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

Algorithm.Python/AltData/SmartInsiderTransactionAlgorithm.py

@@ -0,0 +1,56 @@
+# 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.Algorithm.Framework.Selection import *
+from QuantConnect.Data import *
+from QuantConnect.Data.Custom.SmartInsider import *
+from QuantConnect.Data.UniverseSelection import *
+
+class SmartInsiderTransactionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2019, 3, 1)
+        self.SetEndDate(2019, 8, 30)
+        self.SetCash(1000000)
+
+        self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseUniverse))
+
+    def CoarseUniverse(self, coarse):
+        symbols = [i.Symbol for i in coarse if i.HasFundamentalData and i.DollarVolume > 50000000][:10]
+
+        for symbol in symbols:
+            self.AddData(SmartInsiderTransaction, symbol)
+
+        return symbols
+
+    def OnData(self, data):
+
+        # Get all SmartInsider data available
+        transactions = data.Get(SmartInsiderTransaction)
+
+        # Loop over all the insider transactions
+        for transaction in transactions.Values:
+            if transaction.VolumePercentage is None or transaction.BuybackType is None:
+                continue
+
+            # Using the SmartInsider transaction information, buy when company does a stock buyback
+            if transaction.BuybackType == "Transaction" and transaction.VolumePercentage > 5:
+                self.SetHoldings(transaction.Symbol.Underlying, transaction.VolumePercentage / 100)

Algorithm.Python/AltData/USTreasuryYieldCurveRateAlgorithm.py

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+# 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)