public override void Initialize()
{
var res = TimeSpan.FromHours(1);
if (VOL_PROTECT)
{
AddEquity("VIXM", Resolution.Hour);
}
foreach (var s in symbols)
{
AddEquity(s, Resolution.Minute).SetLeverage(2);
pfe[s] = new PolarisedFractalEfficiency();
Algo.RegisterIndicator(s, pfe[s], res);
ppfe[s] = 0;
eit[s] = new EhlerInstantaneousTrend();
Algo.RegisterIndicator(s, eit[s], res);
pvalue[s] = 0;
activate[s] = false;
// if (riskProtectSymbols.Contains(s))
// {
// prevPerf[s] = 1;
// reference[s] = 1;
// _pfeReference[s] = new PolarisedFractalEfficiency();
// }
}
}
public static bool Activate(string strategy, PolarisedFractalEfficiency indicator)
{
var day = indicator.Current.EndTime.Day;
if (_pday != day)
{
_pday = day;
if (!_values.ContainsKey(strategy))
{
_values[strategy] = indicator.Current.Value;
//_previousValues[strategy] = indicator;
if (indicator > 0)
{
_activated.Add(strategy);
return(true);
}
return(false);
}
else
{
var pv = _values[strategy];
var cv = indicator.Current.Value;
if (cv > pv && cv > -50)
{
_activated.Add(strategy);
return(true);
}
else if (pv > 75 && cv < 75 || cv < -50)
{
_activated.Remove(strategy);
return(false);
}
_values[strategy] = cv;
}
}
return(_activated.Contains(strategy));
}
public override void Initialize()
{
/*SetStartDate(2020, 1, 1);
* if (LATEST_DEPLOY) SetStartDate(2021, 2, 6);
*/
//SetStartDate(2016, 1, 1);
//SetEndDate(2021, 3, 15); //Set Start Date
// SetStartDate(2011, 2, 1);
// SetEndDate(2020, 1, 15);
POS_COUNT = symbols.Count();
POS_COUNT -= (symbols.Contains("VXX")) ? 1: 0;
POS_COUNT -= (symbols.Contains("VXX.1")) ? 1: 0;
//CASH = Math.Max(10000*POS_COUNT, 20000);//Max for when testing VXX only
//CASH = 145886;
if (LATEST_DEPLOY)
{
CASH = 179860;
}
//SetCash(CASH); //Set Strategy Cash
//SetStartDate(2018, 3, 1); //Set Start Date
// if (symbols.Count() > 5)
// {
// //symbols.UnionWith(Universes.SP500);
// symbols.UnionWith(Universes.NDX);
// symbols.UnionWith(Universes.NDX99);
// }
//SetWarmup(TimeSpan.FromDays(stockPickingPeriod*4));
var res = TimeSpan.FromHours(1);
if (VOL_PROTECT)
{
AddEquity("VIXM", Resolution.Hour);
}
foreach (var s in symbols)
{
AddEquity(s, Resolution.Minute).SetLeverage(2);
pfe[s] = new PolarisedFractalEfficiency();
Algo.RegisterIndicator(s, pfe[s], res);
ppfe[s] = 0;
eit[s] = new EhlerInstantaneousTrend();
Algo.RegisterIndicator(s, eit[s], res);
pvalue[s] = 0;
activate[s] = false;
// if (riskProtectSymbols.Contains(s))
// {
// prevPerf[s] = 1;
// reference[s] = 1;
// _pfeReference[s] = new PolarisedFractalEfficiency();
// }
}
}
public void Update(QCAlgorithm algo)
{
if (algo.Time.Day == _previousDay)
{
return;
}
foreach (var a in _algos)
{
var perf = a.Algo.Portfolio.TotalPortfolioValue / _previousPnl[a.Algo.Name];
_previousPnl[a.Algo.Name] = a.Algo.Portfolio.TotalPortfolioValue;
_dailyReturns[a.Algo.Name].Add(perf);
}
_previousDay = algo.Time.Day;
//then we compute new weights valid for the period/day
//we compute relative weights 2 by 2 and then take the average
var pfeScores = new Dictionary <string, decimal>();
var processed = new HashSet <string>();
foreach (var a1 in _algos)
{
var name1 = a1.Algo.Name;
pfeScores[name1] = 0;
foreach (var a2 in _algos)
{
var name2 = a2.Algo.Name;
if (name1 == name2 || processed.Contains(name2))
{
continue;
}
//computes pfe for a1/a2
//sanity check
var ret1 = _dailyReturns[name1];
var ret2 = _dailyReturns[name2];
if (ret2 != null && ret1 != null && (!ret1.IsReady || !ret2.IsReady || ret1.Count != ret2.Count))
{
throw new Exception("why are we here?");
continue;
}
var pfe = new PolarisedFractalEfficiency();
DateTime dt = DateTime.Now;
var p1 = 1m;
var p2 = 1m;
pfe.Update(new IndicatorDataPoint(dt, p1 / p2));
for (int i = 0; i < ret1.Count; i++)
{
p1 *= ret1.ElementAt(0);
p2 *= ret2.ElementAt(0);
pfe.Update(new IndicatorDataPoint(dt.AddDays(i + 1), p1 / p2));
}
pfeScores[name1] += pfe + 100;
pfeScores[name2] += -pfe + 100;
}
processed.Add(name1);
_weights[name1] = Math.Max(pfeScores[name1], 0);
}
//now rescale the weights
// note than when there is a subset if there are ties, they will all be included
// but scaled properly in the weights so we should not trigger leverage breach from here
var scalingFactor = (_subset == 0) ? _weights.Values.Sum()
: _weights.Values.GroupBy(x => x)
.OrderByDescending(x => x)
.Take(_subset)
.SelectMany(x => x)
.Sum();;
var threshold = -100m;
if (_subset != 0) // then we set the threshold to be @ the subset level
{
threshold = _weights.Values.GroupBy(x => x)
.OrderByDescending(x => x)
.Skip(_subset)
.Take(1)
.SelectMany(x => x).Average();
}
foreach (var key in _weights.Keys.ToList())
{
var w = _weights[key];
if (w > threshold)
{
_weights[key] = w / scalingFactor;
}
else
{
_weights[key] = 0;
}
}
}
