Start New Discussion 
Back
Reward Discussion 
14
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
namespace QuantConnect
{
/*
* QuantConnect University: Futures Example
*
* QuantConnect allows importing generic data sources! This example demonstrates importing a futures
* data from the popular open data source Quandl.
*
* QuantConnect has a special deal with Quandl giving you access to Stevens Continuous Futurs (SCF) for free.
* If you'd like to download SCF for local backtesting, you can download it through Quandl.com.
*/
public class DualMomentumSectorRotation : QCAlgorithm
{
// we'll use this to tell us when the month has ended
DateTime LastRotationTime = DateTime.MinValue;
TimeSpan RotationInterval = TimeSpan.FromDays(30);
string SPY = "SPY";
string ACWI = "ACWI";
string Tbill = "BIL";
string Bonds = "AGG";
List GEMSymbols = new List
{
SPY,
ACWI,
Tbill,
Bonds
};
// these are the growth symbols we'll rotate through
List SectorSymbols = new List
{
"XLV", //healthcare
"XLK", //technology
"XLI", //industrial
"XLU", //utilities
"XLF", //financials
"XLY", //consumerdisc
"XLP", //consumerstap
"XLB", //basic materials
"XLE", // energy
"PSR", //real estate
"IYZ" // communications
};
// we'll hold some computed data in these guys
List SymbolData = new List();
// Indicators
//Momentum _momSPY;
//Momentum _momACWI;
//Momentum _momTbill;
//DateTime sampledToday = DateTime.Now;
public override void Initialize()
{
SetStartDate(2004, 1, 1);
SetEndDate(DateTime.Now.Date.AddDays(-1));
SetCash(25000);
foreach (var symbol in GEMSymbols.Union(SectorSymbols))
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Securities[symbol].SetDataNormalizationMode(DataNormalizationMode.TotalReturn);
var momentum = MOM(symbol, 252, Resolution.Daily);
SymbolData.Add(new SymbolData
{
Symbol = symbol,
Momentum = momentum
});
}
}
private bool first = true;
//Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
public void OnData(TradeBars data)
{
if (first)
{
first = false;
LastRotationTime = data.Time;
return;
}
var delta = data.Time.Subract(LastRotationTime);
if (delta > RotationInterval)
{
LastRotationTime = data.Time;
var orderedMomScores = SymbolData.OrderByDescending(x => x.MomScore).ToList();
var strongSectors = orderedMomScores.Where(val => val.MomScore >= _momSPY).ToList();
foreach (var score in orderedObjScores)
{
Log(">>SCORE>>" + score.Symbol + ">>" + score.MomScore);
}
foreach (var strongSectorScore in strongSectors)
{
Log(">>SCORE>>" + strongSectorScore.Symbol + ">>" + strongSectorScore.MomScore);
}
}
if (!_momSPY.IsReady) return;
decimal holdingPercent = .5m;
if (_momSPY >= 0 && _momSPY > _momTbill)
{
Liquidate();
foreach (var etf in strongSectors)
{
SetHoldings(etf.Symbol, holdingPercent * (1m / strongSectors.count));
}
} else
{
if(Portfolio[Bonds].Quantity > 0) return;
Liquidate();
SetHoldings(Bonds, holdingPercent);
Log("Set Holdings to " + Portfolio[Bonds].Quantity + "of " + Bonds);
}
}
}
}
class SymbolData
{
public string Symbol;
public Momentum OneMonthPerformance { get; set; }
public Momentum ThreeMonthPerformance { get; set; }
public decimal ObjectiveScore
{
get
{
// we weight the one month performance higher
decimal weight1 = 100;
decimal weight2 = 75;
return (weight1 * OneMonthPerformance + weight2 * ThreeMonthPerformance) / (weight1 + weight2);
}
}
}
The QC University algorithm "Global ETF Rotation" seems to build fine - which algorithm are you cloning with errors?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Thanks. I was cloning this algo https://www.quantconnect.com/forum/discussion/comment/1127#Comment_1127, but it looks like deleted the SymbolData class from it in the process. Not sure why I saw errors; it backtested fine but still threw up errors in the console; maybe an issue from having two different projects open in different windows being edited. I think the actual error was in my project, not the one I linked to above.
To help me get familiar with the platform, is there a way to see all of the available methods and classes available? Maybe something like in-console documentation (eg, "SetHoldings -h >> [displays description, usage, available options])? I assumed SymbolData was a build-in class, still learning the in and outs of the platform (and exposing my programming inexperience int he process). I really appreciate your prompt reply.
Michael,
Thanks for the kind words. I will definitely post the results once i get the bugs worked out.
Rewriting the documentation is finally the highest thing on my todo list so we'll have some shiny new docs in the next week :) Its a huge job..
Re: Momentum - If I understand you correctly; currently we build daily bars from minute data, and fire the day-data-point into the momentum indicator. So you shouldn't need to do anything special to make it work with daily data -- just select your start and end periods with SetStartDate();.
If you want to do 1 data point per year for a momentum indicator, then yes you'd use 252 points for equities, 312 for FX, to build a 1 year bar.
var consolidator = ResolveConsolidator("SPY", TimeSpan.FromDays(30)); // 1 month bars
var momentum = new Momentum(12);
RegisterIndicator("SPY", momentum, consolidator, Field.Close);The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Also, question regarding line 139, where i refer to the count of strongSectors: I am expecting this to be 2x the number of etfs w/ momentum > spy, that the strongSectors list has a format like this: "etf1, momentumOfEtf1, etf2, momentumOfEtf2, ...". Am I interpreting this code correctly?
var orderedMomScores = SectorSymbolData.OrderByDescending(x => x.MomScore).ToList();And it's the runtime saying he doesn't know how to compare two instances of Momentum. Try using the following line instead:
var orderedMomScores = SectorSymbolData.OrderByDescending(x => x.MomScore.Current.Value).ToList();I've added to my to-do list to make the indicators IComparable so that they can be ordered as you expected.
This line:
strongSectors = orderedMomScores.Where(val => val.MomScore >= GEMSymbolData[1].MomScore).ToList();Will select all instances of SymbolData from the orderedMomScores list that have a momentum higher than GEMSymbolData[1].MomScore. It's not selecting the symbol and THEN the momentum score, it's selecting the instance of SymbolData that contains both of those pieces of information.
Also, I would recommend using a dictionary instead of a list so you can index them by string.
Dictionary GEMSymbolData = new Dictionary();
// in initialize
GEMSymbolData.Add(symbol, new SymbolData(...)); This way you would be able to access the SPY momentum scoreby GEMSymbolData["SPY"].MomScore. The random constant integers scare me :D.
I hope this helps! Let me know if you need anything else!
Have a peak at this algo another user shared. It uses the CAPE ratio to detect 'bubbly' market times.
Also, I am still getting a few margin calls even while setting leverage on all assets to 1x; is this supposed to happen?
We're getting ready to deploy a fix for the leverage=1 margin calls. First we need to wait for some backtests to stop so we don't kill user's jobs :) I'll try and take a peak at your code later tonight and see if I can figure out the 0 position in AGG.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can
continue your Boot Camp training progress from the terminal. We
hope to see you in the community soon!
QuantConnect™ 2023. All Rights Reserved
