class AlphaFiveUSTreasuries(QCAlgorithm):
def Initialize(self):
#1. Required: Five years of backtest history
self.SetStartDate(2014, 1, 1)
#2. Required: Alpha Streams Models:
self.SetBrokerageModel(BrokerageName.AlphaStreams)
#3. Required: Significant AUM Capacity
self.SetCash(1000000)
#4. Required: Benchmark to SPY
self.SetBenchmark("SPY")
self.treasury_etfs = ["IEF", "SHY", "TLT", "IEI", "SHV", "TLH", "EDV", "BIL",
"SPTL", "TBT", "TMF", "TMV", "TBF", "VGSH", "VGIT",
"VGLT", "SCHO", "SCHR", "SPTS", "GOVT"]
# Add Equity ------------------------------------------------
for i in range(len(self.treasury_etfs)):
self.AddEquity(self.treasury_etfs[i],Resolution.Minute)
def OnData(self, data):
pass