chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Strategy example using a portfolio of ETF Global Rotation
+    /// </summary>
+    /// <meta name="tag" content="strategy example" />
+    /// <meta name="tag" content="momentum" />
+    /// <meta name="tag" content="using data" />
+    public class EtfGlobalRotationAlgorithm : QCAlgorithm
+    {
+        // we'll use this to tell us when the month has ended
+        private DateTime _lastRotationTime = DateTime.MinValue;
+        private TimeSpan _rotationInterval = TimeSpan.FromDays(30);
+        private bool _first = true;
+
+        // these are the growth symbols we'll rotate through
+        List<string> _growthSymbols = new List<string>
+        {
+            "MDY", // US S&P mid cap 400
+            "IEV", // iShares S&P europe 350
+            "EEM", // iShared MSCI emerging markets
+            "ILF", // iShares S&P latin america
+            "EPP"  // iShared MSCI Pacific ex-Japan
+        };
+
+        // these are the safety symbols we go to when things are looking bad for growth
+        List<string> _safetySymbols = new List<string>
+        {
+            "EDV", // Vangaurd TSY 25yr+
+            "SHY"  // Barclays Low Duration TSY
+        };
+
+        // we'll hold some computed data in these guys
+        List<SymbolData> _symbolData = new List<SymbolData>();
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetCash(25000);
+            SetStartDate(2007, 1, 1);
+
+            foreach (var symbol in _growthSymbols.Union(_safetySymbols))
+            {
+                // ideally we would use daily data
+                AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
+                var oneMonthPerformance = MOM(symbol, 30, Resolution.Daily);
+                var threeMonthPerformance = MOM(symbol, 90, Resolution.Daily);
+
+                _symbolData.Add(new SymbolData
+                {
+                    Symbol = symbol,
+                    OneMonthPerformance = oneMonthPerformance,
+                    ThreeMonthPerformance = threeMonthPerformance
+                });
+            }
+        }
+
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            try
+            {
+                // the first time we come through here we'll need to do some things such as allocation
+                // and initializing our symbol data
+                if (_first)
+                {
+                    _first = false;
+                    _lastRotationTime = Time;
+                    return;
+                }
+
+                var delta = Time.Subtract(_lastRotationTime);
+                if (delta > _rotationInterval)
+                {
+                    _lastRotationTime = Time;
+
+                    // pick which one is best from growth and safety symbols
+                    var orderedObjScores = _symbolData.OrderByDescending(x => x.ObjectiveScore).ToList();
+                    foreach (var orderedObjScore in orderedObjScores)
+                    {
+                        Log($">>SCORE>>{orderedObjScore.Symbol}>>{orderedObjScore.ObjectiveScore.ToStringInvariant()}");
+                    }
+                    var bestGrowth = orderedObjScores.First();
+
+                    if (bestGrowth.ObjectiveScore > 0)
+                    {
+                        if (Portfolio[bestGrowth.Symbol].Quantity == 0)
+                        {
+                            Log("PREBUY>>LIQUIDATE>>");
+                            Liquidate();
+                        }
+                        Log($">>BUY>>{bestGrowth.Symbol}@{(100 * bestGrowth.OneMonthPerformance).ToStringInvariant("00.00")}");
+                        var qty = Portfolio.MarginRemaining / Securities[bestGrowth.Symbol].Close;
+                        MarketOrder(bestGrowth.Symbol, (int) qty);
+                    }
+                    else
+                    {
+                        // if no one has a good objective score then let's hold cash this month to be safe
+                        Log(">>LIQUIDATE>>CASH");
+                        Liquidate();
+                    }
+                }
+            }
+            catch (RegressionTestException ex)
+            {
+                Error("OnData: " + ex.Message + "\r\n\r\n" + ex.StackTrace);
+            }
+        }
+    }
+
+    class SymbolData
+    {
+        public string Symbol;
+
+        public Momentum OneMonthPerformance { get; set; }
+        public Momentum ThreeMonthPerformance { get; set; }
+
+        public decimal ObjectiveScore
+        {
+            get
+            {
+                // we weight the one month performance higher
+                decimal weight1 = 100;
+                decimal weight2 = 75;
+
+                return (weight1 * OneMonthPerformance + weight2 * ThreeMonthPerformance) / (weight1 + weight2);
+            }
+        }
+    }
+}