wehub-resource-sync
94 lines
4.4 KiB
Python
94 lines
4.4 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Strategy example using a portfolio of ETF Global Rotation
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### </summary>
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### <meta name="tag" content="strategy example" />
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### <meta name="tag" content="momentum" />
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### <meta name="tag" content="using data" />
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### <summary>
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### Strategy example using a portfolio of ETF Global Rotation
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### </summary>
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### <meta name="tag" content="strategy example" />
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### <meta name="tag" content="momentum" />
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### <meta name="tag" content="using data" />
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class ETFGlobalRotationAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_cash(25000)
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self.set_start_date(2007,1,1)
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self.last_rotation_time = datetime.min
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self.rotation_interval = timedelta(days=30)
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self.first = True
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# these are the growth symbols we'll rotate through
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growth_symbols =["MDY", # US S&P mid cap 400
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"IEV", # i_shares S&P europe 350
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"EEM", # i_shared MSCI emerging markets
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"ILF", # i_shares S&P latin america
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"EPP" ] # i_shared MSCI Pacific ex-Japan
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# these are the safety symbols we go to when things are looking bad for growth
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safety_symbols = ["EDV", "SHY"] # "EDV" Vangaurd TSY 25yr, "SHY" Barclays Low Duration TSY
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# we'll hold some computed data in these guys
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self.symbol_data = []
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for symbol in list(set(growth_symbols) | set(safety_symbols)):
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self.add_security(SecurityType.EQUITY, symbol, Resolution.MINUTE)
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self.one_month_performance = self.mom(symbol, 30, Resolution.DAILY)
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self.three_month_performance = self.mom(symbol, 90, Resolution.DAILY)
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self.symbol_data.append((symbol, self.one_month_performance, self.three_month_performance))
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def on_data(self, data):
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# the first time we come through here we'll need to do some things such as allocation
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# and initializing our symbol data
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if self.first:
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self.first = False
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self.last_rotation_time = self.time
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return
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delta = self.time - self.last_rotation_time
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if delta > self.rotation_interval:
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self.last_rotation_time = self.time
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ordered_obj_scores = sorted(self.symbol_data, key=lambda x: Score(x[1].current.value,x[2].current.value).objective_score(), reverse=True)
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for x in ordered_obj_scores:
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self.log(">>SCORE>>" + x[0] + ">>" + str(Score(x[1].current.value,x[2].current.value).objective_score()))
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# pick which one is best from growth and safety symbols
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best_growth = ordered_obj_scores[0]
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if Score(best_growth[1].current.value,best_growth[2].current.value).objective_score() > 0:
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if (self.portfolio[best_growth[0]].quantity == 0):
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self.log("PREBUY>>LIQUIDATE>>")
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self.liquidate()
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self.log(">>BUY>>" + str(best_growth[0]) + "@" + str(100 * best_growth[1].current.value))
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qty = self.portfolio.margin_remaining / self.securities[best_growth[0]].close
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self.market_order(best_growth[0], int(qty))
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else:
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# if no one has a good objective score then let's hold cash this month to be safe
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self.log(">>LIQUIDATE>>CASH")
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self.liquidate()
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class Score(object):
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def __init__(self,one_month_performance_value,three_month_performance_value):
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self.one_month_performance = one_month_performance_value
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self.three_month_performance = three_month_performance_value
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def objective_score(self):
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weight1 = 100
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weight2 = 75
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return (weight1 * self.one_month_performance + weight2 * self.three_month_performance) / (weight1 + weight2)
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