wehub-resource-sync
102 lines
4.3 KiB
C#
102 lines
4.3 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 QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Orders.Fees;
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp.Alphas
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{
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/// <summary>
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/// Leveraged ETFs (LETF) promise a fixed leverage ratio with respect to an underlying asset or an index.
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/// A Triple-Leveraged ETF allows speculators to amplify their exposure to the daily returns of an underlying index by a factor of 3.
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///
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/// Increased volatility generally decreases the value of a LETF over an extended period of time as daily compounding is amplified.
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///
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/// This alpha emits short-biased insight to capitalize on volatility decay for each listed pair of TL-ETFs, by rebalancing the
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/// ETFs with equal weights each day.
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///
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/// This alpha is part of the Benchmark Alpha Series created by QuantConnect which are open sourced so the community and client funds can see an example of an alpha.
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/// </summary>
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public class TripleLeveragedETFPairVolatilityDecayAlpha : QCAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2018, 1, 1);
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SetCash(100000);
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// Set zero transaction fees
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SetSecurityInitializer(security => security.FeeModel = new ConstantFeeModel(0));
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// 3X ETF pair tickers
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var ultraLong = QuantConnect.Symbol.Create("UGLD", SecurityType.Equity, Market.USA);
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var ultraShort = QuantConnect.Symbol.Create("DGLD", SecurityType.Equity, Market.USA);
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// Manually curated universe
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UniverseSettings.Resolution = Resolution.Daily;
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SetUniverseSelection(new ManualUniverseSelectionModel(new[] { ultraLong, ultraShort }));
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// Select the demonstration alpha model
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SetAlpha(new RebalancingTripleLeveragedETFAlphaModel(ultraLong, ultraShort));
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// Equally weigh securities in portfolio, based on insights
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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// Set Immediate Execution Model
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SetExecution(new ImmediateExecutionModel());
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// Set Null Risk Management Model
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SetRiskManagement(new NullRiskManagementModel());
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}
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/// <summary>
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/// Rebalance a pair of 3x leveraged ETFs and predict that the value of both ETFs in each pair will decrease.
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/// </summary>
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private class RebalancingTripleLeveragedETFAlphaModel : AlphaModel
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{
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private const double _magnitude = 0.001;
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private readonly Symbol _ultraLong;
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private readonly Symbol _ultraShort;
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private readonly TimeSpan _period;
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public RebalancingTripleLeveragedETFAlphaModel(Symbol ultraLong, Symbol ultraShort)
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{
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// Giving an insight period 1 days.
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_period = QuantConnect.Time.OneDay;
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_ultraLong = ultraLong;
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_ultraShort = ultraShort;
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Name = "RebalancingTripleLeveragedETFAlphaModel";
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}
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public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
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{
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return Insight.Group(new[]
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{
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Insight.Price(_ultraLong, _period, InsightDirection.Down, _magnitude),
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Insight.Price(_ultraShort, _period, InsightDirection.Down, _magnitude)
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});
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}
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}
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}
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} |