from AlgorithmImports import *

from pypfopt.efficient_frontier import EfficientFrontier, EfficientCVaR
from pypfopt import risk_models, expected_returns, objective_functions, CovarianceShrinkage, CLA
from pypfopt.exceptions import OptimizationError
from pypfopt.discrete_allocation import DiscreteAllocation, get_latest_prices
import pandas as pd
from math import floor

def add_months(current_date, months_to_add):
    year = current_date.year
    month = current_date.month + months_to_add
    while month > 12:
        year += 1
        month -= 12
    new_date = datetime(year,month,1)
    while new_date.weekday() >= 5:
        new_date += timedelta(days=1)
    return new_date

class MyAlgorithm(QCAlgorithm):

    def change(self, before, after):
        diff = after-before
        return diff/before

    def OnEndOfAlgorithm(self):
        self.Liquidate()

    def Initialize(self):
        self.set_benchmark("SPY")

        self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE, AccountType.Cash)
        # sp500 tickers from February 10 2010
        # https://web.archive.org/web/20100210015201/https://en.wikipedia.org/wiki/List_of_S%26P_500_companies
        #self.tickers = ['MMM', 'ABT', 'ANF', 'ADBE', 'AMD', 'AES', 'AET', 'ACS', 'AFL', 'A', 'APD', 'AKAM', 'AKS', 'AA', 'AYE', 'ATI', 'AGN', 'ALL', 'ALTR', 'MO', 'AMZN', 'AEE', 'AEP', 'AXP', 'AIG', 'AMT', 'AMP', 'ABC', 'AMGN', 'APC', 'ADI', 'AON', 'APA', 'AIV', 'APOL', 'AAPL', 'AMAT', 'ADM', 'ASH', 'AIZ', 'T', 'ADSK', 'ADP', 'AN', 'AZO', 'AVB', 'AVY', 'AVP', 'BHI', 'BLL', 'BAC', 'BK', 'BCR', 'BAX', 'BBT', 'BDX', 'BBBY', 'BMS', 'BRK.B', 'BBY', 'BIG', 'BIIB', 'BJS', 'BDK', 'HRB', 'BMC', 'BA', 'BXP', 'BSX', 'BMY', 'BRCM', 'BF.B', 'CHRW', 'CA', 'COG', 'CAM', 'CPB', 'COF', 'CAH', 'CFN', 'CCL', 'CAT', 'CBG', 'CBS', 'CELG', 'CNP', 'CTL', 'CEPH', 'CF', 'SCHW', 'CHK', 'CVX', 'CB', 'CI', 'CINF', 'CTAS', 'CSCO', 'C', 'CTXS', 'CLF', 'CLX', 'CME', 'CMS', 'COH', 'KO', 'CCE', 'CTSH', 'CL', 'CMCSA', 'CMA', 'CSC', 'CPWR', 'CAG', 'COP', 'CNX', 'ED', 'STZ', 'CEG', 'CBE', 'GLW', 'COST', 'CVH', 'CSX', 'CMI', 'CVS', 'DHI', 'DHR', 'DRI', 'DVA', 'DF', 'DE', 'DELL', 'DNR', 'XRAY', 'DVN', 'DV', 'DO', 'DTV', 'DFS', 'D', 'RRD', 'DOV', 'DOW', 'DPS', 'DTE', 'DD', 'DUK', 'DNB', 'ETFC', 'EMN', 'EK', 'ETN', 'EBAY', 'ECL', 'EIX', 'EP', 'ERTS', 'EMC', 'EMR', 'ETR', 'EOG', 'EQT', 'EFX', 'EQR', 'EL', 'EXC', 'EXPE', 'EXPD', 'ESRX', 'XOM', 'FDO', 'FAST', 'FII', 'FDX', 'FIS', 'FITB', 'FHN', 'FSLR', 'FE', 'FISV', 'FLIR', 'FLS', 'FLR', 'FMC', 'FTI', 'F', 'FRX', 'FO', 'FPL', 'BEN', 'FCX', 'FTR', 'GCI', 'GPS', 'GD', 'GE', 'GIS', 'GPC', 'GNW', 'GENZ', 'GILD', 'GS', 'GR', 'GT', 'GOOG', 'GWW', 'HAL', 'HOG', 'HAR', 'HRS', 'HIG', 'HAS', 'HCP', 'HCN', 'HNZ', 'HES', 'HPQ', 'HD', 'HON', 'HRL', 'HSP', 'HST', 'HCBK', 'HUM', 'HBAN', 'ITW', 'RX', 'TEG', 'INTC', 'ICE', 'IBM', 'IFF', 'IGT', 'IP', 'IPG', 'INTU', 'ISRG', 'IVZ', 'IRM', 'ITT', 'JBL', 'JEC', 'JNS', 'JDSU', 'JNJ', 'JCI', 'JPM', 'JNPR', 'K', 'KEY', 'KMB', 'KIM', 'KG', 'KLAC', 'KSS', 'KFT', 'KR', 'LH', 'LM', 'LEG', 'LEN', 'LUK', 'LXK', 'LIFE', 'LLY', 'LTD', 'LNC', 'LLTC', 'LMT', 'L', 'LO', 'LOW', 'LSI', 'MTB', 'M', 'MRO', 'MAR', 'MMC', 'MI', 'MAS', 'MEE', 'MA', 'MAT', 'MFE', 'MKC', 'MCD', 'MHP', 'MCK', 'MJN', 'MWV', 'MHS', 'MDT', 'WFR', 'MRK', 'MDP', 'MET', 'PCS', 'MCHP', 'MU', 'MSFT', 'MIL', 'MOLX', 'TAP', 'MON', 'MWW', 'MCO', 'MS', 'MOT', 'MXB', 'MUR', 'MYL', 'NBR', 'NDAQ', 'NOV', 'NSM', 'NTAP', 'NYT', 'NWL', 'NEM', 'NWSA', 'GAS', 'NKE', 'NI', 'NBL', 'JWN', 'NSC', 'NTRS', 'NOC', 'NU', 'NOVL', 'NVLS', 'NUE', 'NVDA', 'NYX', 'ORLY', 'OXY', 'ODP', 'OMC', 'ORCL', 'OI', 'PCAR', 'PTV', 'PLL', 'PH', 'PDCO', 'PAYX', 'JCP', 'PBCT', 'POM', 'PBG', 'PEP', 'PKI', 'PFE', 'PCG', 'PM', 'PNW', 'PXD', 'PBI', 'PCL', 'PNC', 'RL', 'PPG', 'PPL', 'PX', 'PCP', 'PFG', 'PG', 'PGN', 'PGR', 'PLD', 'PRU', 'PEG', 'PSA', 'PHM', 'QLGC', 'PWR', 'QCOM', 'DGX', 'STR', 'Q', 'RSH', 'RRC', 'RTN', 'RHT', 'RF', 'RSG', 'RAI', 'RHI', 'ROK', 'COL', 'ROP', 'ROST', 'RDC', 'R', 'SWY', 'SAI', 'CRM', 'SNDK', 'SLE', 'SCG', 'SLB', 'SNI', 'SEE', 'SHLD', 'SRE', 'SHW', 'SIAL', 'SPG', 'SLM', 'SII', 'SJM', 'SNA', 'SO', 'LUV', 'SWN', 'SE', 'S', 'STJ', 'SWK', 'SPLS', 'SBUX', 'HOT', 'STT', 'SRCL', 'SYK', 'SUN', 'STI', 'SVU', 'SYMC', 'SYY', 'TROW', 'TGT', 'TE', 'TLAB', 'THC', 'TDC', 'TER', 'TSO', 'TXN', 'TXT', 'HSY', 'TRV', 'TMO', 'TIF', 'TWX', 'TWC', 'TIE', 'TJX', 'TMK', 'TSS', 'TSN', 'USB', 'UNP', 'UNH', 'UPS', 'X', 'UTX', 'UNM', 'VFC', 'VLO', 'VAR', 'VTR', 'VRSN', 'VZ', 'VIAb', 'V', 'VNO', 'VMC', 'WMT', 'WAG', 'DIS', 'WPO', 'WM', 'WAT', 'WPI', 'WLP', 'WFC', 'WDC', 'WU', 'WY', 'WHR', 'WFMI', 'WMB', 'WIN', 'WEC', 'WYN', 'WYNN', 'XEL', 'XRX', 'XLNX', 'XL', 'XTO', 'YHOO', 'YUM', 'ZMH', 'ZION']
        self.tickers = dict()
        self.tickers[2010] = "A,AABA,AAPL,ABC,ABT,ACS,ADBE,ADI,ADM,ADP,ADSK,AEE,AEP,AES,AET,AFL,AGN,AIG,AIV,AIZ,AKAM,AKS,ALL,ALTR,AMAT,AMD,AMGN,AMP,AMT,AMZN,AN,ANDV,ANF,ANTM,AON,APA,APC,APD,APH,APOL,ARG,ARNC,ATGE,ATI,AVB,AVP,AVY,AXP,AYE,AZO,BA,BAC,BAX,BBBY,BBT,BBY,BCR,BDK,BDX,BEAM,BEN,BF.B,BHGE,BIG,BIIB,BJS,BK,BKNG,BLL,BMC,BMS,BMY,BNI,BRCM,BSX,BTUUQ,BXP,C,CA,CAG,CAH,CAM,CAT,CB,CBRE,CBS,CCE,CCL,CEG,CELG,CEPH,CF,CFN,CHK,CHRW,CI,CINF,CL,CLF,CLX,CMA,CMCSA,CME,CMI,CMS,CNP,CNX,COF,COG,COL,COP,COST,CPB,CPWR,CRM,CSCO,CSX,CTAS,CTL,CTSH,CTXS,CVH,CVS,CVX,D,DD,DE,DELL,DF,DFS,DGX,DHI,DHR,DIS,DNB,DNR,DO,DOV,DOW,DRI,DTE,DTV,DUK,DVA,DVN,DXC,EA,EBAY,ECL,ED,EFX,EIX,EKDKQ,EL,EMC,EMN,EMR,EOG,EP,EQR,EQT,ES,ESRX,ETFC,ETN,ETR,EXC,EXPD,EXPE,F,FAST,FCX,FDO,FDX,FE,FHN,FII,FIS,FISV,FITB,FLIR,FLR,FLS,FMC,FOXA,FRX,FSLR,FTI,FTR,GAS,GD,GE,GENZ,GHC,GILD,GIS,GLW,GME,GNW,GOOGL,GPC,GPS,GR,GS,GT,GWW,HAL,HAR,HAS,HBAN,HCBK,HCP,HD,HES,HIG,HNZ,HOG,HON,HOT,HPQ,HRB,HRL,HRS,HSH,HSP,HST,HSY,HUM,IBM,ICE,IFF,IGT,INTC,INTU,IP,IPG,IRM,ISRG,ITT,ITW,IVZ,JAVA,JBL,JCI,JCP,JEC,JEF,JNJ,JNPR,JNS,JPM,JWN,K,KDP,KEY,KG,KIM,KLAC,KMB,KO,KR,KSS,L,LB,LDOS,LEG,LEN,LH,LIFE,LLL,LLTC,LLY,LM,LMT,LNC,LO,LOW,LSI,LUV,LXK,M,MA,MAR,MAS,MAT,MCD,MCHP,MCK,MCO,MDLZ,MDP,MDT,MEE,MET,MFE,MHS,MI,MIL,MJN,MKC,MMC,MMM,MO,MOLX,MON,MRK,MRO,MS,MSFT,MSI,MTB,MU,MUR,MWV,MWW,MYL,NBL,NBR,NDAQ,NEE,NEM,NI,NKE,NOC,NOV,NOVL,NSC,NSM,NTAP,NTRS,NUE,NVDA,NVLS,NWL,NYT,NYX,ODP,OI,OMC,ORCL,ORLY,OXY,PAYX,PBCT,PBG,PBI,PCAR,PCG,PCL,PCP,PDCO,PEG,PEP,PFE,PFG,PG,PGN,PGR,PH,PHM,PKI,PLD,PLL,PM,PNC,PNW,POM,PPG,PPL,PRU,PSA,PTV,PWR,PX,PXD,Q,QCOM,QLGC,R,RAI,RDC,RF,RHI,RHT,RL,ROK,ROP,ROST,RRC,RRD,RSG,RSHCQ,RTN,RX,S,SBUX,SCG,SCHW,SE,SEE,SHLD,SHW,SIAL,SII,SJM,SLB,SLM,SNA,SNDK,SNI,SO,SPG,SPGI,SPLS,SRCL,SRE,STI,STJ,STR,STT,STZ,SUN,SUNEQ,SVU,SWK,SWN,SWY,SYK,SYMC,SYY,T,TAP,TDC,TE,TEG,TER,TGNA,TGT,THC,TIE,TIF,TJX,TLAB,TMK,TMO,TMUS,TPR,TROW,TRV,TSN,TSS,TWC,TWX,TXN,TXT,UNH,UNM,UNP,UPS,USB,UTX,V,VAR,VFC,VIAB,VIAV,VLO,VMC,VNO,VRSN,VTR,VZ,WAT,WBA,WDC,WEC,WELL,WFC,WFM,WHR,WIN,WM,WMB,WMT,WU,WY,WYND,WYNN,X,XEL,XL,XLNX,XOM,XRAY,XRX,XTO,YUM,ZBH,ZION".split(",")
        self.tickers[2011] = [ticker for ticker in self.tickers[2010] if ticker not in ['ACS', 'BDK', 'BJS', 'BNI', 'EKDKQ', 'JAVA', 'KG', 'MIL', 'NYT', 'ODP', 'PBG', 'PTV', 'RX', 'SII', 'STR', 'XTO']] + ['BRK.B', 'CERN', 'CVC', 'DISCA', 'FFIV', 'HP', 'IR', 'KMX', 'NFLX', 'NFX', 'NRG', 'OKE', 'QEP', 'URBN']
        self.tickers[2012] = [ticker for ticker in self.tickers[2011] if ticker not in ['AKS', 'AYE', 'CEPH', 'GENZ', 'ITT', 'JNS', 'MDP', 'MEE', 'MFE', 'MI', 'MWW', 'NOVL', 'NSM', 'Q', 'QLGC', 'RSHCQ', 'SUNEQ', 'TLAB']] + ['ACN', 'ANRZQ', 'BLK', 'BWA', 'CBE', 'CMG', 'COV', 'DLTR', 'EW', 'JOY', 'MMI', 'MOS', 'MPC', 'NE', 'PRGO', 'TEL', 'TRIP', 'XYL']
        self.tickers[2013] = [ticker for ticker in self.tickers[2012] if ticker not in ['ANRZQ', 'ATGE', 'CBE', 'CEG', 'CPWR', 'EP', 'GR', 'HSH', 'LXK', 'MHS', 'MMI', 'NVLS', 'PGN', 'RRD', 'SHLD', 'SUN', 'SVU', 'TIE']] + ['ADT', 'ALXN', 'APTV', 'CCI', 'DG', 'ESV', 'FOSL', 'GRMN', 'KMI', 'KRFT', 'LRCX', 'LYB', 'MNST', 'PETM', 'PNR', 'PSX', 'STX', 'WPX']
        self.tickers[2014] = [ticker for ticker in self.tickers[2013] if ticker not in ['AMD', 'ANF', 'APOL', 'BIG', 'BMC', 'CVH', 'DELL', 'DF', 'FHN', 'FII', 'HNZ', 'JCP', 'LDOS', 'MOLX', 'NYX', 'S', 'TER', 'TMUS', 'VIAV']] + ['ABBV', 'ADS', 'ALLE', 'AME', 'DAL', 'FB', 'GGP', 'GM', 'KORS', 'KSU', 'MAC', 'MHK', 'NLSN', 'NWSA', 'PVH', 'REGN', 'RIG', 'VRTX', 'ZTS']
        self.tickers[2015] = [ticker for ticker in self.tickers[2014] if ticker not in ['BEAM', 'BMS', 'BTUUQ', 'CLF', 'FRX', 'GHC', 'IGT', 'JBL', 'LIFE', 'LSI', 'RDC', 'SLM', 'WPX', 'X']] + ['AMG', 'AVGO', 'DISCK', 'ESS', 'GMCR', 'GOOG', 'LVLT', 'MLM', 'MNK', 'NAVI', 'RCL', 'TSCO', 'UAA', 'UHS', 'URI', 'XEC']
        self.tickers[2016] = [ticker for ticker in self.tickers[2015] if ticker not in ['ALTR', 'ATI', 'AVP', 'CFN', 'COV', 'DNR', 'DTV', 'DXC', 'FDO', 'GNW', 'HCBK', 'HSP', 'JOY', 'KRFT', 'LO', 'MWV', 'NBR', 'NE', 'PETM', 'PLL', 'QEP', 'SIAL', 'SWY', 'TEG', 'WIN']] + ['AAL', 'AAP', 'ATVI', 'BXLT', 'CHD', 'CPGX', 'CSRA', 'ENDP', 'EQIX', 'FOX', 'HBI', 'HCA', 'HPE', 'HSIC', 'ILMN', 'JBHT', 'KHC', 'NWS', 'O', 'PYPL', 'QRVO', 'SIG', 'SLG', 'SWKS', 'SYF', 'UAL', 'VRSK', 'WRK']
        self.tickers[2017] = [ticker for ticker in self.tickers[2016] if ticker not in ['ADT', 'ARG', 'BRCM', 'BXLT', 'CAM', 'CCE', 'CNX', 'CPGX', 'CVC', 'DO', 'EMC', 'ESV', 'FOSL', 'GAS', 'GMCR', 'GME', 'HOT', 'LM', 'OI', 'PCL', 'PCP', 'POM', 'SNDK', 'TE', 'THC', 'TWC']] + ['AJG', 'ALB', 'ALK', 'AWK', 'AYI', 'CFG', 'CHTR', 'CNC', 'COO', 'COTY', 'CPRI', 'CXO', 'DLR', 'EVHC', 'EXR', 'FBHS', 'FL', 'FRT', 'FTV', 'GPN', 'HOLX', 'LKQ', 'LNT', 'MAA', 'MTD', 'TDG', 'UA', 'UDR', 'ULTA', 'WLTW']
        self.tickers[2018] = [ticker for ticker in self.tickers[2017] if ticker not in ['AABA', 'AN', 'BBBY', 'BCR', 'DD', 'DNB', 'DOW', 'ENDP', 'FSLR', 'FTR', 'HAR', 'LLTC', 'LVLT', 'MJN', 'MNK', 'MUR', 'PBI', 'R', 'RAI', 'RIG', 'SE', 'SPLS', 'STJ', 'SWN', 'TDC', 'TGNA', 'URBN', 'WFM']] + ['ALGN', 'AMD', 'ANSS', 'AOS', 'ARE', 'BHF', 'CBOE', 'CDNS', 'DISH', 'DRE', 'DWDP', 'DXC', 'HLT', 'IDXX', 'INCY', 'INFO', 'IQV', 'IT', 'MGM', 'NCLH', 'PKG', 'RE', 'REG', 'RJF', 'RMD', 'SBAC', 'SNPS']
        self.tickers[2019] = [ticker for ticker in self.tickers[2018] if ticker not in ['AET', 'ANDV', 'AYI', 'CA', 'CHK', 'COL', 'CSRA', 'EQT', 'ESRX', 'EVHC', 'GGP', 'KDP', 'KORS', 'MON', 'NAVI', 'PDCO', 'PX', 'RRC', 'SIG', 'SNI', 'SRCL', 'TWX', 'WYND', 'XL']] + ['ABMD', 'ANET', 'BR', 'CE', 'CPRT', 'EVRG', 'FANG', 'FLT', 'FTNT', 'HFC', 'HII', 'IPGP', 'JKHY', 'KEYS', 'LIN', 'LW', 'MSCI', 'MXIM', 'NKTR', 'ROL', 'SIVB', 'TTWO', 'TWTR', 'WCG']
        self.tickers[2020] = [ticker for ticker in self.tickers[2019] if ticker not in ['AMG', 'APC', 'BBT', 'BHF', 'BHGE', 'CBS', 'CELG', 'DWDP', 'FL', 'FLR', 'GT', 'HCP', 'HRS', 'JEC', 'JEF', 'LLL', 'MAC', 'MAT', 'NFX', 'NKTR', 'PCG', 'RHT', 'SCG', 'STI', 'SYMC', 'TMK', 'TRIP', 'TSS', 'VIAB']] + ['AMCR', 'ATO', 'BKR', 'CDW', 'CTVA', 'DD', 'DOW', 'FRC', 'GL', 'IEX', 'J', 'LDOS', 'LHX', 'LVS', 'LYV', 'MKTX', 'NLOK', 'NOW', 'NVR', 'ODFL', 'PEAK', 'STE', 'TFC', 'TFX', 'TMUS', 'VIAC', 'WAB', 'WRB', 'ZBRA']
        self.tickers[2021] = [ticker for ticker in self.tickers[2020] if ticker not in ['ADS', 'AGN', 'AIV', 'ARNC', 'COTY', 'CPRI', 'CTL', 'ETFC', 'HOG', 'HP', 'HRB', 'JWN', 'KSS', 'M', 'MYL', 'NBL', 'RTN', 'UTX', 'WCG', 'XEC']] + ['BIO', 'CARR', 'CTLT', 'DPZ', 'DXCM', 'ETSY', 'HWM', 'LUMN', 'OTIS', 'PAYC', 'POOL', 'RTX', 'TDY', 'TER', 'TSLA', 'TT', 'TYL', 'VNT', 'VTRS', 'WST']
        self.tickers[2022] = [ticker for ticker in self.tickers[2021] if ticker not in ['ALXN', 'COG', 'CXO', 'FLIR', 'FLS', 'FTI', 'HBI', 'HFC', 'KSU', 'LB', 'LEG', 'MXIM', 'NOV', 'PRGO', 'SLG', 'TIF', 'UNM', 'VAR', 'VNT', 'WU', 'XRX']] + ['BBWI', 'BRO', 'CDAY', 'CRL', 'CTRA', 'CZR', 'ENPH', 'EPAM', 'FDS', 'GNRC', 'MPWR', 'MRNA', 'MTCH', 'NXPI', 'OGN', 'PENN', 'PTC', 'SBNY', 'SEDG', 'TECH', 'TRMB']
        self.tickers[2023] = [ticker for ticker in self.tickers[2022] if ticker not in ['ABMD', 'ANTM', 'BLL', 'CERN', 'CTXS', 'DISCA', 'DISCK', 'DRE', 'FB', 'FBHS', 'GPS', 'INFO', 'IPGP', 'NLOK', 'NLSN', 'PBCT', 'PENN', 'PVH', 'TWTR', 'UA', 'UAA', 'VIAC', 'WLTW', 'XLNX']] + ['ACGL', 'BALL', 'CEG', 'CPT', 'CSGP', 'ELV', 'EQT', 'FSLR', 'GEN', 'INVH', 'KDP', 'META', 'MOH', 'NDSN', 'ON', 'PARA', 'PCG', 'STLD', 'TRGP', 'VICI', 'WBD', 'WTW']
        self.tickers[2024] = [ticker for ticker in self.tickers[2023] if ticker not in ['AAP', 'ABC', 'ALK', 'ATVI', 'DISH', 'DXC', 'FISV', 'FRC', 'LNC', 'LUMN', 'NWL', 'OGN', 'PKI', 'RE', 'SBNY', 'SEDG', 'SEE', 'SIVB', 'VNO']] + ['ABNB', 'AXON', 'BG', 'BLDR', 'BX', 'COR', 'EG', 'FI', 'FICO', 'GEHC', 'HUBB', 'JBL', 'KVUE', 'LULU', 'PANW', 'PODD', 'RVTY', 'UBER', 'VLTO']

        # Use data from 5 years and update once a year
        self.holdMonths = self.get_parameter("Hold Months", 12)
        self.stockDataYears = self.get_parameter("Stock Data Years", 5)
        self.stockDataDays = int(252*self.stockDataYears)

        self.END_YEAR = self.get_parameter("Ending Year", 2025)
        self.set_start_date(2010, 1, 1) # One day after ticker list
        self.set_end_date(self.END_YEAR, 2, 1)
        self.set_cash(1000000)

        self.symbolData = dict()
        totalTickers = []
        for tickers in self.tickers.values():
            totalTickers.extend(tickers)
        for ticker in set(totalTickers):
            symbol = self.AddEquity(ticker, Resolution.DAILY,leverage=1).Symbol

            consolidator_daily = TradeBarConsolidator(timedelta(1))
            consolidator_daily.DataConsolidated += self.OnDailyData
            self.SubscriptionManager.AddConsolidator(symbol, consolidator_daily)

            self.symbolData[symbol] = SymbolData(self.stockDataDays)

        # Get Data for 6 years before the start of calculations
        self.set_warm_up(timedelta(self.stockDataDays + 252))
        self.nextSellTime = self.Time
        self.nextBuyTime = self.Time

    # Add daily bar to daily rolling window
    def OnDailyData(self, sender, bar):
        self.symbolData[bar.Symbol].daily_rw.Add(bar.Close)

    def on_data(self, data: Slice):
        if self.is_warming_up: return
        if self.Time.weekday() >= 5: return # During the weekend
        if self.Time > DateTime(self.END_YEAR,1,1): # One month before the "end" of the algorithm
            self.Liquidate()
        elif self.nextSellTime <= self.Time:
            self.Liquidate()
            self.nextSellTime = add_months(self.Time, self.holdMonths)
            self.nextBuyTime = self.Time + timedelta(days=5)
        elif self.nextBuyTime <= self.Time: # Should buy again
            try:
                self.shouldBuy = False

                # Get stock data from the past 5 years
                stockData = pd.DataFrame()
                for symbol in self.symbolData:
                    if self.securities[symbol].is_tradable: #Waring BIAS
                        ticker = symbol.value
                        if ticker in self.tickers[self.Time.year]:
                            window = self.symbolData[symbol].daily_rw
                            stockPrices = list(window)[::-1] # So that the last value are the most recent
                            stockData[ticker] = pd.Series(stockPrices)
                stockData = stockData.dropna(axis=0,thresh=(len(stockData.columns)//2))
                stockData = stockData.dropna(axis=1)

                # Setup Efficient Frontier portfolio
                mu = expected_returns.mean_historical_return(stockData)
                S = risk_models.risk_matrix(stockData, method="ledoit_wolf")
                ef = EfficientFrontier(mu, S, solver="ECOS")

                #Optimize for the sharpe ratio
                _ = ef.max_sharpe()

                # Get weights for each stock
                clean_weights = ef.clean_weights()
                clean_weights = dict([(str(k),float(v)) for k,v in dict(clean_weights).items() if v != 0.0])
                sorted_weights = {k: v for k, v in sorted(clean_weights.items(), key=lambda item: item[1], reverse=True)}
                self.error(str(sum(sorted_weights.values())) + str(sorted_weights))

                # latestPrices = get_latest_prices(stockData)
                # da = DiscreteAllocation(clean_weights, latestPrices, total_portfolio_value=money)
                # allocation, leftover = da.greedy_portfolio()

                for symbol in self.symbolData:
                    ticker = symbol.value
                    if ticker in sorted_weights.keys():
                        self.Log("BUY " + str(ticker) + ": " + str(round(sorted_weights[ticker], 3)))
                        purc = (self.Portfolio.CashBook['USD'].Amount * 0.99) / self.Securities[symbol].Price
                        w = float(purc * float(sorted_weights[ticker]))
                        quantity = floor(w)
                        self.market_order(symbol, quantity)
                        # self.log(str(symbol.value) + ": " + str(purc) + " , " + str(w))

                self.nextBuyTime += timedelta(days=100000) #never
            except Exception as e: # Log the error and retry 
                self.error(e)

    def OnData(self, data):
        pass


class SymbolData(object):
    def __init__(self, days: int):
        self.daily_rw = RollingWindow[float](days)