Gerardo Salazar
66 lines
2.3 KiB
Python
66 lines
2.3 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.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Custom.USTreasury import *
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from datetime import datetime, timedelta
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class USTreasuryYieldCurveRateAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2000, 3, 1)
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self.SetEndDate(2019, 9, 15)
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self.SetCash(100000)
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self.spy = self.AddEquity("SPY", Resolution.Hour).Symbol
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self.yieldCurve = self.AddData(USTreasuryYieldCurveRate, "YIELDCURVE").Symbol
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self.lastInversion = datetime(1, 1, 1)
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def OnData(self, data):
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if not data.ContainsKey(self.yieldCurve):
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return
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rates = data[self.yieldCurve]
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# Check for None before using the values
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if rates.TenYear is None or rates.TwoYear is None:
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return
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# Only advance if a year has gone by
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if (self.Time - self.lastInversion) < timedelta(days=365):
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return
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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 not self.Portfolio.Invested and rates.TwoYear > rates.TenYear:
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self.Debug(f"{self.Time} - Yield curve inversion! Shorting the market for two years")
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self.SetHoldings(self.spy, -0.5)
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self.lastInversion = self.Time
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return
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# If two years have passed, liquidate our position in SPY
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if self.Time - self.lastInversion >= timedelta(days=365 * 2):
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self.Liquidate(self.spy)
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