback period.");
}
}
else if (mCashExit == true && mBuyBackIn == false)
{
mCashExit = false;
mBuyBackIn = true;
}
}
// Trade if it it time to trade, or if there is cash exit toggle or buy back in toggle
if ((mCashExit && !mCashExit_previous) || mBuyBackIn || IsTimeToRebalance())
{
if (mUseShort)
{
Trade(data, mSymbol3, -wSymbol1Ratio, mSymbol4, -wSymbol2Ratio);
}
else
{
Trade(data, mSymbol1, wSymbol1Ratio, mSymbol2, wSymbol2Ratio);
}
mBuyBackIn = false;
}
mCashExit_previous = mCashExit;
}
else
{
if (EnableLogs) Log(" Sharpe not ready >> " + mSymbol1 + " 50%, " + mSymbol2 + " 50%.");
if (IsTimeToRebalance())
{
// If sharpe ratio not ready yet, use a 50%-50% split between UPRO and TMF
if (mUseShort)
{
Trade(data, mSymbol3, -0.5m, mSymbol4, -0.5m);
}
else
{
Trade(data, mSymbol1, 0.5m, mSymbol2, 0.5m);
}
}
}
mLastAllocationAmount = mAllocationAmount;
mLastRatio1 = wRatio1;
mLastRatio2 = wRatio2;
}
decimal wSymbol1Percentage;
decimal wSymbol2Percentage;
if (mSrcList[0].IsReady && mMaxSharpeCombination != null)
{
wSymbol1Percentage = mMaxSharpeCombination.mSymbolsRatios[0] * 100;
wSymbol2Percentage = mMaxSharpeCombination.mSymbolsRatios[1] * 100;
}
else
{
wSymbol1Percentage = 50;
wSymbol2Percentage = 50;
}
Plot(mSymbol1 + "-" + mSymbol2 + " Split", mSymbol1 + " (%)", wSymbol1Percentage);
Plot(mSymbol1 + "-" + mSymbol2 + " Split", mSymbol2 + " (%)", wSymbol2Percentage);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "Correl 2 Weeks", mCorrel2Weeks.Correlation*100);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "Correl 1 Month", mCorrel1Month.Correlation*100);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "Correl 2 Months", mCorrel2Month.Correlation*100);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "Correl 3 Months", mCorrel3Month.Correlation*100);
Plot(mSymbol1 + "-" + mSymbol2 + " Correlation", "0", 0);
}
protected override bool IsDataValid(TradeBars iData)
{
bool wValid = true;
if (!mUseShort)
{
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
}
if (mUseShort)
{
wValid &= iData.ContainsKey(mSymbol3);
wValid &= iData.ContainsKey(mSymbol4);
}
return wValid;
}
private void RecalculateSharpeRatios(int iLookback, decimal iVolatilityFactor, ref List<SharpeRatioCalculator> iSrcList)
{
iSrcList = new List<SharpeRatioCalculator>();
mCorrel2Weeks = new CorrelationCalculator(10);
mCorrel1Month = new CorrelationCalculator(21);
mCorrel2Month = new CorrelationCalculator(42);
mCorrel3Month = new CorrelationCalculator(63);
int granularity = 15;
for (int i = 0; i <= granularity; i++)
{
List<decimal> wSymbolsRatios = new List<decimal>();
wSymbolsRatios.Add(1/(decimal)granularity * i);
wSymbolsRatios.Add(1.0m - (1/(decimal)granularity * i));
iSrcList.Add(SRC(wSymbolsRatios, iLookback, iVolatilityFactor));
}
// get the last 100 daily bars, once a day
if (mAlgorithm.Time.Date > mLastHistoryCallsDate.Date)
{
mLastHistoryCallsDate = mAlgorithm.Time;
mTradeBarHistorySymbol1 = History(mSymbol1, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol2 = History(mSymbol2, 100, Resolution.Daily).ToList();
}
for (int i = 0; i < mTradeBarHistorySymbol1.Count(); i++)
{
for (int j = 0; j < iSrcList.Count; j++)
{
List<TradeBar> wData = new List<TradeBar>();
wData.Add(mTradeBarHistorySymbol1[i]);
wData.Add(mTradeBarHistorySymbol2[i]);
iSrcList[j].AddObservation(wData);
}
mCorrel2Weeks.AddObservation((double)mTradeBarHistorySymbol1[i].Close, (double)mTradeBarHistorySymbol2[i].Close);
mCorrel1Month.AddObservation((double)mTradeBarHistorySymbol1[i].Close, (double)mTradeBarHistorySymbol2[i].Close);
mCorrel2Month.AddObservation((double)mTradeBarHistorySymbol1[i].Close, (double)mTradeBarHistorySymbol2[i].Close);
mCorrel3Month.AddObservation((double)mTradeBarHistorySymbol1[i].Close, (double)mTradeBarHistorySymbol2[i].Close);
}
}
}
}using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;
using System.Net;
using System.Text.RegularExpressions;
using System.Linq;
namespace QuantConnect
{
/// <summary>
///
/// See here for the strategy: https://logical-invest.com/portfolio-items/the-gold-etf-currency-strategy/
///
/// This is a semi-automated algorithm that uses signals from Logical Invest, stored in a csv file on Dropbox.
///
/// </summary>
public class GLD_LI_SIGNALS : SubAlgorithm
{
// Strategy parameters
private bool mRebalanceOnChange = true;
// Other variables
private string mSymbol1 = "";
private string mSymbol2 = "";
private decimal mSymbol1Ratio = 0.0m;
private decimal mSymbol2Ratio = 0.0m;
private bool mReadyToTrade = false;
private Dictionary<string, string> mValuesDictionary;
private string mDropboxFileDirectDownloadLink = "";
public GLD_LI_SIGNALS(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute";
}
else
{
mDataFeedFrequency = "Daily";
}
mRebalanceFrequency = "Monthly";
mDropboxFileDirectDownloadLink = "https://dropbox.com/s/ko9exryrs1ckojz/Algo%20Values%20Updater.csv?dl=1";
mName = "GLD_LI_SINGALS";
}
public override void Initialize_Specific()
{
mValuesDictionary = new Dictionary<string, string>();
ReadHistoryFromLogicalInvest("GLD", "https://logical-invest.com/wp-content/csvrepository/GLD-USD_return.html");
}
public override void OnData_Specific(TradeBars data)
{
UpdateDictionary(Time, ref mValuesDictionary);
if (!mKeepFeedingData)
{
bool wSomeValueHasChanged = false;
bool wSuccess = RetrieveValuesFromDictionary(ref wSomeValueHasChanged);
if (!wSuccess) return;
if (!Securities.ContainsKey(mSymbol1)) AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
if (!Securities.ContainsKey(mSymbol2)) AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
if (IsTimeToRebalance() || (mRebalanceOnChange && wSomeValueHasChanged))
{
mKeepFeedingData = true;
mReadyToTrade = true;
}
}
if (!IsDataValid(data)) return;
if (mReadyToTrade)
{
Trade(data, mSymbol1, mSymbol1Ratio, mSymbol2, mSymbol2Ratio);
mKeepFeedingData = false;
mReadyToTrade = false;
}
// TODO: Add plotting of symbols
}
protected override bool IsDataValid(TradeBars iData)
{
if (mSymbol1 == "")
{
return true; // If the required data is not yet initialized, skip this.
}
else
{
bool wValid = true;
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
return wValid;
}
}
//
// Reads the desired values from the web and stores it in oValuesDictionary (Dictionary of variable name:value)
// If in backtest mode and dates are in the past month or earlier, reads from LogicalInvest webpage directly.
// If the date is in the current month, reads from the CSV file manually maintained on Dropbox.
//
private void UpdateDictionary(DateTime iTime, ref Dictionary<string, string> oValuesDictionary)
{
DateTime wRealTime = mAlgorithm.Time;
if ((iTime.Year != wRealTime.Year) || (iTime.Month != wRealTime.Month))
{
oValuesDictionary = mHistoryDictionary[new DateTime(iTime.Year, iTime.Month, 1)];
}
else
{
using (var client = new WebClient())
{
string file = "";
try
{
// fetch the file from dropbox
file = client.DownloadString(mDropboxFileDirectDownloadLink);
}
catch
{
if (EnableLogs) Log("Error reading file from Dropbox: " + mDropboxFileDirectDownloadLink);
return;
}
var lines = file.Replace("\r", String.Empty).Split(new[] { Environment.NewLine },StringSplitOptions.None);
foreach (string line in lines)
{
List<string> wKeyVal = line.Split(',').ToList();
if (wKeyVal[0] == "") continue;
string wKey = wKeyVal[0];
string wValue = "";
if (wKeyVal.Count > 1)
{
wValue = wKeyVal[1];
}
if(!oValuesDictionary.ContainsKey(wKey))
{
oValuesDictionary.Add(wKey, wValue);
}
else
{
oValuesDictionary[wKey] = wValue;
}
}
}
}
}
//
// Gets the symbol values from mValuesDictionary, and stores them in mSymbol1, mSymbol2, ... , mSymbol1Ratio, mSymbol2Ratio, ...
// Needs to have called UpdateDictionary() prior to this.
//
private bool RetrieveValuesFromDictionary(ref bool oSomeValueHasChanged)
{
if (!mValuesDictionary.ContainsKey("GLD_Symbol1")) Log("Error: Could not retrieve parameter GLD_Symbol1 from Dropbox.");
if (!mValuesDictionary.ContainsKey("GLD_Symbol1_Ratio")) Log("Error: Could not retrieve parameter GLD_Symbol1_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("GLD_Symbol2")) Log("Error: Could not retrieve parameter GLD_Symbol2 from Dropbox.");
if (!mValuesDictionary.ContainsKey("GLD_Symbol2_Ratio")) Log("Error: Could not retrieve parameter GLD_Symbol2_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("GLD_Symbol1") ||
!mValuesDictionary.ContainsKey("GLD_Symbol1_Ratio") ||
!mValuesDictionary.ContainsKey("GLD_Symbol2") ||
!mValuesDictionary.ContainsKey("GLD_Symbol2_Ratio"))
{
return false;
}
oSomeValueHasChanged =
mSymbol1 != mValuesDictionary["GLD_Symbol1"] ||
mSymbol2 != mValuesDictionary["GLD_Symbol2"] ||
mSymbol1Ratio != Convert.ToDecimal(mValuesDictionary["GLD_Symbol1_Ratio"]) ||
mSymbol2Ratio != Convert.ToDecimal(mValuesDictionary["GLD_Symbol2_Ratio"]);
mSymbol1 = mValuesDictionary["GLD_Symbol1"];
mSymbol2 = mValuesDictionary["GLD_Symbol2"];
mSymbol1Ratio = Convert.ToDecimal(mValuesDictionary["GLD_Symbol1_Ratio"]);
mSymbol2Ratio = Convert.ToDecimal(mValuesDictionary["GLD_Symbol2_Ratio"]);
return true;
}
}
}using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Net;
using System.Text.RegularExpressions;
namespace QuantConnect
{
/// <summary>
///
/// See here for the strategy: https://logical-invest.com/portfolio-items/3x-leveraged-universal-investment-strategy/
///
/// This is a fully automated algorithm that uses signals from Logical Invest.
/// Signal emails from Logical Invest are automatically stored as text files in Dropbox, and read by this algorithm.
///
/// </summary>
public class NASDAQ_LI_SIGNALS : SubAlgorithm
{
// Strategy parameters
private bool mRebalanceOnChange = true;
// Other variables
private string mSymbol1 = "";
private string mSymbol2 = "";
private string mSymbol3 = "";
private string mSymbol4 = "";
private string mSymbol5 = "";
private decimal mSymbol1Ratio = 0.0m;
private decimal mSymbol2Ratio = 0.0m;
private decimal mSymbol3Ratio = 0.0m;
private decimal mSymbol4Ratio = 0.0m;
private decimal mSymbol5Ratio = 0.0m;
private bool mReadyToTrade = false;
private bool mReadFromCvsInsteadOfEmail = false;
private Dictionary<string, string> mValuesDictionary;
private string mDropboxFileDirectDownloadLink = "";
public NASDAQ_LI_SIGNALS(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute"; // Needs to stay daily or faster, for historical performances calculation
}
else
{
mDataFeedFrequency = "Daily"; // Needs to stay daily or faster, for historical performances calculation
}
mRebalanceFrequency = "Monthly";
mName = "NASDAQ_LI_SIGNALS";
if (mReadFromCvsInsteadOfEmail)
{
// To read from the manual csv file, in "Dropbox\Public\Algo Values Updater.csv"
mDropboxFileDirectDownloadLink = "https://www.dropbox.com/s/ko9exryrs1ckojz/Algo%20Values%20Updater.csv?dl=1";
}
else
{
// To read from the logical invest email text file, in "Dropbox\Public\Logical Invest Rebalance Emails\Nasdaq100SignalEmail.txt"
// Thie text file is automatically dropped there everytime a new email comes in, using Zapier.com to automate it
mDropboxFileDirectDownloadLink = "https://www.dropbox.com/s/gwf88v90h4pq5ho/Nasdaq100SignalEmail.txt?dl=1";
}
}
public override void Initialize_Specific()
{
mValuesDictionary = new Dictionary<string, string>();
ReadHistoryFromLogicalInvest("NASDAQ", "https://logical-invest.com/wp-content/csvrepository/NASDAQ100_return.html");
}
public override void OnData_Specific(TradeBars data)
{
UpdateDictionary(Time, ref mValuesDictionary);
if (!mKeepFeedingData)
{
bool wSomeValueHasChanged = false;
bool wSuccess = RetrieveValuesFromDictionary(ref wSomeValueHasChanged);
if (!wSuccess) return;
if (!Securities.ContainsKey(mSymbol1)) AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
if (!Securities.ContainsKey(mSymbol2)) AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
if (!Securities.ContainsKey(mSymbol3)) AddSecurity(SecurityType.Equity, mSymbol3, mResolution, true, 3, false);
if (!Securities.ContainsKey(mSymbol4)) AddSecurity(SecurityType.Equity, mSymbol4, mResolution, true, 3, false);
if (!Securities.ContainsKey(mSymbol5)) AddSecurity(SecurityType.Equity, mSymbol5, mResolution, true, 3, false);
if (IsTimeToRebalance() || (mRebalanceOnChange && wSomeValueHasChanged))
{
mKeepFeedingData = true;
mReadyToTrade = true;
}
}
if (!IsDataValid(data)) return;
if (mReadyToTrade)
{
Trade(data, mSymbol1, mSymbol1Ratio, mSymbol2, mSymbol2Ratio, mSymbol3, mSymbol3Ratio, mSymbol4, mSymbol4Ratio, mSymbol5, mSymbol5Ratio);
mKeepFeedingData = false;
mReadyToTrade = false;
}
// TODO: Add plotting of symbols
}
protected override bool IsDataValid(TradeBars iData)
{
if (mSymbol1 == "")
{
return true; // If the required data is not yet initialized, skip this.
}
else
{
bool wValid = true;
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
wValid &= iData.ContainsKey(mSymbol3);
wValid &= iData.ContainsKey(mSymbol4);
wValid &= iData.ContainsKey(mSymbol5);
return wValid;
}
}
//
// Reads the desired values from the web and stores it in oValuesDictionary (Dictionary of variable name:value)
// If in backtest mode and dates are in the past month or earlier, reads from LogicalInvest webpage directly.
// If the date is in the current month, reads from Dropbox, the email received from LogicalInvest.
//
private void UpdateDictionary(DateTime iTime, ref Dictionary<string, string> oValuesDictionary)
{
DateTime wRealTime = mAlgorithm.Time;
if ((iTime.Year != wRealTime.Year) || (iTime.Month != wRealTime.Month))
{
oValuesDictionary = mHistoryDictionary[new DateTime(iTime.Year, iTime.Month, 1)];
}
else
{
using (var client = new WebClient())
{
string file = "";
try
{
// fetch the file from dropbox
file = client.DownloadString(mDropboxFileDirectDownloadLink);
}
catch
{
if (EnableLogs) Log("Error reading file from Dropbox: " + mDropboxFileDirectDownloadLink);
return;
}
if (mReadFromCvsInsteadOfEmail)
{
var lines = file.Replace("\r", String.Empty).Split(new[] { Environment.NewLine },StringSplitOptions.None);
foreach (string line in lines)
{
List<string> wKeyVal = line.Split(',').ToList();
if (wKeyVal[0] == "") continue;
string wKey = wKeyVal[0];
string wValue = "";
if (wKeyVal.Count > 1)
{
wValue = wKeyVal[1];
}
if(!oValuesDictionary.ContainsKey(wKey))
{
oValuesDictionary.Add(wKey, wValue);
}
else
{
oValuesDictionary[wKey] = wValue;
}
}
}
else
{
Regex r = new Regex("New allocations for your portfolio by ETF(.|\r\n)*?</table>", RegexOptions.IgnoreCase);
string wAllocationsSection = r.Match(file).Value;
// For debugging
// Log("wAllocationsSection = " + wAllocationsSection);
// Each match in wSymbolMatches will be of this format: ">FOXA - "
// Each symbol in wSymbols will be the actual ticker (Ex: "FOXA")
r = new Regex(">[A-Z]*? - ");
MatchCollection wSymbolMatches = r.Matches(wAllocationsSection);
var wSymbols = new List<string>();
foreach (Match match in wSymbolMatches)
{
string wSymbol = match.Value.Replace(">","").Replace(" - ","");
wSymbols.Add(wSymbol);
}
// Each match in wPercentMatches will be of this format: "<td>30.0%</td>"
// Each value in wAllocations will be the actual decimal allocation, as a string (Ex: "0.010")
r = new Regex("<td>.*?%</td>");
MatchCollection wPercentMatches = r.Matches(wAllocationsSection);
var wAllocations = new List<string>();
foreach (Match match in wPercentMatches)
{
string wAllocationPercentage = match.Value.Replace("<td>","").Replace("%","").Replace("</td>","");
string wAllocationDecimal = "0." + wAllocationPercentage.Replace(".","");
wAllocations.Add(wAllocationDecimal);
}
// Remove the last percentage entry, which is the total percentage allocation
if(wAllocations.Any())
{
wAllocations.RemoveAt(wAllocations.Count - 1);
}
// Each line in wLines2 will be of this format: "NASDAQ_Symbol1,AMZN" and "NASDAQ_Symbol1_Ratio,0.10"
var wLines2 = new List<string>();
for (int i = 0; i<wSymbols.Count(); i++)
{
// For debugging
// Log("wSymbols["+i+"] = " + wSymbols[i]);
// Log("wAllocations["+i+"] = " + wAllocations[i]);
string wSymbol = wSymbols[i]; // Ex: AMZN
string wAllocationDecimal = wAllocations[i]; // Ex: 0.105
wLines2.Add("NASDAQ_Symbol" + (i+1) + "," + wSymbol); // Ex: NASDAQ_Symbol1,AMZN
wLines2.Add("NASDAQ_Symbol" + (i+1) + "_Ratio," + wAllocationDecimal); // Ex: NASDAQ_Symbol1_Ratio,0.105
}
foreach (string line in wLines2)
{
List<string> wKeyVal = line.Split(',').ToList();
if (wKeyVal[0] == "") continue;
string wKey = wKeyVal[0];
string wValue = "";
if (wKeyVal.Count > 1)
{
wValue = wKeyVal[1];
}
if(!oValuesDictionary.ContainsKey(wKey))
{
oValuesDictionary.Add(wKey, wValue);
}
else
{
oValuesDictionary[wKey] = wValue;
}
}
// For debugging
// foreach (KeyValuePair<string,string> wKeyValue in oValuesDictionary)
// {
// Log("Key = " + wKeyValue.Key + " - Value = " + wKeyValue.Value);
// }
}
}
}
}
//
// Gets the symbol values from mValuesDictionary, and stores them in mSymbol1, mSymbol2, ... , mSymbol1Ratio, mSymbol2Ratio, ...
// Needs to have called UpdateDictionary() prior to this.
//
private bool RetrieveValuesFromDictionary(ref bool oSomeValueHasChanged)
{
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol1")) Log("Error: Could not retrieve parameter NASDAQ_Symbol1 from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol1_Ratio")) Log("Error: Could not retrieve parameter NASDAQ_Symbol1_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol2")) Log("Error: Could not retrieve parameter NASDAQ_Symbol2 from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol2_Ratio")) Log("Error: Could not retrieve parameter NASDAQ_Symbol2_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol3")) Log("Error: Could not retrieve parameter NASDAQ_Symbol3 from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol3_Ratio")) Log("Error: Could not retrieve parameter NASDAQ_Symbol3_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol4")) Log("Error: Could not retrieve parameter NASDAQ_Symbol4 from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol4_Ratio")) Log("Error: Could not retrieve parameter NASDAQ_Symbol4_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol5")) Log("Error: Could not retrieve parameter NASDAQ_Symbol5 from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol5_Ratio")) Log("Error: Could not retrieve parameter NASDAQ_Symbol5_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("NASDAQ_Symbol1") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol1_Ratio") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol2") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol2_Ratio") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol3") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol3_Ratio") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol4") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol4_Ratio") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol5") ||
!mValuesDictionary.ContainsKey("NASDAQ_Symbol5_Ratio"))
{
return false;
}
oSomeValueHasChanged =
mSymbol1 != mValuesDictionary["NASDAQ_Symbol1"] ||
mSymbol2 != mValuesDictionary["NASDAQ_Symbol2"] ||
mSymbol3 != mValuesDictionary["NASDAQ_Symbol3"] ||
mSymbol4 != mValuesDictionary["NASDAQ_Symbol4"] ||
mSymbol5 != mValuesDictionary["NASDAQ_Symbol5"] ||
mSymbol1Ratio != Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol1_Ratio"]) ||
mSymbol2Ratio != Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol2_Ratio"]) ||
mSymbol3Ratio != Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol3_Ratio"]) ||
mSymbol4Ratio != Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol4_Ratio"]) ||
mSymbol5Ratio != Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol5_Ratio"]);
mSymbol1 = mValuesDictionary["NASDAQ_Symbol1"];
mSymbol2 = mValuesDictionary["NASDAQ_Symbol2"];
mSymbol3 = mValuesDictionary["NASDAQ_Symbol3"];
mSymbol4 = mValuesDictionary["NASDAQ_Symbol4"];
mSymbol5 = mValuesDictionary["NASDAQ_Symbol5"];
mSymbol1Ratio = Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol1_Ratio"]);
mSymbol2Ratio = Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol2_Ratio"]);
mSymbol3Ratio = Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol3_Ratio"]);
mSymbol4Ratio = Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol4_Ratio"]);
mSymbol5Ratio = Convert.ToDecimal(mValuesDictionary["NASDAQ_Symbol5_Ratio"]);
return true;
}
}
}using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Net;
using System.Text.RegularExpressions;
namespace QuantConnect
{
/// <summary>
///
/// See here for the strategy: https://logical-invest.com/portfolio-items/the-gold-etf-currency-strategy/
///
/// This is a semi-automated algorithm that uses signals from Logical Invest, stored in a csv file on Dropbox.
///
/// </summary>
public class UIS_LI_SIGNALS : SubAlgorithm
{
// Strategy parameters
private bool mRebalanceOnChange = true;
// Other variables
private string mSymbol1 = "";
private string mSymbol2 = "";
private decimal mSymbol1Ratio = 0.0m;
private decimal mSymbol2Ratio = 0.0m;
private bool mReadyToTrade = false;
private Dictionary<string, string> mValuesDictionary;
private string mDropboxFileDirectDownloadLink = "";
public UIS_LI_SIGNALS(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute";
}
else
{
mDataFeedFrequency = "Daily";
}
mRebalanceFrequency = "Monthly";
mName = "UIS_LI_SIGNALS";
mDropboxFileDirectDownloadLink = "https://dropbox.com/s/ko9exryrs1ckojz/Algo%20Values%20Updater.csv?dl=1";
}
public override void Initialize_Specific()
{
mValuesDictionary = new Dictionary<string, string>();
ReadHistoryFromLogicalInvest("UIS", "https://logical-invest.com/wp-content/csvrepository/UIS-SPXL-TMF_return.html");
}
public override void OnData_Specific(TradeBars data)
{
UpdateDictionary(Time, ref mValuesDictionary);
if (!mKeepFeedingData)
{
bool wSomeValueHasChanged = false;
bool wSuccess = RetrieveValuesFromDictionary(ref wSomeValueHasChanged);
if (!wSuccess) return;
if (!Securities.ContainsKey(mSymbol1)) AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
if (!Securities.ContainsKey(mSymbol2)) AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
if (IsTimeToRebalance() || (mRebalanceOnChange && wSomeValueHasChanged))
{
mKeepFeedingData = true;
mReadyToTrade = true;
}
}
if (!IsDataValid(data)) return;
if (mReadyToTrade)
{
Trade(data, mSymbol1, mSymbol1Ratio, mSymbol2, mSymbol2Ratio);
mKeepFeedingData = false;
mReadyToTrade = false;
}
// TODO: Add plotting of symbols
}
protected override bool IsDataValid(TradeBars iData)
{
if (mSymbol1 == "")
{
return true; // If the required data is not yet initialized, skip this.
}
else
{
bool wValid = true;
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
return wValid;
}
}
//
// Reads the desired values from the web and stores it in oValuesDictionary (Dictionary of variable name:value)
// If in backtest mode and dates are in the past month or earlier, reads from LogicalInvest webpage directly.
// If the date is in the current month, reads from the CSV file manually maintained on Dropbox.
//
private void UpdateDictionary(DateTime iTime, ref Dictionary<string, string> oValuesDictionary)
{
DateTime wRealTime = mAlgorithm.Time;
if ((iTime.Year != wRealTime.Year) || (iTime.Month != wRealTime.Month))
{
oValuesDictionary = mHistoryDictionary[new DateTime(iTime.Year, iTime.Month, 1)];
}
else
{
using (var client = new WebClient())
{
string file = "";
try
{
// fetch the file from dropbox
file = client.DownloadString(mDropboxFileDirectDownloadLink);
}
catch
{
if (EnableLogs) Log("Error reading file from Dropbox: " + mDropboxFileDirectDownloadLink);
return;
}
var lines = file.Replace("\r", String.Empty).Split(new[] { Environment.NewLine },StringSplitOptions.None);
foreach (string line in lines)
{
List<string> wKeyVal = line.Split(',').ToList();
if (wKeyVal[0] == "") continue;
string wKey = wKeyVal[0];
string wValue = "";
if (wKeyVal.Count > 1)
{
wValue = wKeyVal[1];
}
if(!oValuesDictionary.ContainsKey(wKey))
{
oValuesDictionary.Add(wKey, wValue);
}
else
{
oValuesDictionary[wKey] = wValue;
}
}
}
}
}
//
// Gets the symbol values from mValuesDictionary, and stores them in mSymbol1, mSymbol2, ... , mSymbol1Ratio, mSymbol2Ratio, ...
// Needs to have called UpdateDictionary() prior to this.
//
private bool RetrieveValuesFromDictionary(ref bool oSomeValueHasChanged)
{
if (!mValuesDictionary.ContainsKey("UIS_Symbol1")) Log("Error: Could not retrieve parameter UIS_Symbol1 from Dropbox.");
if (!mValuesDictionary.ContainsKey("UIS_Symbol1_Ratio")) Log("Error: Could not retrieve parameter UIS_Symbol1_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("UIS_Symbol2")) Log("Error: Could not retrieve parameter UIS_Symbol2 from Dropbox.");
if (!mValuesDictionary.ContainsKey("UIS_Symbol2_Ratio")) Log("Error: Could not retrieve parameter UIS_Symbol2_Ratio from Dropbox.");
if (!mValuesDictionary.ContainsKey("UIS_Symbol1") ||
!mValuesDictionary.ContainsKey("UIS_Symbol1_Ratio") ||
!mValuesDictionary.ContainsKey("UIS_Symbol2") ||
!mValuesDictionary.ContainsKey("UIS_Symbol2_Ratio"))
{
return false;
}
oSomeValueHasChanged =
mSymbol1 != mValuesDictionary["UIS_Symbol1"] ||
mSymbol2 != mValuesDictionary["UIS_Symbol2"] ||
mSymbol1Ratio != Convert.ToDecimal(mValuesDictionary["UIS_Symbol1_Ratio"]) ||
mSymbol2Ratio != Convert.ToDecimal(mValuesDictionary["UIS_Symbol2_Ratio"]);
mSymbol1 = mValuesDictionary["UIS_Symbol1"];
mSymbol2 = mValuesDictionary["UIS_Symbol2"];
mSymbol1Ratio = Convert.ToDecimal(mValuesDictionary["UIS_Symbol1_Ratio"]);
mSymbol2Ratio = Convert.ToDecimal(mValuesDictionary["UIS_Symbol2_Ratio"]);
return true;
}
}
}using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;
using System.Linq;
namespace QuantConnect
{
/// <summary>
///
///
///
/// </summary>
public class GLDUSD : SubAlgorithm
{
// Strategy parameters
private string mSymbol1 = "GLD";
private string mSymbol2 = "EUO";
private string mSymbol3 = "CROC";
private string mSymbol4 = "YCS";
private int mMinimumRebalancePeriod = 1;
private int mSharpeLookback = 30; //30
private decimal mSharpeVolatilityFactor = 2.0m; //1.0 or 2.0
private decimal SharpeThresholdForCash = 0; // Threshold for max sharpe ratio under which the algo will go 50% cash. Needs to be tuned when changes to volatility factor are made.
private SharpeRatioCalculator mMaxSharpeCombination;
private int mDaysCounter = 0;
private List<SharpeRatioCalculator> mSrcList;
private decimal mLastRatio1 = 0;
private decimal mLastRatio2 = 0;
private decimal mLastRatio3 = 0;
private decimal mLastRatio4 = 0;
DateTime mLastHistoryCallsDate = DateTime.MinValue;
List<TradeBar> mTradeBarHistorySymbol1;
List<TradeBar> mTradeBarHistorySymbol2;
List<TradeBar> mTradeBarHistorySymbol3;
List<TradeBar> mTradeBarHistorySymbol4;
public GLDUSD(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute";
}
else
{
mDataFeedFrequency = "Monthly";
}
mRebalanceFrequency = "Monthly";
mName = "GLDUSD";
}
public override void Initialize_Specific()
{
if (EnableLogs)
{
Log("BRS Strategy: Backtesting with following parameters:");
Log("\tSymbol1 >> " + mSymbol1);
Log("\tSymbol2 >> " + mSymbol2);
Log("\tSymbol3 >> " + mSymbol3);
Log("\tSymbol4 >> " + mSymbol4);
Log("\tMinimum Rebalance Period >> " + mMinimumRebalancePeriod);
Log("\tStart year >> " + mStartYear);
Log("\tSharpe lookback >> " + mSharpeLookback);
Log("\tSharpe volatility factor >> " + mSharpeVolatilityFactor);
}
AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol3, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol4, mResolution, true, 3, false);
mTradeBarHistorySymbol1 = new List<TradeBar>();
mTradeBarHistorySymbol2 = new List<TradeBar>();
mTradeBarHistorySymbol3 = new List<TradeBar>();
mTradeBarHistorySymbol4 = new List<TradeBar>();
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
}
public override void OnData_Specific(TradeBars data)
{
mDaysCounter = mDaysCounter - 1;
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
decimal wRatio1 = 0.0m;
decimal wRatio2 = 0.0m;
decimal wRatio3 = 0.0m;
decimal wRatio4 = 0.0m;
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
// If the maximum sharpe ratio combination yields a sharpe ratio below SharpeThresholdForCash, then reduce ratios by 50% and invest 50% in cash
if (mMaxSharpeCombination < SharpeThresholdForCash)
{
for (int i=0; i<mMaxSharpeCombination.mSymbolsRatios.Count(); i++)
{
mMaxSharpeCombination.mSymbolsRatios[i] = mMaxSharpeCombination.mSymbolsRatios[i] / 2;
}
}
wRatio1 = mMaxSharpeCombination.mSymbolsRatios[0];
wRatio2 = mMaxSharpeCombination.mSymbolsRatios[1];
wRatio3 = mMaxSharpeCombination.mSymbolsRatios[2];
wRatio4 = mMaxSharpeCombination.mSymbolsRatios[3];
}
if (mFirstPass == true || mDaysCounter <= 0 || mLastRatio1 != wRatio1 || mLastRatio2 != wRatio2 || mLastRatio3 != wRatio3 || mLastRatio4 != wRatio4)
{
mDaysCounter = mMinimumRebalancePeriod;
if (EnableLogs)
{
Log(" ");
Log("Rebalancing:");
}
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
if (EnableLogs) Log(" Max Sharpe Combination >> " +
mSymbol1 + " " + (mMaxSharpeCombination.mSymbolsRatios[0] * 100).ToString ("#.#") + "%, " +
mSymbol2 + " " + (mMaxSharpeCombination.mSymbolsRatios[1] * 100).ToString ("#.#") + "%, " +
mSymbol3 + " " + (mMaxSharpeCombination.mSymbolsRatios[2] * 100).ToString ("#.#") + "%, " +
mSymbol4 + " " + (mMaxSharpeCombination.mSymbolsRatios[3] * 100).ToString ("#.#") + "%.");
if (IsTimeToRebalance())
{
Trade(data,
mSymbol1, mMaxSharpeCombination.mSymbolsRatios[0],
mSymbol2, mMaxSharpeCombination.mSymbolsRatios[1],
mSymbol3, mMaxSharpeCombination.mSymbolsRatios[2],
mSymbol4, mMaxSharpeCombination.mSymbolsRatios[3]);
}
}
else
{
if (EnableLogs) Log(" Sharpe not ready >> " +
mSymbol1 + " 50%, " +
mSymbol2 + " 50%, " +
mSymbol3 + " 0%, " +
mSymbol4 + " 0%.");
if (IsTimeToRebalance())
{
// If sharpe ratio not ready yet, use a 50%-50% split
Trade(data,
mSymbol1, 0.5m,
mSymbol2, 0.5m,
mSymbol3, 0.0m,
mSymbol4, 0.0m);
}
}
mLastAllocationAmount = mAllocationAmount;
mLastRatio1 = wRatio1;
}
decimal wSymbol1Percentage;
decimal wSymbol2Percentage;
decimal wSymbol3Percentage;
decimal wSymbol4Percentage;
if (mSrcList[0].IsReady && mMaxSharpeCombination != null)
{
wSymbol1Percentage = mMaxSharpeCombination.mSymbolsRatios[0] * 100;
wSymbol2Percentage = mMaxSharpeCombination.mSymbolsRatios[1] * 100;
wSymbol3Percentage = mMaxSharpeCombination.mSymbolsRatios[2] * 100;
wSymbol4Percentage = mMaxSharpeCombination.mSymbolsRatios[3] * 100;
}
else
{
wSymbol1Percentage = 50;
wSymbol2Percentage = 50;
wSymbol3Percentage = 0;
wSymbol4Percentage = 0;
}
Plot("GLDUSD Assets Split", mSymbol1 + " (%)", wSymbol1Percentage);
Plot("GLDUSD Assets Split", mSymbol2 + " (%)", wSymbol2Percentage);
Plot("GLDUSD Assets Split", mSymbol3 + " (%)", wSymbol3Percentage);
Plot("GLDUSD Assets Split", mSymbol4 + " (%)", wSymbol4Percentage);
}
protected override bool IsDataValid(TradeBars iData)
{
bool wValid = true;
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
wValid &= iData.ContainsKey(mSymbol3);
wValid &= iData.ContainsKey(mSymbol4);
return wValid;
}
private void RecalculateSharpeRatios(int iLookback, decimal iVolatilityFactor, ref List<SharpeRatioCalculator> iSrcList)
{
iSrcList = new List<SharpeRatioCalculator>();
int granularity = 15;
for (int i=1; i<4; i++)
{
for (int j = 0; j <= granularity; j++)
{
List<decimal> wSymbolsRatios = new List<decimal> {0.0m,0.0m,0.0m,0.0m};
wSymbolsRatios[0] = 1/(decimal)granularity * j;
wSymbolsRatios[i] = 1.0m - (1/(decimal)granularity * j);
iSrcList.Add(SRC(wSymbolsRatios,iLookback,iVolatilityFactor));
}
}
// get the last 100 daily bars, once a day
if (mAlgorithm.Time.Date > mLastHistoryCallsDate.Date)
{
mLastHistoryCallsDate = mAlgorithm.Time;
mTradeBarHistorySymbol1 = History(mSymbol1, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol2 = History(mSymbol2, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol3 = History(mSymbol3, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol4 = History(mSymbol4, 100, Resolution.Daily).ToList();
}
for (int i = 0; i < mTradeBarHistorySymbol1.Count(); i++)
{
for (int j = 0; j < iSrcList.Count; j++)
{
List<TradeBar> wData = new List<TradeBar>();
wData.Add(mTradeBarHistorySymbol1[i]);
wData.Add(mTradeBarHistorySymbol2[i]);
wData.Add(mTradeBarHistorySymbol3[i]);
wData.Add(mTradeBarHistorySymbol4[i]);
iSrcList[j].AddObservation(wData);
}
}
}
}
}using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;
using System.Linq;
namespace QuantConnect
{
/// <summary>
///
/// Maximum yield rotation strategy (MYRS) as described here: https://seekingalpha.com/article/1698412-how-to-build-an-etf-rotation-strategy-with-50-percent-annualized-returns
///
/// </summary>
public class MYRS : SubAlgorithm
{
// Strategy parameters
private string mSymbol1 = "ZIV";
private string mSymbol2 = "MDY";
private string mSymbol3 = "EDV";
private string mSymbol4 = "SHY";
private int mMinimumRebalancePeriod = 1;
private int mSharpeLookback = 63;
private decimal mSharpeVolatilityFactor = 0.0m;
private SharpeRatioCalculator mMaxSharpeCombination;
private List<SharpeRatioCalculator> mSrcList;
private decimal mLastRatio1 = 0;
private decimal mLastRatio2 = 0;
private decimal mLastRatio3 = 0;
private decimal mLastRatio4 = 0;
DateTime mLastHistoryCallsDate = DateTime.MinValue;
List<TradeBar> mTradeBarHistorySymbol1;
List<TradeBar> mTradeBarHistorySymbol2;
List<TradeBar> mTradeBarHistorySymbol3;
List<TradeBar> mTradeBarHistorySymbol4;
public MYRS(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute";
}
else
{
mDataFeedFrequency = "Weekly";
}
mRebalanceFrequency = "Weekly";
mName = "MYRS";
}
public override void Initialize_Specific()
{
if (EnableLogs)
{
Log("MYRS Strategy: Backtesting with following parameters:");
Log("\tSymbol1 >> " + mSymbol1);
Log("\tSymbol2 >> " + mSymbol2);
Log("\tSymbol3 >> " + mSymbol3);
Log("\tSymbol4 >> " + mSymbol4);
Log("\tMinimum Rebalance Period >> " + mMinimumRebalancePeriod);
Log("\tStart year >> " + mStartYear);
Log("\tSharpe lookback >> " + mSharpeLookback);
Log("\tSharpe volatility factor >> " + mSharpeVolatilityFactor);
}
AddSecurity(SecurityType.Equity, mSymbol1, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol2, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol3, mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, mSymbol4, mResolution, true, 3, false);
mTradeBarHistorySymbol1 = new List<TradeBar>();
mTradeBarHistorySymbol2 = new List<TradeBar>();
mTradeBarHistorySymbol3 = new List<TradeBar>();
mTradeBarHistorySymbol4 = new List<TradeBar>();
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
}
public override void OnData_Specific(TradeBars data)
{
RecalculateSharpeRatios(mSharpeLookback, mSharpeVolatilityFactor, ref mSrcList);
decimal wRatio1 = 0.0m;
decimal wRatio2 = 0.0m;
decimal wRatio3 = 0.0m;
decimal wRatio4 = 0.0m;
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
wRatio1 = mMaxSharpeCombination.mSymbolsRatios[0];
wRatio2 = mMaxSharpeCombination.mSymbolsRatios[1];
wRatio3 = mMaxSharpeCombination.mSymbolsRatios[2];
wRatio4 = mMaxSharpeCombination.mSymbolsRatios[3];
}
if (mFirstPass == true || mLastRatio1 != wRatio1 || mLastRatio2 != wRatio2 || mLastRatio3 != wRatio3 || mLastRatio4 != wRatio4)
{
if (EnableLogs)
{
Log(" ");
Log("Rebalancing:");
}
if (mSrcList[0].IsReady)
{
mMaxSharpeCombination = mSrcList.Select( (value, index) => new { Value = value, Index = index } ).Aggregate( (a, b) => (a.Value > b.Value) ? a : b ).Value;
if (EnableLogs) Log(" Max Sharpe Combination >> " +
mSymbol1 + " " + (mMaxSharpeCombination.mSymbolsRatios[0] * 100).ToString ("#.#") + "%, " +
mSymbol2 + " " + (mMaxSharpeCombination.mSymbolsRatios[1] * 100).ToString ("#.#") + "%, " +
mSymbol3 + " " + (mMaxSharpeCombination.mSymbolsRatios[2] * 100).ToString ("#.#") + "%, " +
mSymbol4 + " " + (mMaxSharpeCombination.mSymbolsRatios[3] * 100).ToString ("#.#") + "%.");
if (IsTimeToRebalance())
{
Trade(data,
mSymbol1, mMaxSharpeCombination.mSymbolsRatios[0],
mSymbol2, mMaxSharpeCombination.mSymbolsRatios[1],
mSymbol3, mMaxSharpeCombination.mSymbolsRatios[2],
mSymbol4, mMaxSharpeCombination.mSymbolsRatios[3]);
}
}
else
{
if (EnableLogs) Log(" Sharpe not ready >> " +
mSymbol1 + " 50%, " +
mSymbol2 + " 50%, " +
mSymbol3 + " 0%, " +
mSymbol4 + " 0%.");
if (IsTimeToRebalance())
{
// If sharpe ratio not ready yet, use a 50%-50% split between ZIV and MDY
Trade(data,
mSymbol1, 0.5m,
mSymbol2, 0.5m,
mSymbol3, 0.0m,
mSymbol4, 0.0m);
}
}
mLastAllocationAmount = mAllocationAmount;
mLastRatio1 = wRatio1;
}
decimal wSymbol1Percentage;
decimal wSymbol2Percentage;
decimal wSymbol3Percentage;
decimal wSymbol4Percentage;
if (mSrcList[0].IsReady && mMaxSharpeCombination != null)
{
wSymbol1Percentage = mMaxSharpeCombination.mSymbolsRatios[0] * 100;
wSymbol2Percentage = mMaxSharpeCombination.mSymbolsRatios[1] * 100;
wSymbol3Percentage = mMaxSharpeCombination.mSymbolsRatios[2] * 100;
wSymbol4Percentage = mMaxSharpeCombination.mSymbolsRatios[3] * 100;
}
else
{
wSymbol1Percentage = 50;
wSymbol2Percentage = 50;
wSymbol3Percentage = 0;
wSymbol4Percentage = 0;
}
Plot("MYRS Assets Split", mSymbol1 + " (%)", wSymbol1Percentage);
Plot("MYRS Assets Split", mSymbol2 + " (%)", wSymbol2Percentage);
Plot("MYRS Assets Split", mSymbol3 + " (%)", wSymbol3Percentage);
Plot("MYRS Assets Split", mSymbol4 + " (%)", wSymbol4Percentage);
}
protected override bool IsDataValid(TradeBars iData)
{
bool wValid = true;
wValid &= iData.ContainsKey(mSymbol1);
wValid &= iData.ContainsKey(mSymbol2);
wValid &= iData.ContainsKey(mSymbol3);
wValid &= iData.ContainsKey(mSymbol4);
return wValid;
}
private void RecalculateSharpeRatios(int iLookback, decimal iVolatilityFactor, ref List<SharpeRatioCalculator> iSrcList)
{
iSrcList = new List<SharpeRatioCalculator>();
for (int i=0; i<4; i++)
{
List<decimal> wSymbolsRatios = new List<decimal> {0.0m,0.0m,0.0m,0.0m};
wSymbolsRatios[i] = 1.0m;
iSrcList.Add(SRC(wSymbolsRatios,iLookback,iVolatilityFactor));
}
// get the last 100 daily bars, once a day
if (mAlgorithm.Time.Date > mLastHistoryCallsDate.Date)
{
mLastHistoryCallsDate = mAlgorithm.Time;
mTradeBarHistorySymbol1 = History(mSymbol1, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol2 = History(mSymbol2, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol3 = History(mSymbol3, 100, Resolution.Daily).ToList();
mTradeBarHistorySymbol4 = History(mSymbol4, 100, Resolution.Daily).ToList();
}
for (int i = 0; i < mTradeBarHistorySymbol1.Count(); i++)
{
for (int j = 0; j < iSrcList.Count; j++)
{
List<TradeBar> wData = new List<TradeBar>();
wData.Add(mTradeBarHistorySymbol1[i]);
wData.Add(mTradeBarHistorySymbol2[i]);
wData.Add(mTradeBarHistorySymbol3[i]);
wData.Add(mTradeBarHistorySymbol4[i]);
iSrcList[j].AddObservation(wData);
}
}
}
}
}using QuantConnect.Data.Market;
using System;
using System.Collections.Generic;
using System.Linq;
namespace QuantConnect
{
/// <summary>
///
/// Re-coding of this python strategy: https://www.quantconnect.com/forum/discussion/3377/momentum-strategy-with-market-cap-and-ev-ebitda
///
/// </summary>
public class FFA : SubAlgorithm
{
protected int holding_months = 1;
protected int num_screener = 100;
protected int num_stocks = 10;
protected int formation_days = 200;
protected bool lowmom = false;
protected int month_count = 1;
private bool mReadyToTrade = false;
// rebalance the universe selection once a month
protected bool redo_symbol_selection_flag = false;
// make sure to run the universe selection at the start of the algorithm even it's not the month start
protected bool first_month_symbol_selection_flag = true;
protected int trade_flag = 0;
protected List<Symbol> symbols = null;
protected List<string> chosen_symbols = null;
protected List<decimal> ratios_list = null;
protected TradeBars mData = null;
public FFA(PortfolioOfStrategies iAlgorithm, Resolution iResolution, decimal iAllocationRatio, int iStartYear, bool iRebalanceOnLaunch) : base(iAlgorithm, iResolution, iAllocationRatio, iStartYear, iRebalanceOnLaunch)
{
if (LiveMode)
{
mDataFeedFrequency = "Minute";
}
else
{
mDataFeedFrequency = "Daily";
}
mRebalanceFrequency = "Monthly";
mName = "FundamentalFactorAlgorithm";
}
public override void Initialize_Specific()
{
month_count = holding_months;
symbols = new List<Symbol>();
chosen_symbols = new List<string>();
ratios_list = new List<decimal>();
AddSecurity(SecurityType.Equity, "SPY", mResolution, true, 3, false);
AddSecurity(SecurityType.Equity, "TLT", mResolution, true, 3, false);
mAlgorithm.UniverseSettings.Resolution = Resolution.Daily;
mAlgorithm.AddUniverse(CoarseSelectionFunction, FineSelectionFunction);
mAlgorithm.Schedule.On(mAlgorithm.DateRules.MonthEnd("SPY"), mAlgorithm.TimeRules.At(23, 0), monthly_rebalance);
//mAlgorithm.Schedule.On(mAlgorithm.DateRules.MonthStart("SPY"), mAlgorithm.TimeRules.At(10, 0), rebalance);
}
public override void OnData_Specific(TradeBars data)
{
mData = data;
rebalance();
}
protected override bool IsDataValid(TradeBars iData)
{
bool wValid = true;
wValid &= iData.ContainsKey("SPY");
wValid &= iData.ContainsKey("TLT");
foreach (string symbol in chosen_symbols)
{
wValid &= iData.ContainsKey(symbol);
}
wValid &= symbols.Count() > 0;
return wValid;
}
public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
{
if (redo_symbol_selection_flag || first_month_symbol_selection_flag)
{
List<CoarseFundamental> selected = new List<CoarseFundamental>();
List<Symbol> filtered = new List<Symbol>();
foreach (CoarseFundamental x in coarse)
{
if (x.HasFundamentalData && x.Price > 5)
{
selected.Add(x);
}
}
selected = selected.OrderByDescending(o=>o.DollarVolume).ToList();
foreach (CoarseFundamental x in selected.Take(200))
{
filtered.Add(x.Symbol);
}
return filtered;
}
else
{
return symbols;
}
}
public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
{
if (redo_symbol_selection_flag || first_month_symbol_selection_flag)
{
List<FineFundamental> filtered_fine = new List<FineFundamental>();
List<FineFundamental> top = new List<FineFundamental>();
try
{
foreach (FineFundamental x in fine)
{
if (x.ValuationRatios.EVToEBITDA > 0 &&
x.EarningReports.BasicAverageShares.ThreeMonths > 0 &&
x.EarningReports.BasicAverageShares.ThreeMonths * (x.EarningReports.BasicEPS.TwelveMonths*x.ValuationRatios.PERatio) > 2000000000)
{
filtered_fine.Add(x);
}
}
}
catch (Exception e)
{
filtered_fine.Clear();
foreach (FineFundamental x in fine)
{
if (x.ValuationRatios.EVToEBITDA > 0 &&
x.EarningReports.BasicAverageShares.ThreeMonths > 0)
{
filtered_fine.Add(x);
}
}
}
top = filtered_fine.OrderByDescending(o=>o.ValuationRatios.EVToEBITDA).ToList().Take(num_screener).ToList();
symbols.Clear();
foreach (FineFundamental x in top)
{
symbols.Add(x.Symbol);
}
redo_symbol_selection_flag = false;
if(symbols.Count() > 0)
{
first_month_symbol_selection_flag = false;
}
}
return symbols;
}
protected void monthly_rebalance()
{
redo_symbol_selection_flag = true;
}
protected void rebalance()
{
if (IsTimeToRebalance() && !mKeepFeedingData)
{
IEnumerable<TradeBar> hist = mAlgorithm.History("SPY", 120, Resolution.Daily);
List<decimal> spy_hist = new List<decimal>();
foreach (TradeBar tradebar in hist)
{
spy_hist.Add(tradebar.Close);
}
decimal average = spy_hist.Count > 0 ? spy_hist.Average() : 0.0m;
if (mData["SPY"].Price < average)
{
Trade(mData, "TLT", 1.0m);
chosen_symbols.Clear();
return;
}
if (symbols.Count() == 0) return;
chosen_symbols = calc_return(symbols).Take(num_stocks).ToList();
foreach (string symbol in chosen_symbols)
{
Log("rebalance: " + symbol);
}
decimal wRatio = 1.0m/num_stocks;
ratios_list = new List<decimal>();
for (int i=0; i<num_stocks; i++)
{
ratios_list.Add(wRatio);
}
foreach (string symbol in chosen_symbols)
{
AddSecurity(SecurityType.Equity, symbol, mResolution, true, 3, false);
}
mKeepFeedingData = true;
mReadyToTrade = true;
}
if (!IsDataValid(mData))
{
foreach (string symbol in chosen_symbols)
{
if(mData.ContainsKey(symbol))
{
Log(" - " + symbol + " ok. Price = " + mData[symbol].Close);
}
else
{
Log(" - " + symbol + " not in mData.");
}
}
return;
}
if (mReadyToTrade)
{
Trade(mData,chosen_symbols,ratios_list);
mKeepFeedingData = false;
mReadyToTrade = false;
}
}
protected List<string> calc_return(List<Symbol> stocks)
{
IEnumerable<Slice> hist = mAlgorithm.History(stocks, formation_days, Resolution.Daily);
IEnumerable<Slice> current = mAlgorithm.History(stocks, 1, Resolution.Minute);
Dictionary<string,List<decimal>> price = new Dictionary<string,List<decimal>>();
Dictionary<string,decimal> ret = new Dictionary<string,decimal>();
foreach (Symbol symbol in stocks)
{
if (symbol.Value == "UPL") continue; // For some weird reason, symbol UPL messes up the data in backtest mode, in 2004 and 2005. So ignore this symbol.
price[symbol.Value] = new List<decimal>();
foreach(Slice slice in hist)
{
if(slice.ContainsKey(symbol))
{
price[symbol.Value].Add(slice[symbol].Close);
}
}
foreach(Slice slice in current)
{
if(slice.ContainsKey(symbol))
{
price[symbol.Value].Add(slice[symbol].Close);
}
}
}
int priceCount;
foreach (string symbol in price.Keys)
{
priceCount = price[symbol].Count;
ret[symbol] = (price[symbol][priceCount - 1] - price[symbol][0]) / price[symbol][0];
}
var sort_return = ret.ToList();
if (lowmom)
{
sort_return = sort_return.OrderBy(o=>o.Value).ToList();
}
else
{
sort_return = sort_return.OrderByDescending(o=>o.Value).ToList();
}
List<string> selectedSymbols = new List<string>();
foreach (KeyValuePair<string,decimal> keyVal in sort_return)
{
selectedSymbols.Add(keyVal.Key);
}
return selectedSymbols;
}
}
}