public override void Initialize()
{
SetCash(10000);
SetStartDate(1998, 1, 1);
SetEndDate(DateTime.Now);
//SetBenchmark("SPY");
SetWarmup(44);
foreach (var symbol in _symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
_selectionDatas.AddOrUpdate(symbol, new TrendSelectionData(symbol));
}
Schedule.On(DateRules.On(new DateTime(2000, 7, 1), new DateTime(2007, 10, 1)), TimeRules.BeforeMarketClose("SPY"), () =>
{
Log("Sell >> " + Securities["SPY"].Price + " Symbol " + "SPY");
SetHoldings("SPY", -FractionOfPortfolio);
});
_chart = new Chart("ICH", ChartType.Overlay);
_chart.AddSeries(new Series("Price", SeriesType.Line));
_chart.AddSeries(new Series("Tenkan", SeriesType.Line));
_chart.AddSeries(new Series("Kijun", SeriesType.Line));
_chart.AddSeries(new Series("SenkouA", SeriesType.Line));
_chart.AddSeries(new Series("SenkouB", SeriesType.Line));
_chart.AddSeries(new Series("ADX", SeriesType.Line));
_chart.AddSeries(new Series("ADX.NegativeDirectionalIndex", SeriesType.Line));
_chart.AddSeries(new Series("ADX.PositiveDirectionalIndex", SeriesType.Line));
}
public void RebalanceFunctionDateRules(Language language)
{
var dateRules = new DateRules(new SecurityManager(
new TimeKeeper(new DateTime(2015, 1, 1), DateTimeZone.Utc)), DateTimeZone.Utc);
TestPortfolioConstructionModel constructionModel;
if (language == Language.Python)
{
constructionModel = new TestPortfolioConstructionModel();
using (Py.GIL())
{
dynamic func = PythonEngine.ModuleFromString("RebalanceFunc",
@"
import datetime
def RebalanceFunc(dateRules):
return dateRules.On(datetime.datetime(2015, 1, 10), datetime.datetime(2015, 1, 30))").GetAttr("RebalanceFunc");
constructionModel.SetRebalancingFunc(func(dateRules));
}
}
else
{
var dateRule = dateRules.On(new DateTime(2015, 1, 10), new DateTime(2015, 1, 30));
constructionModel = new TestPortfolioConstructionModel(dateRule);
}
Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 1), new Insight[0]));
Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 10), new Insight[0]));
Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 20), new Insight[0]));
Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 29), new Insight[0]));
Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 2, 1), new Insight[0]));
Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 2, 2), new Insight[0]));
Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 10, 2), new Insight[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(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);
}
public void DateRulesToFunc()
{
var dateRules = new DateRules(new SecurityManager(
new TimeKeeper(new DateTime(2015, 1, 1), DateTimeZone.Utc)), DateTimeZone.Utc);
var first = new DateTime(2015, 1, 10);
var second = new DateTime(2015, 1, 30);
var dateRule = dateRules.On(first, second);
var func = dateRule.ToFunc();
Assert.AreEqual(first, func(new DateTime(2015, 1, 1)));
Assert.AreEqual(first, func(new DateTime(2015, 1, 5)));
Assert.AreEqual(second, func(first));
Assert.AreEqual(Time.EndOfTime, func(second));
Assert.AreEqual(Time.EndOfTime, func(second));
}
public void Rebalance(Universe universe, List <Symbol> newPortfolio)
{
List <Symbol> portfolio = GetPortfolioSymbols();
List <Symbol> sellList = this.minus(portfolio, newPortfolio);
List <Symbol> buyList = this.minus(newPortfolio, portfolio);
int diff = sellList.Count() - buyList.Count();
while (diff > 0)
{
sellList.RemoveAt(0);
diff--;
}
foreach (var symbol in sellList)
{
Security security = universe.Members[symbol];
DateTime nextOpen = security.Exchange.Hours.GetNextMarketOpen(new DateTime(Time.Year, Time.Month, Time.Day), false);
Schedule.On(
DateRules.On(nextOpen.Year, nextOpen.Month, nextOpen.Day),
TimeRules.AfterMarketOpen(symbol, 60),
() => {
//Debug("sold " + symbol);
Liquidate(symbol);
}
);
}
foreach (var symbol in buyList)
{
Security security = universe.Members[symbol];
DateTime nextOpen = security.Exchange.Hours.GetNextMarketOpen(new DateTime(Time.Year, Time.Month, Time.Day), false);
Schedule.On(
DateRules.On(nextOpen.Year, nextOpen.Month, nextOpen.Day),
TimeRules.AfterMarketOpen(symbol, 90),
() => {
//Debug("bought " + symbol);
SetHoldings(symbol, 0.95m / newPortfolio.Count);
}
);
}
}
