/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
SetSecurityInitializer(x => x.SetDataNormalizationMode(DataNormalizationMode.Raw));
_symbol = AddEquity("IBM", Resolution.Minute).Symbol;
AddEquity("AAPL", Resolution.Daily);
// 2013-10-07 was Monday, that's why we ask 3 days history to get data from previous Friday.
var history = History(new[] { _symbol }, TimeSpan.FromDays(3), Resolution.Minute).ToList();
Log($"{Time} - history.Count: {history.Count}");
const int expectedSliceCount = 390;
if (history.Count != expectedSliceCount)
{
throw new Exception($"History slices - expected: {expectedSliceCount}, actual: {history.Count}");
}
if (history.Any(s => s.Bars.Count != 1 && s.QuoteBars.Count != 1))
{
throw new Exception($"History not all slices have trades and quotes.");
}
Schedule.On(DateRules.EveryDay(_symbol), TimeRules.AfterMarketOpen(_symbol, 0), () => { _canTrade = true; });
Schedule.On(DateRules.EveryDay(_symbol), TimeRules.BeforeMarketClose(_symbol, 16), () => { _canTrade = false; });
}
public override void Initialize()
{
AddEquity(SYM, Resolution.Minute);
AddEquity("TLT", Resolution.Minute);
AddEquity("IEF", Resolution.Minute);
AddEquity("DBC", Resolution.Minute);
//AddEquity("VEA", Resolution.Minute);
AddEquity("GLD", Resolution.Minute);
//var week5Consolidator = new TradeBarConsolidator(TimeSpan.FromDays(22));
RegisterIndicator(SYM, ma, TimeSpan.FromDays(22));
//week5Consolidator.DataConsolidated += (sender, consolidated) => OnWeek5(sender, (TradeBar) consolidated);
// this call adds our 3 day to the manager to receive updates from the engine
//SubscriptionManager.AddConsolidator(SYM, week5Consolidator);
// There are other assets with similar methods. See "Selecting Options" etc for more details.
// AddFuture, AddForex, AddCfd, AddOption
Schedule.On(DateRules.EveryDay(SYM), TimeRules.AfterMarketOpen(SYM, 5), () =>
{
//Log("EveryDay.SPY 10 min after open: Fired at: " + Time);
if (fullOn)
{
if (Securities[SYM].Price < ma && prevRebalCondition)
{
var ratio = 1;
SetAllWeatherHoldings(ratio);
fullOn = false;
}
prevRebalCondition = Securities[SYM].Price > ma;
}
});
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
var security = AddEquity("SPY", Resolution.Minute);
_spy = security.Symbol;
_closedMarketLeverage = 2;
_openMarketLeverage = 5;
security.BuyingPowerModel = new PatternDayTradingMarginModel(_closedMarketLeverage, _openMarketLeverage);
Schedule.On(
DateRules.EveryDay(_spy),
// 15 minutes before market close, because PatternDayTradingMarginModel starts using closed
// market leverage 10 minutes before market closes.
TimeRules.BeforeMarketClose(_spy, 15),
() => {
// before market close we reduce our position to closed market leverage
SetHoldings(_spy, _closedMarketLeverage);
}
);
Schedule.On(
DateRules.EveryDay(_spy),
TimeRules.AfterMarketOpen(_spy, 1), // 1 min so that price is set
() => {
// at market open we increase our position to open market leverage
SetHoldings(_spy, _openMarketLeverage);
}
);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
_spy = AddEquity("SPY").Symbol;
var test = 0;
var dateRule = DateRules.EveryDay(_spy);
var aEventCount = 0;
var bEventCount = 0;
var cEventCount = 0;
// we add each twice and assert the order in which they are added is also respected for events at the same time
for (var i = 0; i < 2; i++)
{
var id = i;
Schedule.On(dateRule, TimeRules.At(9, 25), (name, time) =>
{
// for id 0 event count should always be 0, for id 1 should be 1
if (aEventCount != id)
{
throw new Exception($"Scheduled event triggered out of order: {Time} expected id {id} but was {aEventCount}");
}
aEventCount++;
// goes from 0 to 1
aEventCount %= 2;
AssertScheduledEventTime();
Debug($"{Time} :: Test: {test}"); test++;
});
Schedule.On(dateRule, TimeRules.BeforeMarketClose(_spy, 5), (name, time) =>
{
// for id 0 event count should always be 0, for id 1 should be 1
if (bEventCount != id)
{
throw new Exception($"Scheduled event triggered out of order: {Time} expected id {id} but was {bEventCount}");
}
bEventCount++;
// goes from 0 to 1
bEventCount %= 2;
AssertScheduledEventTime();
Debug($"{Time} :: Test: {test}"); test++;
});
Schedule.On(dateRule, TimeRules.At(16, 5), (name, time) =>
{
// for id 0 event count should always be 0, for id 1 should be 1
if (cEventCount != id)
{
throw new Exception($"Scheduled event triggered out of order: {Time} expected id {id} but was {cEventCount}");
}
cEventCount++;
// goes from 0 to 1
cEventCount %= 2;
AssertScheduledEventTime();
Debug($"{Time} :: Test: {test}"); test = 0;
});
}
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
// events are scheduled using date and time rules
// date rules specify on what dates and event will fire
// time rules specify at what time on thos dates the event will fire
// schedule an event to fire at a specific date/time
Schedule.On(DateRules.On(2013, 10, 7), TimeRules.At(13, 0), () =>
{
Log("SpecificTime: Fired at : " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes after SPY's market open
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 10), () =>
{
Log("EveryDay.SPY 10 min after open: Fired at: " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes before SPY's market close
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY", 10), () =>
{
Log("EveryDay.SPY 10 min before close: Fired at: " + Time);
});
// schedule an event to fire on certain days of the week
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Friday), TimeRules.At(12, 0), () =>
{
Log("Mon/Fri at 12pm: Fired at: " + Time);
});
// the scheduling methods return the ScheduledEvent object which can be used for other things
// here I set the event up to check the portfolio value every 10 minutes, and liquidate if we have too many losses
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(10)), () =>
{
// if we have over 1000 dollars in unrealized losses, liquidate
if (Portfolio.TotalUnrealizedProfit < -1000)
{
Log("Liquidated due to unrealized losses at: " + Time);
Liquidate();
}
});
// schedule an event to fire at the beginning of the month, the symbol is optional if
// specified, it will fire the first trading day for that symbol of the month, if not specified
// it will fire on the first day of the month
Schedule.On(DateRules.MonthStart("SPY"), TimeRules.AfterMarketOpen("SPY"), () =>
{
// good spot for rebalancing code?
});
}
public override void Initialize()
{
SetStartDate(2014, 6, 5);
SetEndDate(2014, 6, 9);
_twx = AddEquity("TWX", Resolution.Minute, extendedMarketHours: true).Symbol;
Schedule.On(DateRules.EveryDay(_twx), TimeRules.Every(TimeSpan.FromHours(1)), PlotPrice);
}
public override void Initialize()
{
// backtest parameters
// we have data for these dates locally
var start = new DateTime(2020, 01, 01, 09, 30, 0);
SetStartDate(start);
SetEndDate(start.AddDays(30));
SetCash(100000);
// set security and option universe for tradebar
_spy = AddEquity("SPY", Resolution.Minute);
var option = AddOption("SPY", Resolution.Minute);
// set filter on option universe
_optionSymbol = option.Symbol;
option.SetFilter(universe =>
from symbol in universe
.WeeklysOnly().Expiration(TimeSpan.Zero, TimeSpan.FromDays(10))
where symbol.ID.OptionRight != OptionRight.Put
select symbol);
// use the underlying equity as the benchmark
SetBenchmark("SPY");
// Creates a Rolling Window indicator to hold 2 TradeBars
_window = new RollingWindow <TradeBar>(2);
// Creates a Rolling Window indicator to hold 1 option contract
_optionWindow = new RollingWindow <OptionContract>(1);
// create RSI indicator
fast = new RelativeStrengthIndex("SPY", 14, MovingAverageType.Wilders);
// Create a Rolling Window to keep two Indicator Data Points
_rsiLag = new RollingWindow <IndicatorDataPoint>(2);
// define our 5 minute trade bar consolidator. we can access the 5 minute bar
// from the DataConsolidated events
var minConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(5));
// attach our event handler. the event handler is a function that will be called each time we produce
// a new consolidated piece of data.
minConsolidator.DataConsolidated += OnFiveMinutes;
// this call adds our daily consolidator to the manager to receive updates from the engine
SubscriptionManager.AddConsolidator("SPY", minConsolidator);
// we need to manually register these indicators for automatic updates
RegisterIndicator("SPY", fast, minConsolidator);
Schedule.On(DateRules.EveryDay(), TimeRules.BeforeMarketClose(_spy.Symbol, 4), () =>
{
CloseOpenPositions(_spy);
});
SetWarmUp(TimeSpan.FromDays(100));
}
public override void Initialize()
{
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(2500000);
SetCash("TRY", 111000, 1); //Set Strategy Cash
security = AddSecurity(SecurityType.Equity, BIST_SECURITY_NAME, Resolution.Second);
Schedule.On(DateRules.On(2016, 05, 11), TimeRules.At(11, 38), () =>
{
Log("SpecificTime: Fired at : " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes after SPY's market open
Schedule.On(DateRules.EveryDay(BIST_SECURITY_NAME), TimeRules.AfterMarketOpen(BIST_SECURITY_NAME, 10), () =>
{
Log("EveryDay.GARAN 10 min after open: Fired at: " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes before SPY's market close
Schedule.On(DateRules.EveryDay(BIST_SECURITY_NAME), TimeRules.BeforeMarketClose(BIST_SECURITY_NAME, 10), () =>
{
Log("EveryDay.GARAN 10 min before close: Fired at: " + Time);
});
// schedule an event to fire on certain days of the week
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Friday), TimeRules.At(12, 0), () =>
{
Log("Mon/Fri at 12pm: Fired at: " + Time);
});
// the scheduling methods return the ScheduledEvent object which can be used for other things
// here I set the event up to check the portfolio value every 10 minutes, and liquidate if we have too many losses
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(10)), () =>
{
Log("EveryDay 10 min Fired at: " + Time);
// if we have over 1000 dollars in unrealized losses, liquidate
if (Portfolio.TotalUnrealizedProfit < -1000)
{
Log("Liquidated due to unrealized losses at: " + Time);
Liquidate();
}
});
//SetBrokerageModel(BrokerageName.TEB);
//QuantConnect.Securities.Security sec = AddSecurity(SecurityType.Equity, SECURITY_NAME, Resolution.Second);
//security.DataFilter = new CustomDataFilter(); //Securities[securityName].DataFilter = new CustomDataFilter();
//sec.FeeModel = new QuantConnect.Orders.Fees.TEBFeeModel(0);
//sec.FillModel = new QuantConnect.Orders.Fills.TEBFillModel();
//sec.MarginModel = new QuantConnect.Securities.TEBSecurityMarginModel(1m);
//sec.SlippageModel = new QuantConnect.Orders.Slippage.TEBSlippageModel(0m);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 09);
SetCash(100000);
AddEquity("SPY", Resolution.Minute, extendedMarketHours: true, fillDataForward: false);
Schedule.On("RunHistoryCall", DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(1)), RunHistoryCall);
}
public override void Initialize()
{
SetStartDate(2018, 3, 26);
SetEndDate(2018, 4, 10);
foreach (var symbol in _symbols)
{
AddSecurity(symbol, Resolution.Minute);
}
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(1)), MakeHistoryCall);
}
public override void Initialize()
{
SetStartDate(2011, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(100000);
AddEquity("SPY");
foreach (int period in Enumerable.Range(0, 300))
{
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", period), Rebalance);
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY", period), Rebalance);
}
}
public override void Initialize()
{
SetStartDate(2011, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(100000);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
foreach (int period in Enumerable.Range(0, 100))
{
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", period), Rebalance);
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY", period), Rebalance);
}
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromSeconds(5)), Rebalance);
}
public override void Initialize()
{
// CHANGE ME
SetStartDate(2013, 10, 07); // Set Start Date
SetEndDate(2013, 10, 11); // Set End Date
SetCash(100000); // Set Strategy Cash
UniverseSettings.Resolution = Resolution.Daily;
_dataPath = Path.Combine(_rootDataPath,
_securityType.SecurityTypeToLower(),
_market,
"universes",
_resolution.ResolutionToLower(),
_universeName);
Directory.CreateDirectory(_dataPath);
// CHANGE ME
int step = 0;
AddUniverse(coarse =>
{
step++;
switch (step)
{
case 1:
case 2:
return(new[]
{
QuantConnect.Symbol.Create("QQQ", SecurityType.Equity, Market.USA),
QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
});
case 3:
return(Enumerable.Empty <Symbol>());
case 4:
case 5:
return(new[]
{
QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA),
QuantConnect.Symbol.Create("FB", SecurityType.Equity, Market.USA)
});
default:
throw new Exception("Unexpected step count");
}
});
Schedule.On(DateRules.EveryDay(), TimeRules.At(23, 0), SaveConstituentsUniverseDataToDisk);
}
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SetCash(100000);
foreach (var underlying in _underlyings)
{
AddEquity(underlying, Resolution.Minute);
}
// Every 15 min scan.
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.Every(TimeSpan.FromMinutes(15)), Scan);
}
public override void Initialize()
{
SetStartDate(2022, 02, 01);
SetEndDate(2022, 02, 08);
var esFuture = AddFuture("ES").Symbol;
Schedule.On(DateRules.EveryDay(esFuture),
TimeRules.AfterMarketOpen(esFuture),
EveryDayAfterMarketOpen);
Schedule.On(DateRules.EveryDay(esFuture),
TimeRules.BeforeMarketClose(esFuture),
EveryDayBeforeMarketClose);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2007, 1, 1);
SetEndDate(2010, 1, 1);
_spy = AddEquity("SPY", Resolution.Daily, leverage: 1).Symbol;
_appl = AddEquity("AAPL", Resolution.Daily, leverage: 1);
Schedule.On(DateRules.EveryDay(), TimeRules.Noon, () =>
{
Plot("Info", "Portfolio.MarginRemaining", Portfolio.MarginRemaining);
Plot("Info", "Portfolio.Cash", Portfolio.Cash);
});
}
public override void Initialize()
{
//SetStartDate(2010, 3, 1);
//SetEndDate(2020, 2, 15);
// SetStartDate(2019, 1, 1);
//SetCash(REF_CASH);
//SetWarmup(TimeSpan.FromDays(45));
var ref_etf = "UPRO";
// stocks.Add("TMF");
// stocks.Add(ref_etf);
foreach (var s in stocks)
{
AddEquity(s, Resolution.Minute);
}
AddEquity("VXX", Resolution.Minute);
bb = Algo.BB("VXX", 20, 2m, MovingAverageType.Exponential, Resolution.Daily);
//bbc = BB("UPRO", 100, 2m, MovingAverageType.Exponential, Resolution.Daily, x => (decimal)GetCorrel());
if (!LiveMode)
{
AddEquity("VXX.1", Resolution.Minute);
}
if (!LiveMode)
{
bb1 = Algo.BB("VXX.1", 20, 2m, MovingAverageType.Exponential, Resolution.Daily);
}
int c = stocks.Count;
weights = new double[c];
//Schedule.On(DateRules.Every(DayOfWeek.Tuesday), TimeRules.AfterMarketOpen(ref_etf, 60), () =>
Schedule.On(DateRules.EveryDay(ref_etf), TimeRules.AfterMarketOpen(ref_etf, 60), () =>
{
allocationTime = true;
Log("allocationTime = true");
});
// Schedule.On(DateRules.EveryDay(ref_etf), TimeRules.AfterMarketOpen(ref_etf, 60), () =>
// {
// if (!canAllocate) reallocateCheck = true;
// });
}
public override void Initialize()
{
SetStartDate(2020, 1, 1);
SetEndDate(2020, 3, 31);
SetCash(10000);
_spy = AddEquity("SPY", Resolution.Hour).Symbol;
var bnd = AddEquity("BND", Resolution.Hour).Symbol;
Schedule.On(DateRules.EveryDay(_spy), TimeRules.AfterMarketOpen(_spy, 1, false), () =>
{
SetHoldings(_spy, 0.5m);
SetHoldings(bnd, 0.5m);
});
}
public void TimeTriggeredDoesNotReturnPastTimes()
{
// Schedule our universe for 12PM each day
var universe = new ScheduledUniverse(
_dateRules.EveryDay(), _timeRules.At(12, 0),
(time =>
{
return(new List <Symbol>());
})
);
// For this test; start time will be 1/5/2000 wednesday at 3PM
// which is after 12PM, this case will ensure we don't have a 1/5 12pm event
var start = new DateTime(2000, 1, 5, 15, 0, 0);
var end = new DateTime(2000, 1, 10);
// Get our trigger times, these will be in UTC
var triggerTimesUtc = universe.GetTriggerTimes(start.ConvertToUtc(_timezone), end.ConvertToUtc(_timezone), MarketHoursDatabase.AlwaysOpen);
// Setup expectDate variables to assert behavior
// We expect the first day to be 1/6 12PM
var expectedDate = new DateTime(2000, 1, 6, 12, 0, 0);
foreach (var time in triggerTimesUtc)
{
// Convert our UTC time back to our timezone
var localTime = time.ConvertFromUtc(_timezone);
// Assert we aren't receiving dates prior to our start
Assert.IsTrue(localTime > start);
// Verify the date
Assert.AreEqual(expectedDate, localTime);
expectedDate = expectedDate.AddDays(1);
}
}
public override void Initialize()
{
SetStartDate(2013, 10, 8);
SetEndDate(2013, 10, 9);
SetCash(1000000);
foreach (var root in roots)
{
// set our expiry filter for this futures chain
AddFuture(root, Resolution.Minute).SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
}
SetBenchmark(d => 1000000);
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(1)), MakeHistoryCall);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
AddEquity("SPY");
AddForex("EURUSD", Resolution.Hour);
Schedule.On(DateRules.EveryDay(), TimeRules.Noon, () =>
{
Liquidate();
foreach (var ticker in new[] { "SPY", "EURUSD" })
{
PlaceTrade(ticker);
}
});
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2018, 04, 04);
SetEndDate(2018, 04, 06);
SetExecution(new ImmediateExecutionModel());
Settings.MinimumOrderMarginPortfolioPercentage = 0.01m;
SetPortfolioConstruction(new EqualWeightingAlphaStreamsPortfolioConstructionModel());
SetUniverseSelection(new ScheduledUniverseSelectionModel(
DateRules.EveryDay(),
TimeRules.Midnight,
SelectAlphas,
new UniverseSettings(UniverseSettings)
{
SubscriptionDataTypes = new List <Tuple <Type, TickType> >
{
new(typeof(AlphaStreamsPortfolioState), TickType.Trade)
},
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2010, 1, 1);
SetEndDate(2019, 1, 1);
var tickers = new List <string> {
"AAPL", "AMZN", "MSFT", "IBM", "FB", "QQQ",
"IWM", "BAC", "BNO", "AIG", "UW", "WM"
};
_securities = new List <Security>();
_customSymbols = new List <Symbol>();
foreach (var ticker in tickers)
{
var equity = AddEquity(ticker, Resolution.Hour);
_securities.Add(equity);
_customSymbols.Add(
AddData <SmartInsiderIntention>(equity.Symbol, Resolution.Daily).Symbol);
_customSymbols.Add(
AddData <SmartInsiderTransaction>(equity.Symbol, Resolution.Daily).Symbol);
}
Schedule.On(DateRules.EveryDay(), TimeRules.At(16, 0), () =>
{
foreach (var slice in History(_customSymbols, TimeSpan.FromDays(5)))
{
_historySymbolCount += slice.Count;
}
foreach (var security in _securities)
{
SmartInsiderIntention intention = security.Data.Get <SmartInsiderIntention>();
SmartInsiderTransaction transaction = security.Data.Get <SmartInsiderTransaction>();
if (!security.HoldStock && intention != null && transaction != null)
{
SetHoldings(security.Symbol, 1d / _securities.Count);
}
}
});
}
public override void Initialize()
{
SetStartDate(2017, 01, 01);
SetEndDate(2017, 02, 01);
SetUniverseSelection(new ScheduledUniverseSelectionModel(
DateRules.EveryDay(),
TimeRules.At(9, 31),
SelectSymbolsAt
));
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(6)), () =>
{
_scheduleEventEveryCallCount++;
if (Time.Hour != 0 &&
Time.Hour != 6 &&
Time.Hour != 12 &&
Time.Hour != 18)
{
throw new Exception($"Unexpected every 6 hours scheduled event time: {Time}");
}
});
Schedule.On(DateRules.EveryDay(), TimeRules.Noon, () =>
{
_scheduleEventNoonCallCount++;
if (Time.Hour != 12)
{
throw new Exception($"Unexpected Noon scheduled event time: {Time}");
}
});
Schedule.On(DateRules.EveryDay(), TimeRules.Midnight, () =>
{
_scheduleEventMidnightCallCount++;
if (Time.Hour != 0)
{
throw new Exception($"Unexpected Midnight scheduled event time: {Time}");
}
});
}
public override void Initialize()
{
SetStartDate(2020, 9, 1);
SetEndDate(2020, 9, 2);
SetCash(100000);
numberOfSymbols = 2000;
numberOfSymbolsFine = 1000;
SetUniverseSelection(new FineFundamentalUniverseSelectionModel(CoarseSelectionFunction, FineSelectionFunction));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
SetExecution(new ImmediateExecutionModel());
queue = new Queue <Symbol>();
dequeueSize = 100;
AddEquity("SPY", Resolution.Minute);
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(0, 0), FillQueue);
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.Every(TimeSpan.FromMinutes(60)), TakeFromQueue);
}
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Daily;
SetStartDate(2014, 03, 24);
SetEndDate(2014, 04, 06);
SetCash(50000);
AddUniverse(CoarseSelectionFunction);
// schedule an event at 10 AM every day
Schedule.On(
DateRules.EveryDay(),
TimeRules.At(10, 0),
() =>
{
foreach (var symbol in _coarsePrices.Keys)
{
if (Securities.ContainsKey(symbol))
{
// If the coarse price is emitted at midnight for the same date, we would have look-ahead bias
// i.e. _coarsePrices[symbol] would be the closing price of the current day,
// which we obviously cannot know at 10 AM :)
// As the coarse data is now emitted for the previous day, there is no look-ahead bias:
// _coarsePrices[symbol] and Securities[symbol].Price will have the same value (equal to the previous closing price)
// for the backtesting period, so we expect this algorithm to make zero trades.
if (_coarsePrices[symbol] > Securities[symbol].Price)
{
SetHoldings(symbol, 1m / NumberOfSymbols);
}
else
{
Liquidate(symbol);
}
}
}
}
);
}
/// <summary>
/// Initialize your algorithm and add desired assets.
/// </summary>
public override void Initialize()
{
//SetStartDate(2013, 11, 1);
//SetEndDate(2018, 9, 30);
SetStartDate(2015, 5, 1);
SetEndDate(2015, 7, 30);
SetCash(1000000000);
foreach (string symbol in S_AND_P_500_SYMOLS)
{
var option = AddOption(symbol, Resolution.Daily, null, false);
option.PriceModel = OptionPriceModels.BlackScholes();
// set our strike/expiry filter for this option chain
//option.SetFilter((universe) => universe.WeeklysOnly().Expiration(TimeSpan.FromDays(0), TimeSpan.FromDays(7)));
//option.SetFilter(TimeSpan.FromDays(0), TimeSpan.FromDays(7));
if (!this.registerForEOD)
{
this.registerForEOD = true;
// Schedule an event to fire every trading day for a security
// The time rule here tells it to fire 10 minutes before market close
Schedule.On(DateRules.EveryDay(option.Symbol), TimeRules.BeforeMarketClose(option.Symbol, 15), () =>
{
Log("EveryDay 15 min before markets close: Fired at: " + Time);
this.LiquidateExpiredOptions();
});
}
}
// set the warm-up period for the pricing model
SetWarmup(TimeSpan.FromDays(15));
// set the benchmark to be the initial cash
SetBenchmark((d) => 1000000000);
}
private readonly Dictionary <Symbol, SymbolData> _sd = new Dictionary <Symbol, SymbolData>(); //portfolio corresponding dic
/// <summary>
/// Initialise the data and resolution required, as well as the cash and
/// start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
//set trade period
SetStartDate(2010, 01, 01); //Set Start Date
SetEndDate(2018, 05, 01); //Set End Date
//设置总资金
SetCash(TOTALCASH); //Set Strategy Cash
//select stocks to be traded.
stockSelection();
foreach (var val in _sd.Values)
{
Schedule.On(DateRules.EveryDay(val.Symbol), TimeRules.AfterMarketOpen(val.Symbol, -1), () =>
{
Debug("EveryDay." + val.Symbol.ToString() + " initialize at: " + Time);
Transactions.CancelOpenOrders(val.Symbol); //close all open orders at the daily beginning
});
}
SetWarmup(TimeSpan.FromDays(NUMDAYWU));
}
public override void Initialize()
{
SetStartDate(2015, 1, 1);
SetEndDate(DateTime.Now);
SetCash(10000);
foreach (var equity in _equities)
{
AddSecurity(SecurityType.Equity, equity, Resolution.Minute);
}
_s = new int[_stocks.Length];
_x0 = new int[_stocks.Length];
_x1 = Enumerable.Repeat(1d / _stocks.Length, _stocks.Length).ToArray();
_symbolData = new Dictionary <Symbol, SymbolData>();
_bb = new BollingerBands(_spy, 22, 1.05m, MovingAverageType.Simple);
_spyWvf = new RollingWindow <decimal>(22);
foreach (var stock in _stocks)
{
var closes = new RollingWindow <decimal>(17 * 390);
var dailyCloses = new RollingWindow <TradeBar>(29);
var dailyConsolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));
dailyConsolidator.DataConsolidated += (sender, consolidated) => _symbolData[consolidated.Symbol].UpdateDaily(consolidated);
SubscriptionManager.AddConsolidator(stock, dailyConsolidator);
_symbolData.Add(stock, new SymbolData(closes, dailyCloses));
}
var spyDailyCloses = new RollingWindow <TradeBar>(28);
var spyDailyConsolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));
spyDailyConsolidator.DataConsolidated += (sender, consolidated) => _symbolData[consolidated.Symbol].UpdateDaily(consolidated);
SubscriptionManager.AddConsolidator(_spy, spyDailyConsolidator);
_symbolData.Add(_spy, new SymbolData(null, spyDailyCloses));
var vxxDailyConsolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));
vxxDailyConsolidator.DataConsolidated += (sender, consolidated) => _symbolData[consolidated.Symbol].UpdateDaily(consolidated);
SubscriptionManager.AddConsolidator(_vxx, vxxDailyConsolidator);
_symbolData.Add(_spy, new SymbolData(null, spyDailyCloses));
Schedule.On(DateRules.EveryDay(), TimeRules.AfterMarketOpen("SPY", 15d), () =>
{
if (_symbolData[_spy].IsReady)
{
return;
}
var vxxCloses = _symbolData[_vxx].DailyHistory.Select(tb => tb.Close);
var vxxLows = _symbolData[_vxx].DailyHistory.Select(tb => tb.Low);
// William's VIX Fix indicator a.k.a. the Synthetic VIX
var previousMax = vxxCloses.Take(28).Max();
var previousWvf = 100 * (previousMax - vxxLows.Skip(27).First()) / previousMax;
var max = vxxCloses.Skip(1).Max();
var wvf = 100 * (max - vxxLows.Last()) / max;
if (previousWvf < WvfLimit && wvf >= WvfLimit)
{
SetHoldings(_vxx, 0);
SetHoldings(_xiv, 0.07);
}
else if (previousWvf > WvfLimit && wvf <= WvfLimit)
{
SetHoldings(_vxx, 0.07);
SetHoldings(_xiv, 0);
}
});
Schedule.On(DateRules.EveryDay(), TimeRules.AfterMarketOpen("SPY", 15d), () =>
{
if (_symbolData[_spy].IsReady)
{
return;
}
var spyCloses = _symbolData[_spy].NDaysDailyHistory(22).Select(tb => tb.Close);
var spyLows = _symbolData[_spy].NDaysDailyHistory(22).Select(tb => tb.Low);
var max = spyCloses.Max();
var wvf = 100 * (max - spyLows.Last()) / max;
_bb.Update(DateTime.Now, wvf);
_spyWvf.Add(wvf);
var rangeHigh = _spyWvf.Max() * 0.9m;
var latestClose = _symbolData[_spy].NDaysDailyHistory(1).First().Close;
var spy_higher_then_Xdays_back = latestClose > _symbolData[_spy].NDaysDailyHistory(3).First().Close;
var spy_lower_then_longterm = latestClose > _symbolData[_spy].NDaysDailyHistory(40).First().Close;
var spy_lower_then_midterm = latestClose > _symbolData[_spy].NDaysDailyHistory(14).First().Close;
// Alerts Criteria
var alert2 = !(_spyWvf[0] >= _bb.UpperBand && _spyWvf[0] >= rangeHigh) &&
(_spyWvf[1] >= _bb.UpperBand && _spyWvf[2] >= rangeHigh);
if ((alert2 || spy_higher_then_Xdays_back) && (spy_lower_then_longterm || spy_lower_then_midterm))
{
SetHoldings(_spy, 0.3);
SetHoldings(_shortSpy, 0);
}
else
{
SetHoldings(_spy, 0);
SetHoldings(_shortSpy, 0.3);
}
});
Schedule.On(DateRules.EveryDay(), TimeRules.AfterMarketOpen("SPY", 15d), () =>
{
if (_symbolData[_spy].IsReady)
{
return;
}
var returns = new List <double[]>(); // 28?
foreach (var stock in _stocks)
{
_symbolData[stock].UpdateWeights();
returns.Add(_symbolData[stock].PercentReturn.Select(pr => (double)(pr / _symbolData[stock].Norm)).ToArray());
}
var retNorm = _symbolData.Select(s => s.Value.Norm);
var retNormMax = retNorm.Max();
var epsFactor = retNormMax > 0 ? 0.9m : 1.0m;
var eps = (double)(epsFactor * retNormMax);
var constraints = new List <LinearConstraint>();
constraints.Add(new LinearConstraint(Enumerable.Repeat(1.0, _stocks.Length).ToArray())
{
ShouldBe = ConstraintType.EqualTo,
Value = 1
});
constraints.Add(new LinearConstraint(retNorm.Select(x => (double)x).ToArray())
{
ShouldBe = ConstraintType.GreaterThanOrEqualTo,
Value = eps + eps * 0.01
}); // Add and subtract small bounce to achieve inequality?
constraints.Add(new LinearConstraint(retNorm.Select(x => (double)x).ToArray())
{
ShouldBe = ConstraintType.LesserThanOrEqualTo,
Value = eps - eps * 0.01
}); // Add and subtract small bounce to achieve inequality?
constraints.Add(new LinearConstraint(_stocks.Length)
{
VariablesAtIndices = Enumerable.Range(0, _stocks.Length).ToArray(),
ShouldBe = ConstraintType.GreaterThanOrEqualTo,
Value = 0
});
constraints.Add(new LinearConstraint(_stocks.Length)
{
VariablesAtIndices = Enumerable.Range(0, _stocks.Length).ToArray(),
ShouldBe = ConstraintType.LesserThanOrEqualTo,
Value = 1
});
var initialGuess = new double[_stocks.Length];
var f = new QuadraticObjectiveFunction(() => Variance(initialGuess, returns.ToMatrix()));
var solver = new GoldfarbIdnani(f, constraints);
solver.Minimize();
var weights = _x1;
var totalWeight = weights.Sum();
if (solver.Status == GoldfarbIdnaniStatus.Success)
{
weights = solver.Solution;
}
for (var i = 0; i < _stocks.Length; i++)
{
SetHoldings(_stocks[i], weights[i] / totalWeight);
}
});
}
public override void Initialize()
{
//set trade period
SetStartDate(2014, 6, 1); //Set Start Date
SetEndDate(2018, 6, 1); //Set End Date
//set total capital
SetCash(TOTALCASH); //Set Strategy Cash
SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash);
//select stocks to be traded.
stockSelection();
DateTimeZone TimeZone = DateTimeZoneProviders.Tzdb["America/New_York"];
Schedule.On(DateRules.EveryDay(), TimeRules.At(9, 40, TimeZone), () =>
{
List <SymbolData> ranks = new List <SymbolData>();
decimal tmp = 0;
foreach (var val in _sd.Values)
{
if (!val.Security.Exchange.DateIsOpen(Time))
{
continue;
}
else
{
Transactions.CancelOpenOrders(val.Symbol); //close all open orders at the daily beginning
if (!val.IsReady)
{
continue;
}
}
var tradeBarHistory = History <TradeBar>(val.Symbol, TimeSpan.FromDays(HS), Resolution.Daily);
//Calculate LSma
foreach (TradeBar tradeBar in tradeBarHistory)
{
tmp = tmp + tradeBar.Close;
//Debug("His_bar time: " + tradeBar.Time);
}
if (tradeBarHistory.Count() > 0)
{
val.LSma = tmp / tradeBarHistory.Count();
}
else
{
continue;
}
//Calculate SSma
int i = 0;
int count;
tmp = 0;
if (tradeBarHistory.Count() - WD2 > 0)
{
i = tradeBarHistory.Count() - WD2;
count = WD2;
}
else
{
count = tradeBarHistory.Count();
}
for (int j = i; j < tradeBarHistory.Count(); j++)
{
tmp = tmp + tradeBarHistory.ElementAt(j).Close;
}
val.SSma = tmp / count;
//System.Console.WriteLine("Count: " + tradeBarHistory.Count());
if (tradeBarHistory.Count() - WD1 > 0)
{
tmp = tradeBarHistory.ElementAt(tradeBarHistory.Count() - 1).Close
- tradeBarHistory.ElementAt(tradeBarHistory.Count() - 1 - WD1).Close;
if (tradeBarHistory.ElementAt(tradeBarHistory.Count() - 1 - WD1).Close > 0)
{
tmp = tmp /
tradeBarHistory.ElementAt(tradeBarHistory.Count() - 1 - WD1).Close;
}
else
{
tmp = tmp / ZERO;
}
}
else
{
tmp = tradeBarHistory.ElementAt(tradeBarHistory.Count() - 1).Close
- tradeBarHistory.ElementAt(0).Close;
if (tradeBarHistory.ElementAt(0).Close > 0)
{
tmp = tmp / tradeBarHistory.ElementAt(0).Close;
}
else
{
tmp = tmp / ZERO;
}
}
val.Return = tmp;
ranks.Add(val);
}
ranks.Sort(delegate(SymbolData x, SymbolData y) { return(y.CompareTo(x)); });
for (int i = 0; i < ranks.Count; i++)
{
if (i < TOP_K && ranks.ElementAt(i).SSma - ranks.ElementAt(i).LSma > 0)
{
ranks.ElementAt(i).wt = LEVERAGE / TOP_K;
}
else
{
ranks.ElementAt(i).wt = 0;
}
}
reweight(ranks);
});
}
