public override void OnData(Slice slice)
{
if (_dailyReturns.Samples == 0)
{
SetHoldings(spy, _spyAllocation);
SetHoldings(tlt, _tltAllocation);
}
else if (_dailyReturns.IsReady)
{
var highestSharpe = 0m;
for (decimal spyAllocation = 0.0m, tltAllocation = 1.0m;
spyAllocation <= 1.0m;
spyAllocation += 0.1m, tltAllocation -= 0.1m)
{
var sharpe = VolatilityScaledSharpeRatio(spyAllocation, tltAllocation);
if (sharpe > highestSharpe)
{
_spyAllocation = spyAllocation;
_tltAllocation = tltAllocation;
}
}
_sd.Reset();
_dailyReturns.Reset();
_previousTradeBar = null;
return;
}
if (_previousTradeBar != null)
{
UpdateDailyReturn();
}
_previousTradeBar = new Tuple <TradeBar, TradeBar>(slice[spy], slice[tlt]);
}
/// <summary>
/// Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand)
/// </summary>
public override void Reset()
{
StandardDeviation.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
/// <summary>
/// Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand, BandWidth, %B)
/// </summary>
public override void Reset()
{
StandardDeviation.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
BandWidth.Reset();
PercentB.Reset();
base.Reset();
}
public void ResetsProperlyStandardDeviation()
{
var std = new StandardDeviation(3);
std.Update(DateTime.Today, 1m);
std.Update(DateTime.Today.AddSeconds(1), 5m);
std.Update(DateTime.Today.AddSeconds(2), 1m);
Assert.IsTrue(std.IsReady);
std.Reset();
TestHelper.AssertIndicatorIsInDefaultState(std);
}
public override void Initialize()
{
SetStartDate(2015, 1, 1);
SetEndDate(DateTime.Now);
SetCash(10000);
AddSecurity(SecurityType.Equity, spy, _dataResolution);
AddSecurity(SecurityType.Equity, tlt, _dataResolution);
_sd = new StandardDeviation(LookbackPeriod - 1);
_dailyReturns = new RollingWindow <Tuple <decimal, decimal> >(LookbackPeriod - 1);
var spyHistory = History(spy, TimeSpan.FromDays(LookbackPeriod), _dataResolution);
var tltHistory = History(tlt, TimeSpan.FromDays(LookbackPeriod), _dataResolution);
var history = spyHistory.Zip(tltHistory, (spyBar, tltBar) => new Tuple <TradeBar, TradeBar>(spyBar, tltBar));
var highestSharpe = 0m;
for (decimal spyAllocation = 0.0m, tltAllocation = 1.0m; spyAllocation <= 1.0m; spyAllocation += 0.1m, tltAllocation -= 0.1m)
{
var previousBar = history.First();
foreach (var tradeBar in history.Skip(1))
{
var spyReturn = spyAllocation * (tradeBar.Item1.Close - previousBar.Item1.Close) / previousBar.Item1.Close;
var tltReturn = tltAllocation * (tradeBar.Item2.Close - previousBar.Item2.Close) / previousBar.Item2.Close;
_dailyReturns.Add(new Tuple <decimal, decimal>(spyReturn, tltReturn));
_sd.Update(tradeBar.Item1.EndTime, spyReturn + tltReturn);
previousBar = tradeBar;
}
var mean = _dailyReturns.Select(dailyReturn => dailyReturn.Item1 + dailyReturn.Item2).Average();
var sharpe = mean / Convert.ToDecimal(Math.Pow(Convert.ToDouble(_sd), _volatilityFactor));
if (sharpe > highestSharpe)
{
highestSharpe = sharpe;
_spyAllocation = spyAllocation;
_tltAllocation = tltAllocation;
}
_sd.Reset();
_dailyReturns.Reset();
}
}
public void UpdateWeights()
{
var highestSharpe = 0m;
for (decimal spyAllocation = 0.0m, tltAllocation = 1.0m;
spyAllocation <= 1.0m;
spyAllocation += 0.1m, tltAllocation -= 0.1m)
{
var sharpe = VolatilityScaledSharpeRatio(spyAllocation, tltAllocation);
if (sharpe > highestSharpe)
{
_spyAllocation = spyAllocation;
_tltAllocation = tltAllocation;
highestSharpe = sharpe;
}
}
_sd.Reset();
_dailyReturns.Reset();
}
