Overall Statistics
Total Trades
8491
Average Win
0.09%
Average Loss
-0.03%
Compounding Annual Return
18.908%
Drawdown
13.800%
Expectancy
2.086
Net Profit
961.640%
Sharpe Ratio
1.724
Probabilistic Sharpe Ratio
99.250%
Loss Rate
30%
Win Rate
70%
Profit-Loss Ratio
3.39
Alpha
0.14
Beta
0.174
Annual Standard Deviation
0.092
Annual Variance
0.008
Information Ratio
0.306
Tracking Error
0.175
Treynor Ratio
0.907
Total Fees
$9748.85
Estimated Strategy Capacity
$5200000.00
Lowest Capacity Asset
IEF SGNKIKYGE9NP
import numpy as np
from scipy.optimize import minimize

class CustomPortfolioOptimizer:
    
    '''
    Description:
        Implementation of a custom optimizer that calculates the weights for each asset to optimize a given objective function
    Details:
        Optimization can be:
            - Maximize Portfolio Sharpe Ratio
            - Maximize Portfolio Sortino Ratio
            - Maximize Portfolio Return
            - Minimize Portfolio Standard Deviation
            - Risk Parity Portfolio
        Constraints:
            - Weights must be between some given boundaries
            - Weights must sum to 1
    '''
    
    def __init__(self, 
                 minWeight = -1,
                 maxWeight = 1,
                 objFunction = 'std'):
                     
        '''
        Description:
            Initialize the CustomPortfolioOptimizer
        Args:
            minWeight(float): The lower bound on portfolio weights
            maxWeight(float): The upper bound on portfolio weights
            objFunction: The objective function to optimize (sharpe, sortino, return, std, riskParity)
        '''
        
        self.minWeight = minWeight
        self.maxWeight = maxWeight
        self.objFunction = objFunction

    def Optimize(self, historicalLogReturns):
        
        '''
        Description:
            Perform portfolio optimization using a provided matrix of historical returns and covariance (optional)
        Args:
            historicalLogReturns: Matrix of historical log-returns where each column represents a security and each row log-returns for the given date/time (size: K x N)
        Returns:
            Array of double with the portfolio weights (size: K x 1)
        '''
        
        # get sample covariance matrix
        covariance = historicalLogReturns.cov()
            
        # get the sample covariance matrix of only negative returns for sortino ratio
        historicalNegativeLogReturns = historicalLogReturns[historicalLogReturns < 0]
        covarianceNegativeReturns = historicalNegativeLogReturns.cov()

        size = historicalLogReturns.columns.size # K x 1
        x0 = np.array(size * [1. / size])
        
        # apply equality constraints
        constraints = ({'type': 'eq', 'fun': lambda weights: self.GetBudgetConstraint(weights)})

        opt = minimize(lambda weights: self.ObjectiveFunction(weights, historicalLogReturns,
                                                                covariance, covarianceNegativeReturns),     # Objective function
                        x0,                                                                                 # Initial guess
                        bounds = self.GetBoundaryConditions(size),                                          # Bounds for variables
                        constraints = constraints,                                                          # Constraints definition
                        method = 'SLSQP')                                                                   # Optimization method: Sequential Least Squares Programming
                        
        return opt['x']

    def ObjectiveFunction(self, weights, historicalLogReturns, covariance, covarianceNegativeReturns):
        
        '''
        Description:
            Compute the objective function
        Args:
            weights: Portfolio weights
            historicalLogReturns: Matrix of historical log-returns
            covariance: Covariance matrix of historical log-returns
        '''
        
        # calculate the annual return of portfolio
        annualizedPortfolioReturns = np.sum(historicalLogReturns.mean() * 252 * weights)

        # calculate the annual standard deviation of portfolio
        annualizedPortfolioStd = np.sqrt( np.dot(weights.T, np.dot(covariance * 252, weights)) )
        
        annualizedPortfolioNegativeStd = np.sqrt( np.dot(weights.T, np.dot(covarianceNegativeReturns * 252, weights)) )
        
        if annualizedPortfolioStd == 0 or annualizedPortfolioNegativeStd == 0:
            raise ValueError(f'CustomPortfolioOptimizer.ObjectiveFunction: annualizedPortfolioStd/annualizedPortfolioNegativeStd cannot be zero. Weights: {weights}')
        
        # calculate annual sharpe ratio of portfolio
        annualizedPortfolioSharpeRatio = (annualizedPortfolioReturns / annualizedPortfolioStd)
        
        # calculate annual sortino ratio of portfolio
        annualizedPortfolioSortinoRatio = (annualizedPortfolioReturns / annualizedPortfolioNegativeStd)
        
        # Spuni's formulation for risk parity portfolio
        size = historicalLogReturns.columns.size
        assetsRiskBudget = np.array(size * [1. / size])
        portfolioVolatility = np.sqrt( np.dot(weights.T, np.dot(covariance, weights)) )
        x = weights / portfolioVolatility
        riskParity = (np.dot(x.T, np.dot(covariance, x)) / 2) - np.dot(assetsRiskBudget.T, np.log(x))
            
        if self.objFunction == 'sharpe':
            return -annualizedPortfolioSharpeRatio # convert to negative to be minimized
        elif self.objFunction == 'sortino':
            return -annualizedPortfolioSortinoRatio # convert to negative to be minimized
        elif self.objFunction == 'return':
            return -annualizedPortfolioReturns # convert to negative to be minimized
        elif self.objFunction == 'std':
            return annualizedPortfolioStd
        elif self.objFunction == 'riskParity':
            return riskParity
        else:
            raise ValueError(f'CustomPortfolioOptimizer.ObjectiveFunction: objFunction input has to be one of sharpe, sortino, return, std or riskParity')

    def GetBoundaryConditions(self, size):
        
        ''' Create the boundary condition for the portfolio weights '''
        
        return tuple((self.minWeight, self.maxWeight) for x in range(size))

    def GetBudgetConstraint(self, weights):
        
        ''' Define a budget constraint: the sum of the weights equal to 1 '''
        
        return np.sum(weights) - 1
"""
Based on 'In & Out' strategy by Peter Guenther 10-04-2020
expanded/inspired by Tentor Testivis, Dan Whitnable (Quantopian), Vladimir, and Thomas Chang.

https://www.quantopian.com/posts/new-strategy-in-and-out
"""

# Import packages
import numpy as np
import pandas as pd
import scipy as sc
from QuantConnect.DataSource import *
#from PortfolioOptimizer import *
from optimizer import CustomPortfolioOptimizer

class InOut(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2008, 1, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Daily

        # Feed-in constants
        self.INI_WAIT_DAYS = 15  # out for 3 trading weeks

        res = Resolution.Minute
        
        self.vix = 'CBOE/VIX'
        self.vxv = 'CBOE/VXV'
       
        self.AddData(QuandlVix, self.vix, Resolution.Daily)
        self.AddData(Quandl, self.vxv, Resolution.Daily)
        self.AddData(QuandlTreasuryRates, 'USTREASURY/YIELD', Resolution.Daily)
       
        self.SetWarmUp(100, Resolution.Daily)
       
        self.vix_sma_long = self.SMA(self.vix, 15, Resolution.Daily)
        self.vxv_sma_long = self.SMA(self.vxv, 15, Resolution.Daily)
        self.ratio_long = IndicatorExtensions.Over(self.vxv_sma_long, self.vix_sma_long)
       
       

        self.MRKT = self.AddEquity('QQQ', res).Symbol
        self.SPY = self.AddEquity('SPY', res).Symbol
        self.TLT = self.AddEquity('TLT', res).Symbol
        self.IEF = self.AddEquity('IEF', res).Symbol
        self.IEI = self.AddEquity('IEI', res).Symbol
        
        self.SetWarmup(200)
        self.spySMA = self.SMA("SPY", 150, Resolution.Daily)

        # Market and list of signals based on ETFs
        self.PRDC = self.AddEquity('XLI', res).Symbol  # production (industrials)
        self.METL = self.AddEquity('DBB', res).Symbol  # input prices (metals)
        self.NRES = self.AddEquity('IGE', res).Symbol  # input prices (natural res)
        self.DEBT = self.AddEquity('SHY', res).Symbol  # cost of debt (bond yield)
        self.USDX = self.AddEquity('UUP', res).Symbol  # safe haven (USD)
        self.GOLD = self.AddEquity('GLD', res).Symbol  # gold
        self.SLVA = self.AddEquity('SLV', res).Symbol  # VS silver
        self.UTIL = self.AddEquity('XLU', res).Symbol  # utilities
        self.SHCU = self.AddEquity('FXF', res).Symbol  # safe haven (CHF)
        self.RICU = self.AddEquity('FXA', res).Symbol  # risk currency (AUD)
        self.INDU = self.PRDC  # vs industrials

        self.FORPAIRS = [self.GOLD, self.SLVA, self.UTIL, self.SHCU, self.RICU]
        self.SIGNALS = [self.PRDC, self.METL, self.NRES, self.DEBT, self.USDX]

        # 'In' and 'out' holdings incl. weights
        self.HLD_IN = {self.MRKT: 1.0}
        self.HLD_OUT = {self.TLT: 0, self.IEF: 1}
        
        self.dictParameters = {
                        'SPY':
                                {'addTicker':
                                    [True, 'QQQ'], # [boolean to add/not add the ticker, ticker to actually trade]
                                'sma':
                                    [200, (-0.10, 0.10), 0], # [period, (lower % threshold, upper % threshold; price vs sma), weight if condition met]
                                'macd':
                                    [(231, 567, 168), 0, 0.3], # [(fast, slow, signal), score macd vs signal (-1 to 1), weight if condition met]
                                'yield':
                                    [True, 0], # [boolean to activate the yield curve filtering, weight if condition met]
                                'atrTrailStop':
                                    [True, (10, 63, 1), 6, 0.1]}, # [activate, (recentAtrPeriod, pastAtrPeriod, % above), atrMultiple, emergencyAtrMultiple]
                        'TLT':
                                {'addTicker':
                                    [True, 'TLT'], # [boolean to add/not add the ticker, ticker to actually trade]
                                'sma':
                                    [600, (-0.2, 0.2), 0], # [period, (lower % threshold, upper % threshold; price vs sma), weight if condition met]
                                'macd':
                                    [(63, 168, 42), 0, 0], # [(fast, slow, signal), score macd vs signal (-1 to 1), weight if condition met]
                                'yield':
                                    [False, 0], # [boolean to activate the yield curve filtering, weight if condition met]
                                'atrTrailStop':
                                    [True, (10, 63, 0.35), 6, 0.1]}, # [activate, (recentAtrPeriod, pastAtrPeriod, % above), atrMultiple, emergencyAtrMultiple]
                        
                        }
        
        self.StocksWeightInOut = 0
        self.BondsWeightInOut = 0
        self.StocksWeightVolatility = 0
        self.BondsWeightVolatility = 0
        self.StocksWeightMA = 0
        self.BondsWeightMA = 0
        self.StocksWeightPO = 0
        self.BondsWeightPO = 0
        self.StocksWeight = 0
        self.BondsWeight = 0 
        self.CashWeight = 0 

        # Initialize variables
        ## 'In'/'out' indicator
        self.be_in = 1
        ## Day count variables
        self.dcount = 0  # count of total days since start
        self.outday = 0  # dcount when self.be_in=0
        ## Flexi wait days
        self.WDadjvar = self.INI_WAIT_DAYS
        
        self.InAndOutFactor = 0.35
        self.VolatilityFactor = 0.15
        self.MovingAverageFactor = 0.15
        self.POFactor = 0.35
        
        self.lookbackOptimization = 63
        self.activateWeightFiltering = True # activate/deactivate the weights filtering
        self.lookbackNegativeYield = 147 # number of days to lookback for negative values
        self.startCrisisYieldValue = 0.3 # the yield value above which we apply the yield weight condition (e.g. 0.1 0.1% yield)
       
        self.Schedule.On(self.DateRules.MonthStart(),self.TimeRules.AfterMarketOpen('SPY', 10), self.MovingAverageTrade)
        self.Schedule.On(self.DateRules.MonthStart(),self.TimeRules.AfterMarketOpen('SPY', 20), self.PortfolioOptimizerTrade)
        self.Schedule.On(self.DateRules.EveryDay(),self.TimeRules.AfterMarketOpen('SPY', 30), self.rebalance_when_out_of_the_market)
        self.Schedule.On(self.DateRules.WeekEnd(),self.TimeRules.AfterMarketOpen('SPY', 60), self.rebalance_when_in_the_market)
        self.Schedule.On(self.DateRules.EveryDay(),self.TimeRules.AfterMarketOpen('SPY', 90), self.VolatilityTrade)
        self.Schedule.On(self.DateRules.EveryDay(),self.TimeRules.AfterMarketOpen('SPY', 120), self.placeTrades)
        
        WeightsPlot = Chart('Weights')
        WeightsPlot.AddSeries(Series('Stocks', SeriesType.Line, '%'))
        WeightsPlot.AddSeries(Series('Bonds', SeriesType.Line, '%'))
        WeightsPlot.AddSeries(Series('Cash', SeriesType.Line, '%'))
        self.AddChart(WeightsPlot)
        

    def placeTrades(self):
    
        self.StocksWeight = self.StocksWeightInOut + self.StocksWeightVolatility + self.StocksWeightMA + self.StocksWeightPO
        self.BondsWeight = self.BondsWeightInOut + self.BondsWeightVolatility + self.BondsWeightMA + self.BondsWeightPO
        self.totalLeverage = self.InAndOutFactor + self.VolatilityFactor + self.MovingAverageFactor  + self.POFactor 
        self.CashWeight = round((self.totalLeverage - self.StocksWeight - self.BondsWeight)*100)/100
        
        
        self.Log('InOut Weights -- StocksWeight      : ' + str(self.StocksWeightInOut) + ' BondsWeight: ' + str(self.BondsWeightInOut))
        self.Log('Volatility Weights -- StocksWeight : ' + str(self.StocksWeightVolatility) + ' BondsWeight: ' + str(self.BondsWeightVolatility))
        self.Log('MA Weights -- StocksWeight         : ' + str(self.StocksWeightMA) + ' BondsWeight: ' + str(self.BondsWeightMA))
        self.Log('Overall Weights -- StocksWeight    : ' + str(self.StocksWeight) + ' BondsWeight: ' + str(self.BondsWeight) + ' CashWeight: ' + str(self.CashWeight))
 
        self.SetHoldings("QQQ", self.StocksWeight)
        self.SetHoldings("TLT", self.BondsWeight)
        self.SetHoldings("IEF", self.CashWeight)
        
        
        self.Plot("Weights", "Stocks", self.StocksWeight)
        self.Plot("Weights", "Bonds", self.BondsWeight)
        self.Plot("Weights", "Cash", self.CashWeight)
        
        #self.Plot("PO Weights", "Stocks", self.StocksWeightPO/self.POFactor)
        #self.Plot("PO Weights", "Bonds", self.BondsWeightPO/self.POFactor)
        
        
    def rebalance_when_out_of_the_market(self):
        # Returns sample to detect extreme observations
        hist = self.History(
            self.SIGNALS + [self.MRKT] + self.FORPAIRS, 252, Resolution.Daily)['close'].unstack(level=0).dropna()

        # hist_shift = hist.rolling(66).apply(lambda x: x[:11].mean())

        hist_shift = hist.apply(lambda x: (x.shift(65) + x.shift(64) + x.shift(63) + x.shift(62) + x.shift(
            61) + x.shift(60) + x.shift(59) + x.shift(58) + x.shift(57) + x.shift(56) + x.shift(55)) / 11)
        
        #hist_shift = hist.apply(lambda x: (x.shift(63) + x.shift(63) + x.shift(63) + x.shift(63) + x.shift(
        #    63) + x.shift(63) + x.shift(63) + x.shift(63) + x.shift(63) + x.shift(63) + x.shift(63)) / 11)


        returns_sample = (hist / hist_shift - 1)
        # Reverse code USDX: sort largest changes to bottom
        returns_sample[self.USDX] = returns_sample[self.USDX] * (-1)
        # For pairs, take returns differential, reverse coded
        returns_sample['G_S'] = -(returns_sample[self.GOLD] - returns_sample[self.SLVA])
        returns_sample['U_I'] = -(returns_sample[self.UTIL] - returns_sample[self.INDU])
        returns_sample['C_A'] = -(returns_sample[self.SHCU] - returns_sample[self.RICU])    
        self.pairlist = ['G_S', 'U_I', 'C_A']

        # Extreme observations; statist. significance = 1%
        pctl_b = np.nanpercentile(returns_sample, 1, axis=0)
        extreme_b = returns_sample.iloc[-1] < pctl_b

        # Determine waitdays empirically via safe haven excess returns, 50% decay
        self.WDadjvar = int(
            max(0.50 * self.WDadjvar,
                self.INI_WAIT_DAYS * max(1,
                                         #returns_sample[self.GOLD].iloc[-1] / returns_sample[self.SLVA].iloc[-1],
                                         #returns_sample[self.UTIL].iloc[-1] / returns_sample[self.INDU].iloc[-1],
                                         #returns_sample[self.SHCU].iloc[-1] / returns_sample[self.RICU].iloc[-1]
                                         np.where((returns_sample[self.GOLD].iloc[-1]>0) & (returns_sample[self.SLVA].iloc[-1]<0) & (returns_sample[self.SLVA].iloc[-2]>0), self.INI_WAIT_DAYS, 1),
                                         np.where((returns_sample[self.UTIL].iloc[-1]>0) & (returns_sample[self.INDU].iloc[-1]<0) & (returns_sample[self.INDU].iloc[-2]>0), self.INI_WAIT_DAYS, 1),
                                         np.where((returns_sample[self.SHCU].iloc[-1]>0) & (returns_sample[self.RICU].iloc[-1]<0) & (returns_sample[self.RICU].iloc[-2]>0), self.INI_WAIT_DAYS, 1)
                                         ))
        )
        adjwaitdays = min(60, self.WDadjvar)

        # self.Debug('{}'.format(self.WDadjvar))

        # Determine whether 'in' or 'out' of the market
        if (extreme_b[self.SIGNALS + self.pairlist]).any():
            self.be_in = False
            self.outday = self.dcount
        if self.dcount >= self.outday + adjwaitdays:
            self.be_in = True
        self.dcount += 1

        # Swap to 'out' assets if applicable
        if not self.be_in:
            # Close 'In' holdings
            for asset, weight in self.HLD_IN.items():
                self.StocksWeightInOut = 0

            for asset, weight in self.HLD_OUT.items():
                self.BondsWeightInOut = weight*self.InAndOutFactor
                


    def rebalance_when_in_the_market(self):
        # Swap to 'in' assets if applicable
        if self.be_in:
            # Close 'Out' holdings
            for asset, weight in self.HLD_OUT.items():
                self.BondsWeightInOut = 0

            for asset, weight in self.HLD_IN.items():
                self.StocksWeightInOut = weight*self.InAndOutFactor
                
        
                
    def VolatilityTrade(self):
        if not (self.vix_sma_long.IsReady or self.vxv_sma_long.IsReady or self.ratio_long.IsReady): 
            return

        
        if self.ratio_long.Current.Value >= 1.25:
            
            self.BondsWeightVolatility =  0
            self.StocksWeightVolatility =  1*self.VolatilityFactor
            
        elif self.ratio_long.Current.Value >= 0.923:
                
            self.BondsWeightVolatility =  0.2*self.VolatilityFactor
            self.StocksWeightVolatility = 0.8*self.VolatilityFactor
            
            
        else:
        
            self.BondsWeightVolatility =  0.8*self.VolatilityFactor
            self.StocksWeightVolatility = 0.2*self.VolatilityFactor
            
    def MovingAverageTrade(self):
        
        if self.spySMA is None or not self.spySMA.IsReady: 
            return

        if self.Securities["SPY"].Price >= self.spySMA.Current.Value*1.10:
            self.BondsWeightMA =  0.2*self.MovingAverageFactor
            self.StocksWeightMA = 0.8*self.MovingAverageFactor
            
            
        
        elif self.Securities["SPY"].Price >= self.spySMA.Current.Value:
            self.BondsWeightMA =  0.2*self.MovingAverageFactor
            self.StocksWeightMA = 0.8*self.MovingAverageFactor
            
            
            
        else:
            self.BondsWeightMA =  0.8*self.MovingAverageFactor
            self.StocksWeightMA = 0.2*self.MovingAverageFactor
           
    def PortfolioOptimizerTrade(self):
        
       
        # initialize the optimizer
        calculationSymbols = []
        weights = {}
        self.optimizer = CustomPortfolioOptimizer(minWeight = 0, maxWeight = 1, objFunction = "std")
        
        for ticker in self.dictParameters.keys():
            calculationSymbols.append(self.Symbol(ticker))
            
        history = self.History(calculationSymbols, 900, Resolution.Daily)
        calculations = {}
        
        for symbol in calculationSymbols:
            calculations[symbol] = SymbolData(symbol, dictParameters = self.dictParameters)
            calculations[symbol].CalculateLogReturnSeries(history, self.lookbackOptimization)
            calculations[symbol].UpdateIndicators(history)
                    
        logReturnsDict = { symbol.Value: symbolData.logReturnSeries for symbol, symbolData in calculations.items() }
        logReturnsDf = pd.DataFrame(logReturnsDict)
        listTickers = list(logReturnsDf.columns)
        
        listOptWeights = self.optimizer.Optimize(historicalLogReturns = logReturnsDf)
        
        # create dictionary with the optimal weights by symbol
        weights = {listTickers[i]: listOptWeights[i] for i in range(len(listTickers))}
        
        # avoid very small numbers and make them 0
        for ticker, weight in weights.items():
            if weight <= 1e-10:
                weights[ticker] = 0
                
        filteredWeights = self.FilterOptimalWeights(calculations, weights)
            
        self.BondsWeightPO = filteredWeights["TLT"]*self.POFactor
        self.StocksWeightPO = filteredWeights["SPY"]*self.POFactor
    
    def FilterOptimalWeights(self, calculations, optWeights):
        
        # check the yield condition -----------------------------------------------------------------
        # get the last six months of historical USTREASURY/YIELD values
        histYield = self.History(['USTREASURY/YIELD'], self.lookbackNegativeYield + 1, Resolution.Daily).loc['USTREASURY/YIELD']
        tenYr = histYield['10 yr'] # get the 10-year yield
        threeMo = histYield['3 mo'] # get the 3-month yield
        tenYrMinusThreeMo = tenYr - threeMo # calculate the difference between the two
        indexNegative = tenYrMinusThreeMo[tenYrMinusThreeMo < 0].head(1).index
        # check if there was actually some negative yield values
        if len(indexNegative) > 0:
            cutOff = indexNegative[0]
            # filter the series for days after that day with negative value
            afterNegative = tenYrMinusThreeMo[tenYrMinusThreeMo.index > cutOff]
            # check if at some point it reached our startCrisisYieldValue
            if len(afterNegative) > 0 and max(afterNegative) > self.startCrisisYieldValue:
                self.yieldSignalCrisis = True
            else:
                self.yieldSignalCrisis = False
        else:
            self.yieldSignalCrisis = False
        # -------------------------------------------------------------------------------------------
        
        # empty dicitonary to store weights
        weights = {}
        
        # loop through calculations and check conditions for weight filtering ------------------------
        for symbol, symbolData in calculations.items():
            if symbolData.SMA.IsReady and symbolData.MACD.IsReady:
                currentPrice = self.ActiveSecurities[symbol].Price

                # check if sma condition is met and act accordingly ----------------------------------
                smaLowerBoundCondition = self.dictParameters[symbol.Value]['sma'][1][0]
                smaUpperBoundCondition = self.dictParameters[symbol.Value]['sma'][1][1]
                smaConditionWeight = self.dictParameters[symbol.Value]['sma'][2]
                
                if (currentPrice <= symbolData.SMA.Current.Value * (1 + smaLowerBoundCondition)
                or currentPrice >= symbolData.SMA.Current.Value * (1 + smaUpperBoundCondition)):
                    weights[symbol.Value] = min(optWeights[symbol.Value], smaConditionWeight)
                    
                else:
                    weights[symbol.Value] = optWeights[symbol.Value]
                    
                smaModifiedWeight = weights[symbol.Value]
                
                # check if macd condition is met and act accordingly ----------------------------------
                macdCondition = self.dictParameters[symbol.Value]['macd'][1]
                macdConditionWeight = self.dictParameters[symbol.Value]['macd'][2]
                # calculate our macd vs signal score between -1 and 1
                macdMinusSignal = symbolData.MACD.Current.Value - symbolData.MACD.Signal.Current.Value
                macdVsSignalScore = macdMinusSignal / (1 + abs(macdMinusSignal))
                
                if macdVsSignalScore <= macdCondition:
                    weights[symbol.Value] = min(smaModifiedWeight, macdConditionWeight)
                    
                else:
                    weights[symbol.Value] = smaModifiedWeight
                    
                macdModifiedWeight = weights[symbol.Value]
                
                # check if yield condition is met and act accordingly ----------------------------------
                activateYield = self.dictParameters[symbol.Value]['yield'][0]
                yieldConditionWeight = self.dictParameters[symbol.Value]['yield'][1]
                
                if self.yieldSignalCrisis and activateYield:
                    weights[symbol.Value] = min(macdModifiedWeight, yieldConditionWeight)
                   
                else:
                    weights[symbol.Value] = macdModifiedWeight
               
                    
            else:
                weights[symbol.Value] = 0
                

        return weights   
        
        
class SymbolData:
    
    ''' Contain data specific to a symbol required by this model '''
    
    def __init__(self, symbol, dictParameters):
        
        self.Symbol = symbol
        self.logReturnSeries = None
        
        smaPeriod = dictParameters[symbol.Value]['sma'][0]
        self.SMA = SimpleMovingAverage(smaPeriod)
        
        macdFastPeriod = dictParameters[self.Symbol.Value]['macd'][0][0]
        macdSlowPeriod = dictParameters[self.Symbol.Value]['macd'][0][1]
        macdSignalPeriod = dictParameters[self.Symbol.Value]['macd'][0][2]
        self.MACD = MovingAverageConvergenceDivergence(macdFastPeriod, macdSlowPeriod, macdSignalPeriod, MovingAverageType.Exponential)
    
    def CalculateLogReturnSeries(self, history, lookbackOptimization):
        
        ''' Calculate the log-returns series for each security '''
        
        tempLogReturnSeries = np.log(1 + history.loc[str(self.Symbol)]['close'].pct_change(periods = 2).dropna()) # 1-day log-returns
        self.logReturnSeries = tempLogReturnSeries[-lookbackOptimization:]
        
    def UpdateIndicators(self, history):
        
        ''' Update the indicators with historical data '''
        
        for index, row in history.loc[str(self.Symbol)].iterrows():
            self.SMA.Update(index, row['close'])
            self.MACD.Update(index, row['close'])
            
class QuandlVix(PythonQuandl):
   
    def __init__(self):
        self.ValueColumnName = "Close"
        
class QuandlTreasuryRates(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = 'value'