chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp.Alphas
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{
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///<summary>
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/// Alpha Benchmark Strategy capitalizing on ETF rebalancing causing momentum during trending markets.
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/// Strategy by Prof. Shum, reposted by Ernie Chan.
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/// Source: http://epchan.blogspot.com/2012/10/a-leveraged-etfs-strategy.html
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///</summary>
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/// <meta name="tag" content="alphastream" />
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/// <meta name="tag" content="algorithm framework" />
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/// <meta name="tag" content="etf" />
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public class RebalancingLeveragedETFAlpha : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private readonly List<ETFGroup> Groups = new List<ETFGroup>();
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public override void Initialize()
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{
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SetStartDate(2017, 6, 1);
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SetEndDate(2018, 8, 1);
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SetCash(100000);
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var underlying = new List<string> { "SPY", "QLD", "DIA", "IJR", "MDY", "IWM", "QQQ", "IYE", "EEM", "IYW", "EFA", "GAZB", "SLV", "IEF", "IYM", "IYF", "IYH", "IYR", "IYC", "IBB", "FEZ", "USO", "TLT" };
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var ultraLong = new List<string> { "SSO", "UGL", "DDM", "SAA", "MZZ", "UWM", "QLD", "DIG", "EET", "ROM", "EFO", "BOIL", "AGQ", "UST", "UYM", "UYG", "RXL", "URE", "UCC", "BIB", "ULE", "UCO", "UBT" };
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var ultraShort = new List<string> { "SDS", "GLL", "DXD", "SDD", "MVV", "TWM", "QID", "DUG", "EEV", "REW", "EFU", "KOLD", "ZSL", "PST", "SMN", "SKF", "RXD", "SRS", "SCC", "BIS", "EPV", "SCO", "TBT" };
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for (var i = 0; i < underlying.Count; i++)
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{
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Groups.Add(new ETFGroup(AddEquity(underlying[i]).Symbol, AddEquity(ultraLong[i]).Symbol, AddEquity(ultraShort[i]).Symbol));
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}
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// Manually curated universe
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SetUniverseSelection(new ManualUniverseSelectionModel());
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// Select the demonstration alpha model
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SetAlpha(new RebalancingLeveragedETFAlphaModel(Groups));
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// Select our default model types
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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// Equally weigh securities in portfolio, based on insights
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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// Set Immediate Execution Model
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SetExecution(new ImmediateExecutionModel());
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// Set Null Risk Management Model
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SetRiskManagement(new NullRiskManagementModel());
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = false;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 0;
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/// </summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "2465"},
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{"Average Win", "0.26%"},
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{"Average Loss", "-0.24%"},
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{"Compounding Annual Return", "7.848%"},
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{"Drawdown", "17.500%"},
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{"Expectancy", "0.035"},
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{"Net Profit", "9.233%"},
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{"Sharpe Ratio", "0.492"},
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{"Loss Rate", "50%"},
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{"Win Rate", "50%"},
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{"Profit-Loss Ratio", "1.06"},
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{"Alpha", "0.585"},
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{"Beta", "-24.639"},
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{"Annual Standard Deviation", "0.19"},
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{"Annual Variance", "0.036"},
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{"Information Ratio", "0.387"},
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{"Tracking Error", "0.19"},
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{"Treynor Ratio", "-0.004"},
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{"Total Fees", "$9029.33"}
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};
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}
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/// <summary>
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/// If the underlying ETF has experienced a return >= 1% since the previous day's close up to the current time at 14:15,
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/// then buy it's ultra ETF right away, and exit at the close. If the return is <= -1%, sell it's ultra-short ETF.
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/// </summary>
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class RebalancingLeveragedETFAlphaModel : AlphaModel
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{
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private DateTime _date;
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private readonly List<ETFGroup> _etfGroups;
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/// <summary>
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/// Create a new leveraged ETF rebalancing alpha
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/// </summary>
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public RebalancingLeveragedETFAlphaModel(List<ETFGroup> etfGroups)
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{
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_etfGroups = etfGroups;
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_date = DateTime.MinValue;
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Name = "RebalancingLeveragedETFAlphaModel";
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}
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/// <summary>
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/// Scan to see if the returns are greater than 1% at 2.15pm to emit an insight.
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/// </summary>
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public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
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{
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// Initialize:
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var insights = new List<Insight>();
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var magnitude = 0.0005;
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// Paper suggests leveraged ETF's rebalance from 2.15pm - to close
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// giving an insight period of 105 minutes.
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var period = TimeSpan.FromMinutes(105);
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if (algorithm.Time.Date != _date)
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{
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_date = algorithm.Time.Date;
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// Save yesterday's price and reset the signal.
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foreach (var group in _etfGroups)
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{
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var history = algorithm.History(group.Underlying, 1, Resolution.Daily);
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group.YesterdayClose = history.Select(x => x.Close).FirstOrDefault();
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}
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}
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// Check if the returns are > 1% at 14.15
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if (algorithm.Time.Hour == 14 && algorithm.Time.Minute == 15)
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{
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foreach (var group in _etfGroups)
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{
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if (group.YesterdayClose == 0) continue;
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var returns = (algorithm.Portfolio[group.Underlying].Price - group.YesterdayClose) / group.YesterdayClose;
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if (returns > 0.01m)
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{
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insights.Add(Insight.Price(group.UltraLong, period, InsightDirection.Up, magnitude));
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}
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else if (returns < -0.01m)
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{
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insights.Add(Insight.Price(group.UltraShort, period, InsightDirection.Down, magnitude));
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}
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}
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}
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return insights;
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}
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}
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class ETFGroup
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{
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public Symbol Underlying;
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public Symbol UltraLong;
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public Symbol UltraShort;
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public decimal YesterdayClose;
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/// <summary>
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/// Group the underlying ETF and it's ultra ETFs
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/// </summary>
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/// <param name="underlying">The underlying indexETF</param>
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/// <param name="ultraLong">The long-leveraged version of underlying ETF</param>
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/// <param name="ultraShort">The short-leveraged version of the underlying ETF</param>
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public ETFGroup(Symbol underlying, Symbol ultraLong, Symbol ultraShort)
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{
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Underlying = underlying;
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UltraLong = ultraLong;
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UltraShort = ultraShort;
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}
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}
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}
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