using System;
using System.Collections;
using System.Collections.Generic;
using System.Globalization;
using QuantConnect.Securities;
using QuantConnect.Models;
namespace QuantConnect {
/*
Summary
CAPE Ratio for S&P500: PE Ratio for avg inflation adjusted earnings for previous ten years
Custom Data from DropBox
Original Data from: http://www.econ.yale.edu/~shiller/data.htm
*/
public class CAPE : BaseData
{
public decimal Cape = 0;
string format = "yyyy-MM";
CultureInfo provider = CultureInfo.InvariantCulture;
public CAPE()
{
this.Symbol = "CAPE";
}
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
return "https://www.dropbox.com/s/ggt6blmib54q36e/CAPE.csv?dl=1";
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
CAPE index = new CAPE();
try
{
//Example File Format:
//Date | Price | Div | Earning | CPI | FractionalDate | Interest Rate | RealPrice | RealDiv | RealEarnings | CAPE
//2014.06 1947.09 37.38 103.12 238.343 2014.37 2.6 1923.95 36.94 101.89 25.55
string[] data = line.Split(',');
//Dates must be in the format YYYY-MM-DD. If your data source does not have this format, you must use
//DateTime.ParseExact() and explicit declare the format your data source has.
string dateString = data[0];
index.Time = DateTime.ParseExact(dateString, format, provider);
index.Cape = Convert.ToDecimal(data[10]);
index.Symbol = "CAPE";
index.Value = index.Cape;
}
catch
{
}
return index;
}
}
}
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;
using QuantConnect.Indicators;
namespace QuantConnect
{
/*
Summary:
Based on a macroeconomic indicator(CAPE Ratio), we are looking for entry/exit points for momentum stocks
CAPE data: January 1990 - December 2014
Goals:
Capitalize in overvalued markets by generating returns with momentum and selling before the crash
Capitalize in undervalued markets by purchasing stocks at bottom of trough
*/
public partial class Bubble : QCAlgorithm
{
decimal currCape;
decimal[] c = new decimal[4];
decimal[] cCopy = new decimal[4];
bool newLow = false;
int counter = 0;
int counter2 = 0;
MovingAverageConvergenceDivergence macd;
RelativeStrengthIndex rsi = new RelativeStrengthIndex(14);
ArrayList symbols = new ArrayList();
Dictionary <string, RelativeStrengthIndex> rsiDic = new Dictionary<string, RelativeStrengthIndex>();
Dictionary <string, MovingAverageConvergenceDivergence> macdDic = new Dictionary<string, MovingAverageConvergenceDivergence>();
public override void Initialize()
{
SetCash(100000);
symbols.Add("SPY");
SetStartDate(2004,1,1);
SetEndDate(2014,12,1);
//Present Social Media Stocks:
// symbols.Add("FB");symbols.Add("LNKD");symbols.Add("GRPN");symbols.Add("TWTR");
// SetStartDate(2011, 1, 1);
// SetEndDate(2014, 12, 1);
//2008 Financials:
// symbols.Add("C");symbols.Add("AIG");symbols.Add("BAC");symbols.Add("HBOS");
// SetStartDate(2003, 1, 1);
// SetEndDate(2011, 1, 1);
//2000 Dot.com:
// symbols.Add("IPET");symbols.Add("WBVN");symbols.Add("GCTY");
// SetStartDate(1998, 1, 1);
// SetEndDate(2000, 1, 1);
//CAPE data
AddData<CAPE>("CAPE");
foreach (string stock in symbols)
{
AddSecurity(SecurityType.Equity, stock, Resolution.Minute);
macd = MACD(stock, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily);
macdDic.Add(stock, macd);
rsi = RSI(stock, 14, MovingAverageType.Exponential, Resolution.Daily);
rsiDic.Add(stock, rsi);
}
}
//Trying to find if current Cape is the lowest Cape in three months to indicate selling period
public void OnData(CAPE data)
{
newLow = false;
//Adds first four Cape Ratios to array c
currCape = data.Cape;
if( counter < 4)
{
c[counter++] = currCape;
}
//Replaces oldest Cape with current Cape
//Checks to see if current Cape is lowest in the previous quarter
//Indicating a sell off
else
{
Array.Copy(c, cCopy, 4);
Array.Sort(cCopy);
if(cCopy[0] > currCape) newLow = true;
c[counter2++] = currCape;
if(counter2 == 4) counter2 = 0;
}
Debug("Current Cape: "+ currCape + " on "+ data.Time);
if(newLow) Debug("New Low has been hit on " + data.Time);
}
public void OnData(TradeBars data)
{
try
{
//Bubble territory
if(currCape > 20 && newLow == false)
{
foreach(string stock in symbols)
{
//Order stock based on MACD
//During market hours, stock is trading, and sufficient cash
if (Securities[stock].Holdings.Quantity == 0 && rsiDic[stock] < 70
&&Securities[stock].Price != 0 && Portfolio.Cash >Securities[stock].Price*100
&& Time.Hour== 9 && Time.Minute==30)
{
buy(stock);
}
//Utilize RSI for overbought territories and liquidate that stock
if(rsiDic[stock] > 70 && Securities[stock].Holdings.Quantity > 0
&& Time.Hour== 9 && Time.Minute==30)
{
sell(stock);
}
}
}
// Undervalued territory
else if(newLow == true)
{
foreach(string stock in symbols)
{
//Sell stock based on MACD
if(Securities[stock].Holdings.Quantity >0 && rsiDic[stock] > 30
&& Time.Hour== 9 && Time.Minute==30)
{
sell(stock);
}
//Utilize RSI and MACD to understand oversold territories
else if(Securities[stock].Holdings.Quantity == 0 && rsiDic[stock] < 30
&&Securities[stock].Price != 0 && Portfolio.Cash >Securities[stock].Price*100
&& Time.Hour== 9 && Time.Minute==30)
{
buy(stock);
}
}
}
// Cape Ratio is missing from orignial data
// Most recent cape data is most likely to be missing
else if(currCape == 0)
{
Debug("Exiting due to no CAPE!");
Quit("CAPE ratio not supplied in data, exiting.");
}
}
catch(Exception err)
{
Error(err.Message);
}
}
}
}
