wehub-resource-sync
60 lines
2.5 KiB
C#
60 lines
2.5 KiB
C#
/*
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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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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Universe Selection Model that adds the following Volatility ETFs at their inception date
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/// 2010-02-11 SQQQ ProShares UltraPro ShortQQQ
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/// 2010-02-11 TQQQ ProShares UltraProQQQ
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/// 2010-11-30 TVIX VelocityShares Daily 2x VIX Short Term ETN
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/// 2011-01-04 VIXY ProShares VIX Short-Term Futures ETF
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/// 2011-05-05 SPLV Invesco S&P 500® Low Volatility ETF
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/// 2011-10-04 SVXY ProShares Short VIX Short-Term Futures
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/// 2011-10-04 UVXY ProShares Ultra VIX Short-Term Futures
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/// 2011-10-20 EEMV iShares Edge MSCI Min Vol Emerging Markets ETF
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/// 2011-10-20 EFAV iShares Edge MSCI Min Vol EAFE ETF
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/// 2011-10-20 USMV iShares Edge MSCI Min Vol USA ETF
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/// </summary>
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public class VolatilityETFUniverse : InceptionDateUniverseSelectionModel
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{
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/// <summary>
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/// Initializes a new instance of the VolatilityETFUniverse class
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/// </summary>
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public VolatilityETFUniverse() :
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base(
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"qc-volatility-etf-basket",
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new Dictionary<string, DateTime>()
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{
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{"SQQQ", new DateTime(2010, 2, 11)},
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{"TQQQ", new DateTime(2010, 2, 11)},
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{"TVIX", new DateTime(2010, 11, 30)},
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{"VIXY", new DateTime(2011, 1, 4)},
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{"SPLV", new DateTime(2011, 5, 5)},
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{"SVXY", new DateTime(2011, 10, 4)},
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{"UVXY", new DateTime(2011, 10, 4)},
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{"EEMV", new DateTime(2011, 10, 20)},
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{"EFAV", new DateTime(2011, 10, 20)},
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{"USMV", new DateTime(2011, 10, 20)}
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}
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)
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{
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}
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}
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} |