Jack Simonson
180 lines
8.3 KiB
Python
180 lines
8.3 KiB
Python
# 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.
|
|
|
|
'''
|
|
A number of companies publicly trade two different classes of shares
|
|
in US equity markets. If both assets trade with reasonable volume, then
|
|
the underlying driving forces of each should be similar or the same. Given
|
|
this, we can create a relatively dollar-netural long/short portfolio using
|
|
the dual share classes. Theoretically, any deviation of this portfolio from
|
|
its mean-value should be corrected, and so the motivating idea is based on
|
|
mean-reversion. Using a Simple Moving Average indicator, we can
|
|
compare the value of this portfolio against its SMA and generate insights
|
|
to buy the under-valued symbol and sell the over-valued symbol.
|
|
|
|
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.
|
|
'''
|
|
|
|
|
|
|
|
from clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
AddReference("QuantConnect.Indicators")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Data.Market import TradeBar
|
|
from QuantConnect.Algorithm.Framework import *
|
|
from QuantConnect.Algorithm.Framework.Risk import *
|
|
from QuantConnect.Orders.Fees import ConstantFeeModel
|
|
from QuantConnect.Algorithm.Framework.Alphas import *
|
|
from QuantConnect.Algorithm.Framework.Execution import *
|
|
from QuantConnect.Algorithm.Framework.Portfolio import *
|
|
from QuantConnect.Algorithm.Framework.Selection import *
|
|
from QuantConnect.Indicators import RollingWindow, SimpleMovingAverage
|
|
|
|
from datetime import timedelta, datetime
|
|
import numpy as np
|
|
|
|
|
|
class ShareClassMeanReversionAlgorithm(QCAlgorithmFramework):
|
|
|
|
def Initialize(self):
|
|
|
|
self.SetStartDate(2019, 1, 1) #Set Start Date
|
|
self.SetCash(100000) #Set Strategy Cash
|
|
self.SetWarmUp(20)
|
|
|
|
## Setup Universe settings and tickers to be used
|
|
tickers = ['VIA','VIAB']
|
|
self.UniverseSettings.Resolution = Resolution.Minute
|
|
symbols = [ Symbol.Create(ticker, SecurityType.Equity, Market.USA) for ticker in tickers]
|
|
self.SetSecurityInitializer(lambda security: security.SetFeeModel(ConstantFeeModel(0))) ## Set $0 fees to mimic High-Frequency Trading
|
|
|
|
## Set Manual Universe Selection
|
|
self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
|
|
|
|
## Set Custom Alpha Model
|
|
self.SetAlpha(ShareClassMeanReversionAlphaModel(tickers = tickers))
|
|
|
|
## Set Equal Weighting Portfolio Construction Model
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
|
|
|
|
## Set Immediate Execution Model
|
|
self.SetExecution(ImmediateExecutionModel())
|
|
|
|
## Set Null Risk Management Model
|
|
self.SetRiskManagement(NullRiskManagementModel())
|
|
|
|
|
|
|
|
class ShareClassMeanReversionAlphaModel(AlphaModel):
|
|
''' Initialize helper variables for the algorithm'''
|
|
|
|
def __init__(self, *args, **kwargs):
|
|
self.sma = SimpleMovingAverage(10)
|
|
self.position_window = RollingWindow[Decimal](2)
|
|
self.alpha = None
|
|
self.beta = None
|
|
if 'tickers' not in kwargs:
|
|
raise Exception('ShareClassMeanReversionAlphaModel: Missing argument: "tickers"')
|
|
self.tickers = kwargs['tickers']
|
|
self.position_value = None
|
|
self.invested = False
|
|
self.liquidate = 'liquidate'
|
|
self.long_symbol = self.tickers[0]
|
|
self.short_symbol = self.tickers[1]
|
|
self.resolution = kwargs['resolution'] if 'resolution' in kwargs else Resolution.Minute
|
|
self.prediction_interval = Time.Multiply(Extensions.ToTimeSpan(self.resolution), 5) ## Arbitrary
|
|
self.insight_magnitude = 0.001
|
|
|
|
def Update(self, algorithm, data):
|
|
insights = []
|
|
|
|
## Check to see if either ticker will return a NoneBar, and skip the data slice if so
|
|
for security in algorithm.Securities:
|
|
if self.DataEventOccured(data, security.Key):
|
|
return insights
|
|
|
|
## If Alpha and Beta haven't been calculated yet, then do so
|
|
if (self.alpha is None) or (self.beta is None):
|
|
self.CalculateAlphaBeta(algorithm, data)
|
|
algorithm.Log('Alpha: ' + str(self.alpha))
|
|
algorithm.Log('Beta: ' + str(self.beta))
|
|
|
|
## If the SMA isn't fully warmed up, then perform an update
|
|
if not self.sma.IsReady:
|
|
self.UpdateIndicators(data)
|
|
return insights
|
|
|
|
## Update indicator and Rolling Window for each data slice passed into Update() method
|
|
self.UpdateIndicators(data)
|
|
|
|
## Check to see if the portfolio is invested. If no, then perform value comparisons and emit insights accordingly
|
|
if not self.invested:
|
|
if self.position_value >= self.sma.Current.Value:
|
|
insights.append(Insight(self.long_symbol, self.prediction_interval, InsightType.Price, InsightDirection.Down, self.insight_magnitude, None))
|
|
insights.append(Insight(self.short_symbol, self.prediction_interval, InsightType.Price, InsightDirection.Up, self.insight_magnitude, None))
|
|
|
|
## Reset invested boolean
|
|
self.invested = True
|
|
|
|
elif self.position_value < self.sma.Current.Value:
|
|
insights.append(Insight(self.long_symbol, self.prediction_interval, InsightType.Price, InsightDirection.Up, self.insight_magnitude, None))
|
|
insights.append(Insight(self.short_symbol, self.prediction_interval, InsightType.Price, InsightDirection.Down, self.insight_magnitude, None))
|
|
|
|
## Reset invested boolean
|
|
self.invested = True
|
|
|
|
## If the portfolio is invested and crossed back over the SMA, then emit flat insights
|
|
elif self.invested and self.CrossedMean():
|
|
## Reset invested boolean
|
|
self.invested = False
|
|
|
|
return Insight.Group(insights)
|
|
|
|
def DataEventOccured(self, data, symbol):
|
|
## Helper function to check to see if data slice will contain a symbol
|
|
if data.Splits.ContainsKey(symbol) or \
|
|
data.Dividends.ContainsKey(symbol) or \
|
|
data.Delistings.ContainsKey(symbol) or \
|
|
data.SymbolChangedEvents.ContainsKey(symbol):
|
|
return True
|
|
|
|
def UpdateIndicators(self, data):
|
|
## Calculate position value and update the SMA indicator and Rolling Window
|
|
self.position_value = (self.alpha * data[self.long_symbol].Close) - (self.beta * data[self.short_symbol].Close)
|
|
self.sma.Update(data[self.long_symbol].EndTime, self.position_value)
|
|
self.position_window.Add(self.position_value)
|
|
|
|
def CrossedMean(self):
|
|
## Check to see if the position value has crossed the SMA and then return a boolean value
|
|
if (self.position_window[0] >= self.sma.Current.Value) and (self.position_window[1] < self.sma.Current.Value):
|
|
return True
|
|
elif (self.position_window[0] < self.sma.Current.Value) and (self.position_window[1] >= self.sma.Current.Value):
|
|
return True
|
|
else:
|
|
return False
|
|
|
|
def CalculateAlphaBeta(self, algorithm, data):
|
|
## Calculate Alpha and Beta, the initial number of shares for each security needed to achieve a 50/50 weighting
|
|
self.alpha = algorithm.CalculateOrderQuantity(self.long_symbol, 0.5)
|
|
self.beta = algorithm.CalculateOrderQuantity(self.short_symbol, 0.5)
|
|
|
|
def OnSecuritiesChanged(self, algorithm, changes):
|
|
## Skip this method since the Universe is fixed and nothing needs to be done when securities are first added
|
|
pass |