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 System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.Intrinio;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Basic template algorithm simply initializes the date range and cash. This is a skeleton
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/// framework you can use for designing an algorithm.
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/// </summary>
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/// <remarks>This regression test requires a valid Intrinio account</remarks>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="trading and orders" />
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public class BasicTemplateIntrinioEconomicData : QCAlgorithm
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{
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// Set your Intrinio user and password.
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private string _user = string.Empty;
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private string _password = string.Empty;
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private Symbol _uso; // United States Oil Fund LP
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private Symbol _bno; // United States Brent Oil Fund LP
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private readonly Identity _brent = new Identity("Brent");
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private readonly Identity _wti = new Identity("WTI");
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private CompositeIndicator _spread;
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private ExponentialMovingAverage _emaWti;
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All
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/// algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(year: 2010, month: 01, day: 01); //Set Start Date
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SetEndDate(year: 2013, month: 12, day: 31); //Set End Date
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SetCash(startingCash: 100000); //Set Strategy Cash
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// Set your Intrinio user and password.
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IntrinioConfig.SetUserAndPassword(_user, _password);
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// Set Intrinio config to make 1 call each minute, default is 1 call each 5 seconds.
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// (1 call each minute is the free account limit for historical_data endpoint)
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IntrinioConfig.SetTimeIntervalBetweenCalls(TimeSpan.FromMinutes(1));
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// Find more symbols here: http://quantconnect.com/data
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// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
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// Futures Resolution: Tick, Second, Minute
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// Options Resolution: Minute Only.
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_uso = AddEquity("USO", Resolution.Daily, leverage: 2m).Symbol;
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_bno = AddEquity("BNO", Resolution.Daily, leverage: 2m).Symbol;
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AddData<IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilWTI, Resolution.Daily);
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AddData<IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilBrent, Resolution.Daily);
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_spread = _brent.Minus(_wti);
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_emaWti = EMA(Securities[IntrinioEconomicDataSources.Commodities.CrudeOilWTI].Symbol, 10);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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var customData = slice.Get<IntrinioEconomicData>();
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if (customData.Count == 0) return;
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foreach (var economicData in customData.Values)
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{
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if (economicData.Symbol.Value == IntrinioEconomicDataSources.Commodities.CrudeOilWTI)
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{
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_wti.Update(economicData.Time, economicData.Price);
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}
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else
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{
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_brent.Update(economicData.Time, economicData.Price);
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}
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}
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if (_spread > 0 && !Portfolio[_bno].IsLong ||
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_spread < 0 && !Portfolio[_uso].IsShort)
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{
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var logText = _spread > 0 ?
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new[] {"higher", "long", "short"} :
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new[] {"lower", "short", "long"};
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Log($"Brent Price is {logText[0]} than West Texas. Go {logText[1]} BNO and {logText[2]} USO. West Texas EMA: {_emaWti}");
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SetHoldings(_bno, 0.25 * Math.Sign(_spread));
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SetHoldings(_uso, -0.25 * Math.Sign(_spread));
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}
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}
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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", "91"},
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{"Average Win", "0.09%"},
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{"Average Loss", "-0.01%"},
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{"Compounding Annual Return", "5.732%"},
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{"Drawdown", "4.800%"},
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{"Expectancy", "1.846"},
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{"Net Profit", "24.996%"},
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{"Sharpe Ratio", "1.142"},
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{"Loss Rate", "68%"},
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{"Win Rate", "32%"},
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{"Profit-Loss Ratio", "7.97"},
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{"Alpha", "0.076"},
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{"Beta", "-1.101"},
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{"Annual Standard Deviation", "0.048"},
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{"Annual Variance", "0.002"},
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{"Information Ratio", "0.741"},
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{"Tracking Error", "0.048"},
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{"Treynor Ratio", "-0.05"},
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{"Total Fees", "$102.64"}
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};
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}
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}
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