Stefano Raggi
122 lines
4.6 KiB
C#
122 lines
4.6 KiB
C#
/*
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* 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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*/
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using System;
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using System.Collections;
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using System.Collections.Generic;
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using QuantConnect.Securities;
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using System.Globalization;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect
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{
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// Name your algorithm class anything, as long as it inherits QCAlgorithm
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public class TestMixedAssets : QCAlgorithm
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{
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private decimal _vix = 0;
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private decimal _deployedCapital = 1;
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private decimal _safeCapital = 0;
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private DateTime _lastRebalance = new DateTime();
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//Initialize the data and resolution you require for your strategy:
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public override void Initialize()
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{
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SetStartDate(2013, 7, 1);
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SetEndDate(2014, 10, 31);
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SetCash(250000);
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute, fillDataForward: false, leverage: 1, extendedMarketHours: false);
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AddSecurity(SecurityType.Equity, "IBM", Resolution.Minute, fillDataForward: false, leverage: 1, extendedMarketHours: false);
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AddData<VIX>("VIX", Resolution.Minute);
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}
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// Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
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public void OnData(TradeBars data)
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{
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if (_vix == 0) return;
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if (Time.Date > _lastRebalance.Date.AddDays(5))
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{
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//Rebalance every 5 days:
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_lastRebalance = Time;
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//Scale VIX fractionally 0-1 for 8-30.
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_deployedCapital = 1 - ((_vix - 8m) / 22m);
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//Don't allow negative scaling:
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if (_deployedCapital < -0.20m) _deployedCapital = -0.20m;
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//Fraction of capital preserved for bonds:
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_safeCapital = 1 - _deployedCapital;
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var tag = "Deployed: " + _deployedCapital.ToString("0.00") + " Safe: " + _safeCapital.ToString("0.00");
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SetHoldings("SPY", _deployedCapital, true, tag);
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SetHoldings("IBM", _safeCapital - 0.01m, false, tag);
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}
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}
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//
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public void OnData(VIX vix)
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{
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_vix = vix.Close;
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}
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}
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/// <summary>
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/// Custom imported data -- VIX indicator:
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/// </summary>
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public class VIX : BaseData
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{
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public decimal Open = 0;
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public decimal High = 0;
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public decimal Low = 0;
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public decimal Close = 0;
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public VIX()
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{ this.Symbol = "VIX"; }
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public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
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{
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return "https://www.quandl.com/api/v3/datasets/YAHOO/INDEX_VIX.csv?trim_start=2000-01-01&trim_end=2014-10-31&order=asc&exclude_headers=true";
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}
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
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{
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VIX fear = new VIX();
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//try
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//{
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//Date Open High Low Close Volume Adjusted Close
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//10/27/2014 17.24 17.87 16 16.04 0 16.04
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string[] data = line.Split(',');
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fear.Time = DateTime.ParseExact(data[0], "yyyy-MM-dd", CultureInfo.InvariantCulture);
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fear.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
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fear.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
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fear.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
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fear.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
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fear.Symbol = "VIX"; fear.Value = fear.Close;
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//}
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//catch
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//{ }
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return fear;
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}
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public override BaseData Clone()
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{
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VIX fear = new VIX();
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fear.Open = Open; fear.High = High; fear.Low = Low; fear.Close = Close;
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return fear;
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}
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}
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} |