Overall Statistics
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;

namespace QuantConnect.Algorithm.MyStrategy.ETFRotation
{
    public class ETFSymbol
    {
        public string Symbol;

        public RateOfChangePercent ShortPerformance { get; set; }
        public RateOfChangePercent LongPerformance { get; set; }
        public StandardDeviation vol { get; set; }
        public int rank1 { get; set; }
        public int rank2 { get; set; }
        public int rank3 { get; set; }
        public int totalRank { get; set; }
        public bool isReady
        {
            get { return ShortPerformance.IsReady && LongPerformance.IsReady && vol.IsReady; }
        }

        public decimal ObjectiveScore
        {
            get
            {
                // we weight the one month performance higher
                decimal weight1 = 0.0m;
                decimal weight2 = 0.0m;
                decimal weight3 = 0.1m;

                return (weight1 * rank1 + weight2 * rank2 + weight3 * rank3);
            }
        }
        public int totalRankAdjusted { get; set; }
    }
}
/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/


//http://data.quantconnect.com/backtests/10257/127006/f2a4307b17cff43f4a458122536109f0-log.txt


using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;


namespace QuantConnect.Algorithm.MyStrategy.ETFRotation
{
    /// <summary>
    /// ETF Global Rotation Strategy
    /// </summary>
    public class ETFRotation20150623 : QCAlgorithm
    {
        // we'll use this to tell us when the month has ended
        DateTime LastRotationTime = DateTime.MinValue;
        TimeSpan RotationInterval = TimeSpan.FromDays(1); //jjb last day of month, week
        public Identity SPY_Close, EDV_Close;
        //public Identity EDV_Close;
        //public CompositeIndicator<IndicatorDataPoint> SPY_Over_EDV;
        //public SimpleMovingAverage EMA_SPY_Over_EDV;
        
        
        public IndicatorBase<IndicatorDataPoint> SPY_Over_EDV, SMA_SPY_Over_EDV;
        
        public bool isTradeDay = false;

        private bool first = true;
        
        private string test_symbol = "SPY";



        List<string> IndustrySymbols = new List<string>
        {

            "SPY",

        };


        
        List<DateTime> LastBday = new List<DateTime> 
        { 
            new DateTime(2009, 12, 31),
            new DateTime(2010, 1, 29),
            new DateTime(2010, 2, 26),
            new DateTime(2010, 3, 31),
            new DateTime(2010, 4, 30),
            new DateTime(2010, 5, 31),
            new DateTime(2010, 6, 30),
            new DateTime(2010, 7, 30),
            new DateTime(2010, 8, 31),
            new DateTime(2010, 9, 30),
            new DateTime(2010, 10, 29),
            new DateTime(2010, 11, 30),
            new DateTime(2010, 12, 31),
            new DateTime(2011, 1, 31),
            new DateTime(2011, 2, 28),
            new DateTime(2011, 3, 31),
            new DateTime(2011, 4, 29),
            new DateTime(2011, 5, 31),
            new DateTime(2011, 6, 30),
            new DateTime(2011, 7, 29),
            new DateTime(2011, 8, 31),
            new DateTime(2011, 9, 30),
            new DateTime(2011, 10, 31),
            new DateTime(2011, 11, 30),
            new DateTime(2009, 12, 31),
            new DateTime(2010, 01, 29),
            new DateTime(2010, 02, 26),
            new DateTime(2010, 03, 31),
            new DateTime(2010, 4, 30),
            new DateTime(2010, 5, 28),
            new DateTime(2010, 6, 30),
            new DateTime(2010, 7, 30),
            new DateTime(2010, 8, 31),
            new DateTime(2010, 9, 30),
            new DateTime(2010, 10, 29),
            new DateTime(2010, 11, 30),
            new DateTime(2010, 12, 31),
            new DateTime(2011, 1, 31),
            new DateTime(2011, 2, 28),
            new DateTime(2011, 3, 31),
            new DateTime(2011, 4, 29),
            new DateTime(2011, 5, 31),
            new DateTime(2011, 6, 30),
            new DateTime(2011, 7, 29),
            new DateTime(2011, 8, 31),
            new DateTime(2011, 9, 30),
            new DateTime(2011, 10, 31),
            new DateTime(2011, 11, 30),
            new DateTime(2011, 12, 30),
            new DateTime(2012, 1, 31),
            new DateTime(2012, 2, 29),
            new DateTime(2012, 3, 30),
            new DateTime(2012, 4, 30),
            new DateTime(2012, 5, 31),
            new DateTime(2012, 6, 29),
            new DateTime(2012, 7, 31),
            new DateTime(2012, 8, 31),
            new DateTime(2012, 9, 28),
            new DateTime(2012, 10, 31),
            new DateTime(2012, 11, 30),
            new DateTime(2012, 12, 31),
            new DateTime(2013, 1, 31),
            new DateTime(2013, 2, 28),
            new DateTime(2013, 3, 28),
            new DateTime(2013, 4, 30),
            new DateTime(2013, 5, 31),
            new DateTime(2013, 6, 28),
            new DateTime(2013, 7, 31),
            new DateTime(2013, 8, 30),
            new DateTime(2013, 9, 30),
            new DateTime(2013, 10, 31),
            new DateTime(2013, 11, 29),
            new DateTime(2013, 12, 31),
            new DateTime(2014, 1, 31),
            new DateTime(2014, 2, 28),
            new DateTime(2014, 3, 31),
            new DateTime(2014, 4, 30),
            new DateTime(2014, 5, 30),
            new DateTime(2014, 6, 30),
            new DateTime(2014, 7, 31),
            new DateTime(2014, 8, 29),
            new DateTime(2014, 9, 30),
            new DateTime(2014, 10, 31),
            new DateTime(2014, 11, 28),
            new DateTime(2014, 12, 31),
            new DateTime(2015, 1, 30),
            new DateTime(2015, 2, 27),
            new DateTime(2015, 3, 31),
            new DateTime(2015, 4, 30),
            new DateTime(2015, 5, 29),
            new DateTime(2015, 6, 30),
            new DateTime(2015, 7, 31),
            new DateTime(2015, 8, 28),

        };



        // we'll hold some computed data in these guys
        List<ETFSymbol> IndustryData = new List<ETFSymbol>();
        List<ETFSymbol> RankedIndustryData = new List<ETFSymbol>();


        
         public  List<ETFSymbol> findRanking(List<ETFSymbol> ETFList)
        {
            int n = 1;

 

            var rankedETFList = ETFList.OrderByDescending(o => o.ShortPerformance).ToList();
            n = 1;
            foreach (ETFSymbol ETF in rankedETFList)
            {
                ETF.totalRankAdjusted = n;
                n++;
            }



            return rankedETFList;
        }

        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
        	var cash = 100000;
            SetCash(cash);
            SetStartDate(2009, 12, 1);
            SetEndDate(2015, 8, 1);
            //SetEndDate(2015, 8, 28);

			

            foreach (var symbol in IndustrySymbols)
            {
                // ideally we would use daily data
                AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
                Securities[symbol].SetDataNormalizationMode(DataNormalizationMode.TotalReturn);
                var shortPerformance = ROCP(symbol, 10, Resolution.Daily); //6 m
                var longPerformance = ROCP(symbol, 10, Resolution.Daily);// 8 m
                var dailyReturn = ROCP(symbol, 1, Resolution.Daily);
                var volitality = new StandardDeviation("4Month Vol ROCP", 10).Of(dailyReturn); 

                IndustryData.Add(new ETFSymbol
                {
                    Symbol = symbol,
                    ShortPerformance = shortPerformance,
                    LongPerformance = longPerformance,
                    vol = volitality
                });
            }
            
            //
            // override default benchmark charting to respect total returns
            //
            
			// this requires SPY to be added as a security
			var security = Securities["SPY"];
			int shares = 0;
			bool first = true;
			SetBenchmark(dt =>
			{
				if (first)
				{
					// compute number of shares we could have 
					// purchased with starting capital
					shares = (int)(cash/security.Price);
					first = false;
				}
				return shares*security.Price;
			});
			
			// tell benchmark to be overlay instead of stacked
			var benchmark = new Chart("Benchmark");
			AddChart(benchmark);
			
			// also put equity on the share plot, this make an indicator that
			// is always ready and always returns your current total portfolio value
			// NOTE: this is kind of a hack, the Of(Identity) allows this indicator
			// to be updated each day, which makes the PlotIndicator function work
			var equityIndicator = new FunctionalIndicator<IndicatorDataPoint>("equity",
				input => Portfolio.TotalPortfolioValue,
				ind => true
				).Of(Identity("SPY", Resolution.Daily));
				
			// plot the equity indicator on top of the benchmark
			PlotIndicator("Benchmark", equityIndicator);
        }



        /// <summary>
        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// </summary>
        /// <param name="data">TradeBars IDictionary object with your stock data</param>
        public void OnData(TradeBars data)
        {


            try
            {

                
                
                
                if (first)
                {
                    first = false;
                    LastRotationTime = data.Time;
                    return;
                }
                
                if(2015 == data.Time.Year && 8 == data.Time.Month && 26 == data.Time.Day)
                {
                	Debug("Time: " + Time.Year.ToString() + "/" + Time.Month.ToString() + "/" +Time.Day.ToString() +": " + Portfolio.TotalPortfolioValue.ToString());
                
                	Debug("Price: " + Securities["SPY"].Close.ToString());
                }
                
				 
                
                isTradeDay = false;
                foreach (DateTime tradeDay in LastBday)
                {

                    if (tradeDay.Year == data.Time.Year && tradeDay.Month == data.Time.Month && tradeDay.Day == data.Time.Day)
                    {
                        isTradeDay = true;
                        break;
                    }
                    
                }
                

                if (!isTradeDay)
                {
                    return;
                }

                var delta = data.Time.Subtract(LastRotationTime);
                
                if (delta <= RotationInterval)
                {
                    return;
                }
                
                if ( data.Time.Hour == 15 && data.Time.Minute >= 49)
                {

                    LastRotationTime = data.Time;

                        Debug("Time: " + Time.Year.ToString() + "/" + Time.Month.ToString() + "/" +Time.Day.ToString() +": " + Portfolio.TotalPortfolioValue.ToString());
                        RankedIndustryData = findRanking(IndustryData);
                             

                        decimal TotalPortfolioValue = Portfolio.TotalPortfolioValue;
                        if (2009 == data.Time.Year && 12 == data.Time.Month && 31 == data.Time.Day)
                        {
                        foreach (ETFSymbol ETF in RankedIndustryData)
                        { 

                           MarketOnCloseOrder(ETF.Symbol, (int)(TotalPortfolioValue / Securities[ETF.Symbol].Close - Portfolio[ETF.Symbol].Quantity));

                           //Debug(ETF.Symbol + "  Rank: " + ETF.totalRankAdjusted.ToString() + ", PerfShort: " + ETF.ShortPerformance.ToString() + ", PerfLong: " + ETF.LongPerformance.ToString() + ", Vol: " + ETF.vol.ToString() + ", Holding: " + Portfolio[ETF.Symbol].Quantity.ToString()  + ", Cash: " + Portfolio.Cash.ToString());
                                                   
                        }
                        }
                                                foreach (ETFSymbol ETF in RankedIndustryData)
                        { 

                           //MarketOnCloseOrder(ETF.Symbol, (int)(TotalPortfolioValue / Securities[ETF.Symbol].Close - Portfolio[ETF.Symbol].Quantity));

                           Debug(ETF.Symbol + "  Rank: " + ETF.totalRankAdjusted.ToString() + ", PerfShort: " + ETF.ShortPerformance.ToString() + ", PerfLong: " + ETF.LongPerformance.ToString() + ", Vol: " + ETF.vol.ToString() + ", Holding: " + Portfolio[ETF.Symbol].Quantity.ToString()  + ", Cash: " + Portfolio.Cash.ToString());
                                                   
                        }
 

                }
            }
            catch (Exception ex)
            {
                Error("OnTradeBar: " + ex.Message + "\r\n\r\n" + ex.StackTrace);
            }
        }
    }


}