wehub-resource-sync
342 lines
16 KiB
C#
342 lines
16 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 Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Python;
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using System;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// In financial analysis, the Alpha indicator is used to measure the performance of an investment (such as a stock or ETF)
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/// relative to a benchmark index, often representing the broader market. Alpha indicates the excess return of the investment
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/// compared to the return of the benchmark index.
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///
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/// The S P 500 index is frequently used as a benchmark in Alpha calculations to represent the overall market performance.
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/// Alpha is an essential tool for investors to understand the idiosyncratic returns of their investment that aren't caused
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/// by movement in the underlying benchmark.
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/// </summary>
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public class Alpha : BarIndicator, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Symbol of the reference used
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/// </summary>
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private readonly Symbol _referenceSymbol;
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/// <summary>
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/// Symbol of the target used
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/// </summary>
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private readonly Symbol _targetSymbol;
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/// <summary>
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/// Period of the indicator - alpha
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/// </summary>
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private readonly decimal _alphaPeriod;
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/// <summary>
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/// Rate of change of the target symbol
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/// </summary>
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private readonly RateOfChange _targetROC;
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/// <summary>
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/// Rate of change of the reference symbol
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/// </summary>
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private readonly RateOfChange _referenceROC;
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/// <summary>
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/// Alpha of the target used in relation with the reference
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/// </summary>
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private decimal _alpha;
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/// <summary>
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/// Beta of the target used in relation with the reference
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/// </summary>
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private readonly Beta _beta;
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/// <summary>
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/// Interest rate model used to compute the risk free rate
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/// </summary>
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private readonly IRiskFreeInterestRateModel _riskFreeInterestRateModel;
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/// <summary>
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/// Required period, in data points, for the indicator to be ready and fully initialized.
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/// </summary>
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public int WarmUpPeriod { get; private set; }
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/// <summary>
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/// Gets a flag indicating when the indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady => _targetROC.IsReady && _beta.IsReady && _referenceROC.IsReady;
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/// <summary>
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/// Creates a new Alpha indicator with the specified name, target, reference, and period values
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="targetSymbol">The target symbol of this indicator</param>
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/// <param name="referenceSymbol">The reference symbol of this indicator</param>
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/// <param name="alphaPeriod">Period of the indicator - alpha</param>
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/// <param name="betaPeriod">Period of the indicator - beta</param>
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/// <param name="riskFreeRateModel">The risk free rate model of this indicator</param>
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public Alpha(string name, Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, IRiskFreeInterestRateModel riskFreeRateModel)
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: base(name)
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{
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// Assert that the target and reference symbols are not the same
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if (targetSymbol == referenceSymbol)
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{
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throw new ArgumentException("The target and reference symbols cannot be the same.");
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}
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// Assert that the period is greater than 2, otherwise the alpha can not be computed
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if (alphaPeriod < 1)
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{
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throw new ArgumentException("The period must be equal or greater than 1.");
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}
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// Assert that the beta period is greater than 2, otherwise the beta can not be computed
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if (betaPeriod < 2)
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{
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throw new ArgumentException("The beta period must be equal or greater than 2.");
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}
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_targetSymbol = targetSymbol;
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_referenceSymbol = referenceSymbol;
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_alphaPeriod = alphaPeriod;
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_riskFreeInterestRateModel = riskFreeRateModel;
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_targetROC = new RateOfChange($"{name}_TargetROC", alphaPeriod);
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_referenceROC = new RateOfChange($"{name}_ReferenceROC", alphaPeriod);
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_beta = new Beta($"{name}_Beta", _targetSymbol, _referenceSymbol, betaPeriod);
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WarmUpPeriod = alphaPeriod >= betaPeriod ? alphaPeriod + 1 : betaPeriod + 1;
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_alpha = 0m;
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified name, target, reference, and period values
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="targetSymbol">The target symbol of this indicator</param>
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/// <param name="referenceSymbol">The reference symbol of this indicator</param>
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/// <param name="alphaPeriod">Period of the indicator - alpha</param>
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/// <param name="betaPeriod">Period of the indicator - beta</param>
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/// <param name="riskFreeRate">The risk free rate of this indicator for given period</param>
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public Alpha(string name, Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, decimal? riskFreeRate = null)
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: this(name, targetSymbol, referenceSymbol, alphaPeriod, betaPeriod, new ConstantRiskFreeRateInterestRateModel(riskFreeRate ?? 0m))
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified target, reference, and period values
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/// </summary>
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/// <param name="targetSymbol"></param>
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/// <param name="referenceSymbol"></param>
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/// <param name="alphaPeriod">Period of the indicator - alpha</param>
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/// <param name="betaPeriod">Period of the indicator - beta</param>
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/// <param name="riskFreeRate">The risk free rate of this indicator for given period</param>
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public Alpha(Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, decimal? riskFreeRate = null)
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: this($"ALPHA({targetSymbol},{referenceSymbol},{alphaPeriod},{betaPeriod},{riskFreeRate})", targetSymbol, referenceSymbol, alphaPeriod, betaPeriod, new ConstantRiskFreeRateInterestRateModel(riskFreeRate ?? 0m))
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified target, reference, and period value
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/// </summary>
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/// <param name="targetSymbol">The target symbol of this indicator</param>
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/// <param name="referenceSymbol">The reference symbol of this indicator</param>
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/// <param name="period">Period of the indicator - alpha and beta</param>
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/// <param name="riskFreeRate">The risk free rate of this indicator for given period</param>
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public Alpha(Symbol targetSymbol, Symbol referenceSymbol, int period, decimal? riskFreeRate = null)
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: this($"ALPHA({targetSymbol},{referenceSymbol},{period},{riskFreeRate})", targetSymbol, referenceSymbol, period, period, new ConstantRiskFreeRateInterestRateModel(riskFreeRate ?? 0m))
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified name, target, reference, and period value
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/// </summary>
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/// <param name="name"></param>
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/// <param name="targetSymbol"></param>
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/// <param name="referenceSymbol"></param>
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/// <param name="period">Period of the indicator - alpha and beta</param>
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/// <param name="riskFreeRate">The risk free rate of this indicator for given period</param>
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public Alpha(string name, Symbol targetSymbol, Symbol referenceSymbol, int period, decimal? riskFreeRate = null)
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: this(name, targetSymbol, referenceSymbol, period, period, new ConstantRiskFreeRateInterestRateModel(riskFreeRate ?? 0m))
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified target, reference, and period values
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/// </summary>
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/// <param name="targetSymbol"></param>
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/// <param name="referenceSymbol"></param>
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/// <param name="alphaPeriod">Period of the indicator - alpha</param>
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/// <param name="betaPeriod">Period of the indicator - beta</param>
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/// <param name="riskFreeRateModel">The risk free rate model of this indicator</param>
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public Alpha(Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, IRiskFreeInterestRateModel riskFreeRateModel)
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: this($"ALPHA({targetSymbol},{referenceSymbol},{alphaPeriod},{betaPeriod})", targetSymbol, referenceSymbol, alphaPeriod, betaPeriod, riskFreeRateModel)
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified target, reference, and period value
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/// </summary>
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/// <param name="targetSymbol">The target symbol of this indicator</param>
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/// <param name="referenceSymbol">The reference symbol of this indicator</param>
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/// <param name="period">Period of the indicator - alpha and beta</param>
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/// <param name="riskFreeRateModel">The risk free rate model of this indicator</param>
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public Alpha(Symbol targetSymbol, Symbol referenceSymbol, int period, IRiskFreeInterestRateModel riskFreeRateModel)
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: this($"ALPHA({targetSymbol},{referenceSymbol},{period})", targetSymbol, referenceSymbol, period, period, riskFreeRateModel)
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified name, target, reference, and period value
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/// </summary>
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/// <param name="name"></param>
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/// <param name="targetSymbol"></param>
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/// <param name="referenceSymbol"></param>
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/// <param name="period">Period of the indicator - alpha and beta</param>
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/// <param name="riskFreeRateModel">The risk free rate model of this indicator</param>
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public Alpha(string name, Symbol targetSymbol, Symbol referenceSymbol, int period, IRiskFreeInterestRateModel riskFreeRateModel)
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: this(name, targetSymbol, referenceSymbol, period, period, riskFreeRateModel)
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified name, target, reference, and period values
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="targetSymbol">The target symbol of this indicator</param>
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/// <param name="referenceSymbol">The reference symbol of this indicator</param>
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/// <param name="alphaPeriod">Period of the indicator - alpha</param>
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/// <param name="betaPeriod">Period of the indicator - beta</param>
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/// <param name="riskFreeRateModel">The risk free rate model of this indicator</param>
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public Alpha(string name, Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, PyObject riskFreeRateModel)
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: this(name, targetSymbol, referenceSymbol, alphaPeriod, betaPeriod, RiskFreeInterestRateModelPythonWrapper.FromPyObject(riskFreeRateModel))
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified target, reference, and period values
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/// </summary>
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/// <param name="targetSymbol"></param>
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/// <param name="referenceSymbol"></param>
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/// <param name="alphaPeriod">Period of the indicator - alpha</param>
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/// <param name="betaPeriod">Period of the indicator - beta</param>
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/// <param name="riskFreeRateModel">The risk free rate model of this indicator</param>
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public Alpha(Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, PyObject riskFreeRateModel)
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: this($"ALPHA({targetSymbol},{referenceSymbol},{alphaPeriod},{betaPeriod})", targetSymbol, referenceSymbol, alphaPeriod, betaPeriod, RiskFreeInterestRateModelPythonWrapper.FromPyObject(riskFreeRateModel))
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified target, reference, and period value
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/// </summary>
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/// <param name="targetSymbol">The target symbol of this indicator</param>
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/// <param name="referenceSymbol">The reference symbol of this indicator</param>
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/// <param name="period">Period of the indicator - alpha and beta</param>
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/// <param name="riskFreeRateModel">The risk free rate model of this indicator</param>
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public Alpha(Symbol targetSymbol, Symbol referenceSymbol, int period, PyObject riskFreeRateModel)
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: this($"ALPHA({targetSymbol},{referenceSymbol},{period})", targetSymbol, referenceSymbol, period, period, RiskFreeInterestRateModelPythonWrapper.FromPyObject(riskFreeRateModel))
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{
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}
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/// <summary>
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/// Creates a new Alpha indicator with the specified name, target, reference, and period value
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/// </summary>
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/// <param name="name"></param>
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/// <param name="targetSymbol"></param>
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/// <param name="referenceSymbol"></param>
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/// <param name="period">Period of the indicator - alpha and beta</param>
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/// <param name="riskFreeRateModel">The risk free rate model of this indicator</param>
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public Alpha(string name, Symbol targetSymbol, Symbol referenceSymbol, int period, PyObject riskFreeRateModel)
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: this(name, targetSymbol, referenceSymbol, period, period, RiskFreeInterestRateModelPythonWrapper.FromPyObject(riskFreeRateModel))
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{
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}
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/// <summary>
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/// Computes the next value for this indicator from the given state.
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/// </summary>
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/// <param name="input"></param>
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/// <returns></returns>
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/// <exception cref="ArgumentException"></exception>
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protected override decimal ComputeNextValue(IBaseDataBar input)
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{
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if (input is null)
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{
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throw new ArgumentNullException(nameof(input));
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}
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var inputSymbol = input.Symbol;
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if (inputSymbol == _targetSymbol)
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{
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_targetROC.Update(input.EndTime, input.Close);
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}
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else if (inputSymbol == _referenceSymbol)
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{
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_referenceROC.Update(input.EndTime, input.Close);
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}
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else
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{
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throw new ArgumentException($"The input symbol {inputSymbol} is not the target or reference symbol.");
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}
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_beta.Update(input);
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if (_targetROC.Samples == _referenceROC.Samples && _referenceROC.Samples > 0)
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{
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ComputeAlpha();
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}
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return _alpha;
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}
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/// <summary>
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/// Computes the alpha of the target used in relation with the reference and stores it in the _alpha field
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/// </summary>
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private void ComputeAlpha()
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{
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if (!_beta.IsReady || !_targetROC.IsReady || !_referenceROC.IsReady)
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{
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_alpha = 0m;
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return;
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}
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var targetMean = _targetROC.Current.Value / _alphaPeriod;
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var referenceMean = _referenceROC.Current.Value / _alphaPeriod;
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var riskFreeRate = _riskFreeInterestRateModel.GetInterestRate(_targetROC.Current.EndTime);
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_alpha = targetMean - (riskFreeRate + _beta.Current.Value * (referenceMean - riskFreeRate));
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}
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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_targetROC.Reset();
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_referenceROC.Reset();
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_beta.Reset();
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_alpha = 0m;
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base.Reset();
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}
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}
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}
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