from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Python import PythonQuandl

class CalibratedMultidimensionalCompensator(QCAlgorithm):
    
    Time_stop = datetime.min

    def Initialize(self):
        self.SetStartDate(2015, 1, 1)
        self.SetEndDate(2020,3,10)# Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.Ticker = ["AAPL","FB","MSFT","LMT","GS","MS","BAC","TSLA","GM","NVDA","AMD","AMZN","XOM","HAL","EA","SNE","SPY","JPM","SWKS","UBS","CS","GOOG","BLK","BX"]
        self.SMAS = {}
        self.RSIA = {}
        self.SMAL = {}
        self.SMAST = {}
        for ticker in self.Ticker:
            symbol = self.AddEquity(ticker,Resolution.Daily).Symbol
            self.RSIA[symbol] = self.RSI(ticker,14)
            self.SMAS[symbol] = self.SMA(ticker,20)
            self.SMAL[symbol] = self.SMA(ticker,200)
            self.SMAST[symbol] = self.SMA(ticker,10)
            
        self.SetExecution(ImmediateExecutionModel())
        self.SetWarmUp(200)
        self.maximumDrawdownPercent = -0.10
        self.initialised = False
        self.portfolioHigh = 0
        self.AddEquity('TLT',Resolution.Daily)
        self.TBills = "USTREASURY/YIELD"
        self.AddData(QuandlFuture, self.TBills, Resolution.Daily)
        # self.AddEquity("SPY", Resolution.Minute)
        
    def OnData(self, data):
        
        dt = data["USTREASURY/YIELD"]
        self.one_year = dt.GetProperty("1 YR")
        
        self.Debug(self.one_year)
        
class QuandlFuture(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = "3 MO"