wehub-resource-sync
284 lines
11 KiB
C#
284 lines
11 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;
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using System.Collections.Generic;
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using System.Globalization;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Strategy example algorithm using CAPE - a bubble indicator dataset saved in dropbox. CAPE is based on a macroeconomic indicator(CAPE Ratio),
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/// we are looking for entry/exit points for momentum stocks CAPE data: January 1990 - December 2014
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/// Goals:
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/// Capitalize in overvalued markets by generating returns with momentum and selling before the crash
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/// Capitalize in undervalued markets by purchasing stocks at bottom of trough
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/// </summary>
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/// <meta name="tag" content="strategy example" />
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/// <meta name="tag" content="custom data" />
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public class BubbleAlgorithm : QCAlgorithm
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{
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private decimal _currCape;
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private readonly decimal[] _c = new decimal[4];
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private readonly decimal[] _cCopy = new decimal[4];
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private bool _newLow;
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private int _counter;
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private int _counter2;
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private MovingAverageConvergenceDivergence _macd;
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private RelativeStrengthIndex _rsi = new RelativeStrengthIndex(14);
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private readonly ArrayList _symbols = new ArrayList();
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private readonly Dictionary<string, RelativeStrengthIndex> _rsiDic = new Dictionary<string, RelativeStrengthIndex>();
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private readonly Dictionary<string, MovingAverageConvergenceDivergence> _macdDic = new Dictionary<string, MovingAverageConvergenceDivergence>();
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/// <summary>
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/// Called at the start of your algorithm to setup your requirements:
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/// </summary>
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public override void Initialize()
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{
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SetCash(100000);
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_symbols.Add("SPY");
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SetStartDate(1998, 1, 1);
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SetEndDate(2014, 6, 1);
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//Present Social Media Stocks:
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// symbols.Add("FB");symbols.Add("LNKD");symbols.Add("GRPN");symbols.Add("TWTR");
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// SetStartDate(2011, 1, 1);
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// SetEndDate(2014, 12, 1);
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//2008 Financials:
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// symbols.Add("C");symbols.Add("AIG");symbols.Add("BAC");symbols.Add("HBOS");
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// SetStartDate(2003, 1, 1);
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// SetEndDate(2011, 1, 1);
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//2000 Dot.com:
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// symbols.Add("IPET");symbols.Add("WBVN");symbols.Add("GCTY");
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// SetStartDate(1998, 1, 1);
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// SetEndDate(2000, 1, 1);
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//CAPE data
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AddData<CAPE>("CAPE");
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foreach (string stock in _symbols)
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{
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AddSecurity(SecurityType.Equity, stock, Resolution.Minute);
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_macd = MACD(stock, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily);
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_macdDic.Add(stock, _macd);
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_rsi = RSI(stock, 14, MovingAverageType.Exponential, Resolution.Daily);
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_rsiDic.Add(stock, _rsi);
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Securities[stock].SetLeverage(10);
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}
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}
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/// <summary>
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/// Trying to find if current Cape is the lowest Cape in three months to indicate selling period
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/// </summary>
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public void OnData(CAPE data)
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{
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_newLow = false;
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//Adds first four Cape Ratios to array c
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_currCape = data.Cape;
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if (_counter < 4)
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{
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_c[_counter++] = _currCape;
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}
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//Replaces oldest Cape with current Cape
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//Checks to see if current Cape is lowest in the previous quarter
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//Indicating a sell off
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else
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{
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Array.Copy(_c, _cCopy, 4);
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Array.Sort(_cCopy);
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if (_cCopy[0] > _currCape) _newLow = true;
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_c[_counter2++] = _currCape;
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if (_counter2 == 4) _counter2 = 0;
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}
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Debug("Current Cape: " + _currCape + " on " + data.Time);
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if (_newLow) Debug("New Low has been hit on " + data.Time);
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}
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/// <summary>
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/// New data for our assets.
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/// </summary>
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public override void OnData(Slice slice)
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{
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try
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{
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//Bubble territory
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if (_currCape > 20 && _newLow == false)
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{
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foreach (string stock in _symbols)
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{
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//Order stock based on MACD
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//During market hours, stock is trading, and sufficient cash
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if (Securities[stock].Holdings.Quantity == 0 && _rsiDic[stock] < 70
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&& Securities[stock].Price != 0 && Portfolio.Cash > Securities[stock].Price * 100
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&& Time.Hour == 9 && Time.Minute == 31)
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{
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Buy(stock);
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}
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//Utilize RSI for overbought territories and liquidate that stock
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if (_rsiDic[stock] > 70 && Securities[stock].Holdings.Quantity > 0
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&& Time.Hour == 9 && Time.Minute == 31)
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{
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Sell(stock);
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}
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}
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}
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// Undervalued territory
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else if (_newLow)
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{
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foreach (string stock in _symbols)
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{
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//Sell stock based on MACD
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if (Securities[stock].Holdings.Quantity > 0 && _rsiDic[stock] > 30
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&& Time.Hour == 9 && Time.Minute == 31)
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{
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Sell(stock);
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}
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//Utilize RSI and MACD to understand oversold territories
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else if (Securities[stock].Holdings.Quantity == 0 && _rsiDic[stock] < 30
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&& Securities[stock].Price != 0 && Portfolio.Cash > Securities[stock].Price * 100
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&& Time.Hour == 9 && Time.Minute == 31)
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{
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Buy(stock);
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}
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}
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}
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// Cape Ratio is missing from original data
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// Most recent cape data is most likely to be missing
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else if (_currCape == 0)
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{
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Debug("Exiting due to no CAPE!");
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Quit("CAPE ratio not supplied in data, exiting.");
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}
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}
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catch (RegressionTestException err)
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{
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Error(err.Message);
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}
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}
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/// <summary>
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/// Buy this symbol
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/// </summary>
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public void Buy(string symbol)
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{
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var s = Securities[symbol].Holdings;
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if (_macdDic[symbol] > 0m)
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{
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SetHoldings(symbol, 1);
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Debug("Purchasing: " + symbol + " MACD: " + _macdDic[symbol] + " RSI: " + _rsiDic[symbol]
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+ " Price: " + Math.Round(Securities[symbol].Price, 2) + " Quantity: " + s.Quantity);
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}
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}
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/// <summary>
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/// Sell this symbol
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/// </summary>
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/// <param name="symbol"></param>
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public void Sell(string symbol)
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{
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var s = Securities[symbol].Holdings;
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if (s.Quantity > 0 && _macdDic[symbol] < 0m)
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{
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Liquidate(symbol);
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Debug("Selling: " + symbol + " at sell MACD: " + _macdDic[symbol] + " RSI: " + _rsiDic[symbol]
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+ " Price: " + Math.Round(Securities[symbol].Price, 2) + " Profit from sale: " + s.LastTradeProfit);
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}
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}
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}
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/// <summary>
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/// CAPE Ratio for SP500 PE Ratio for avg inflation adjusted earnings for previous ten years
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/// Custom Data from DropBox
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/// Original Data from: http://www.econ.yale.edu/~shiller/data.htm
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/// </summary>
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public class CAPE : BaseData
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{
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public decimal Cape { get; set; }
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private const string Format = "yyyy-MM";
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private readonly CultureInfo _provider = CultureInfo.InvariantCulture;
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/// <summary>
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/// Initializes a new instance of the <see cref="CAPE"/> indicator.
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/// </summary>
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public CAPE()
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{
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Symbol = "CAPE";
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}
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/// <summary>
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/// Return the URL string source of the file. This will be converted to a stream
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/// </summary>
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/// <param name="config">Configuration object</param>
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/// <param name="date">Date of this source file</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>String URL of source file.</returns>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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// Remember to add the "?dl=1" for dropbox links
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return new SubscriptionDataSource("https://www.dropbox.com/s/ggt6blmib54q36e/CAPE.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
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}
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/// <summary>
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/// Reader Method :: using set of arguments we specify read out type. Enumerate
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/// until the end of the data stream or file. E.g. Read CSV file line by line and convert
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/// into data types.
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/// </summary>
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/// <returns>BaseData type set by Subscription Method.</returns>
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/// <param name="config">Config.</param>
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/// <param name="line">Line.</param>
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/// <param name="date">Date.</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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var index = new CAPE();
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try
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{
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//Example File Format:
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//Date | Price | Div | Earning | CPI | FractionalDate | Interest Rate | RealPrice | RealDiv | RealEarnings | CAPE
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//2014.06 1947.09 37.38 103.12 238.343 2014.37 2.6 1923.95 36.94 101.89 25.55
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var data = line.Split(',');
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//Dates must be in the format YYYY-MM-DD. If your data source does not have this format, you must use
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//DateTime.ParseExact() and explicit declare the format your data source has.
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var dateString = data[0];
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index.Time = DateTime.ParseExact(dateString, Format, _provider);
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index.Cape = Convert.ToDecimal(data[10], CultureInfo.InvariantCulture);
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index.Symbol = "CAPE";
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index.Value = index.Cape;
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}
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catch
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{
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}
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return index;
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}
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}
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}
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