Gerardo Salazar
82 lines
2.7 KiB
C#
82 lines
2.7 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.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.USTreasury;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class USTreasuryYieldCurveRateAlgorithm : QCAlgorithm
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{
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private Symbol _yieldCurve;
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private Symbol _spy;
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private DateTime _lastInversion = DateTime.MinValue;
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public override void Initialize()
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{
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SetStartDate(2000, 3, 1);
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SetEndDate(2019, 9, 15);
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SetCash(100000);
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_spy = AddEquity("SPY", Resolution.Hour).Symbol;
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_yieldCurve = AddData<USTreasuryYieldCurveRate>("YIELDCURVE").Symbol;
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}
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public override void OnData(Slice data)
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{
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if (!data.ContainsKey(_yieldCurve))
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{
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return;
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}
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// Preserve null values by getting the data with `slice.Get<T>`
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// Accessing the data using `data[_yieldCurve]` results in null
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// values becoming `default(decimal)` which is equal to 0
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var rates = data.Get<USTreasuryYieldCurveRate>().Values.First();
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// Check for null before using the values
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if (!rates.TenYear.HasValue || !rates.TwoYear.HasValue)
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{
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return;
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}
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// Only advance if a year has gone by
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if (Time - _lastInversion < TimeSpan.FromDays(365))
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{
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return;
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}
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// if there is a yield curve inversion after not having one for a year, short SPY for two years
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if (!Portfolio.Invested && rates.TwoYear > rates.TenYear)
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{
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Debug($"{Time} - Yield curve inversion! Shorting the market for two years");
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SetHoldings(_spy, -0.5);
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_lastInversion = Time;
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return;
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}
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// If two years have passed, liquidate our position in SPY
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if (Time - _lastInversion >= TimeSpan.FromDays(365 * 2))
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{
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Liquidate(_spy);
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}
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}
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}
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}
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