Merge branch 'master' into feature-add-smartinsider-demonstration-algorithm

Algorithm.Python/AltData/USTreasuryYieldCurveRateAlgorithm.py

@@ -0,0 +1,65 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Data import *
+from QuantConnect.Data.Custom.USTreasury import *
+
+from datetime import datetime, timedelta
+
+class USTreasuryYieldCurveRateAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+
+        self.SetStartDate(2000, 3, 1)
+        self.SetEndDate(2019, 9, 15)
+        self.SetCash(100000)
+
+        self.spy = self.AddEquity("SPY", Resolution.Hour).Symbol
+        self.yieldCurve = self.AddData(USTreasuryYieldCurveRate, "YIELDCURVE").Symbol
+        self.lastInversion = datetime(1, 1, 1)
+
+    def OnData(self, data):
+
+        if not data.ContainsKey(self.yieldCurve):
+            return
+
+        rates = data[self.yieldCurve]
+
+        # Check for None before using the values
+        if rates.TenYear is None or rates.TwoYear is None:
+            return
+
+        # Only advance if a year has gone by
+        if (self.Time - self.lastInversion) < timedelta(days=365):
+            return
+
+        # if there is a yield curve inversion after not having one for a year, short SPY for two years
+        if not self.Portfolio.Invested and rates.TwoYear > rates.TenYear:
+            self.Debug(f"{self.Time} - Yield curve inversion! Shorting the market for two years")
+            self.SetHoldings(self.spy, -0.5)
+
+            self.lastInversion = self.Time
+
+            return
+
+        # If two years have passed, liquidate our position in SPY
+        if self.Time - self.lastInversion >= timedelta(days=365 * 2):
+            self.Liquidate(self.spy)

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -1,4 +1,4 @@
-<?xml version="1.0" encoding="utf-8"?>
+<?xml version="1.0" encoding="utf-8"?>
 <Project ToolsVersion="12.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <Import Project="..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props" Condition="Exists('..\packages\Microsoft.CodeAnalysis.FxCopAnalyzers.2.9.3\build\Microsoft.CodeAnalysis.FxCopAnalyzers.props')" />
   <Import Project="..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props" Condition="Exists('..\packages\Microsoft.NetFramework.Analyzers.2.9.3\build\Microsoft.NetFramework.Analyzers.props')" />
@@ -61,6 +61,7 @@
     <Content Include="Alphas\TripleLeverageETFPairVolatilityDecayAlpha.py" />
     <Content Include="Alphas\VIXDualThrustAlpha.py" />
     <Content Include="AltData\SmartInsiderTransactionAlgorithm.py" />
+    <Content Include="AltData\USTreasuryYieldCurveRateAlgorithm.py" />
     <Content Include="AltData\PsychSignalSentimentAlgorithm.py" />
     <Content Include="AltData\TradingEconomicsAlgorithm.py" />
     <Content Include="AltData\TiingoNewsAlgorithm.py" />