Martin Molinero
cfa08a11fb
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm` - Removing `QCAlgorithmFrameworkBridge` - Removing `IsFrameworkAlgorithm` - Making `EmitInsightBasedOnFill` private. Adding new `IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will subscribe. - `AccountType.Cash` algorithms will be allowed to manually trade and emight insights manually or with alpha model.
94 lines
3.8 KiB
Python
94 lines
3.8 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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from System import *
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from QuantConnect import *
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from QuantConnect.Data.UniverseSelection import *
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from QuantConnect.Orders.Fees import ConstantFeeModel
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from QuantConnect.Algorithm.Framework.Alphas import *
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from QuantConnect.Algorithm.Framework.Portfolio import EqualWeightingPortfolioConstructionModel
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from QuantConnect.Algorithm.Framework.Selection import ManualUniverseSelectionModel
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from datetime import timedelta
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#
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# Leveraged ETFs (LETF) promise a fixed leverage ratio with respect to an underlying asset or an index.
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# A Triple-Leveraged ETF allows speculators to amplify their exposure to the daily returns of an underlying index by a factor of 3.
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#
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# Increased volatility generally decreases the value of a LETF over an extended period of time as daily compounding is amplified.
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#
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# This alpha emits short-biased insight to capitalize on volatility decay for each listed pair of TL-ETFs, by rebalancing the
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# ETFs with equal weights each day.
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#
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# This alpha is part of the Benchmark Alpha Series created by QuantConnect which are open sourced so the community and client funds can see an example of an alpha.
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#
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class TripleLeverageETFPairVolatilityDecayAlpha(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2018, 1, 1)
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self.SetCash(100000)
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# Set zero transaction fees
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self.SetSecurityInitializer(lambda security: security.SetFeeModel(ConstantFeeModel(0)))
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# 3X ETF pair tickers
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ultraLong = Symbol.Create("UGLD", SecurityType.Equity, Market.USA)
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ultraShort = Symbol.Create("DGLD", SecurityType.Equity, Market.USA)
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# Manually curated universe
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self.UniverseSettings.Resolution = Resolution.Daily
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self.SetUniverseSelection(ManualUniverseSelectionModel([ultraLong, ultraShort]))
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# Select the demonstration alpha model
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self.SetAlpha(RebalancingTripleLeveragedETFAlphaModel(ultraLong, ultraShort))
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## Set Equal Weighting Portfolio Construction Model
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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## Set Immediate Execution Model
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self.SetExecution(ImmediateExecutionModel())
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## Set Null Risk Management Model
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self.SetRiskManagement(NullRiskManagementModel())
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class RebalancingTripleLeveragedETFAlphaModel(AlphaModel):
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'''
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Rebalance a pair of 3x leveraged ETFs and predict that the value of both ETFs in each pair will decrease.
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'''
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def __init__(self, ultraLong, ultraShort):
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# Giving an insight period 1 days.
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self.period = timedelta(1)
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self.magnitude = 0.001
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self.ultraLong = ultraLong
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self.ultraShort = ultraShort
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self.Name = "RebalancingTripleLeveragedETFAlphaModel"
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def Update(self, algorithm, data):
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return Insight.Group(
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[
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Insight.Price(self.ultraLong, self.period, InsightDirection.Down, self.magnitude),
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Insight.Price(self.ultraShort, self.period, InsightDirection.Down, self.magnitude)
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] ) |