Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
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 QuantConnect.Indicators;
using QuantConnect.Models;
using QuantConnect.Securities;

namespace QuantConnect
{
    /* <summary>
     Using MACD to signal when to buy and sell momentum stocks
    </summary>
    */
    public partial class Bubble : QCAlgorithm
    {
        public void buy(String symbol)
        {
            SecurityHolding s = Securities[symbol].Holdings;
            if (macdDic[symbol] > 0m)  
            {
                SetHoldings(symbol, 1);
                
                Debug("Purchasing: "+ symbol+ "   MACD: "+ macdDic[symbol] +"   RSI: "+rsiDic[symbol]
                    + "   Price: " + Math.Round(Securities[symbol].Price, 2)+ "   Quantity: "+ s.Quantity);
            }            
        }
        
        public void sell(String symbol)
        {
            SecurityHolding s = Securities[symbol].Holdings;
            if (s.Quantity > 0 && macdDic[symbol] < 0m)
            {
                Liquidate(symbol); 
                
                Debug("Selling: "+symbol+ " at sell MACD: "+ macdDic[symbol]+"   RSI: "+rsiDic[symbol]
                    +"   Price: " +Math.Round(Securities[symbol].Price, 2)+"   Profit from sale: "+ s.LastTradeProfit);
            }
        }

    }
}                        
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);
            }
        }
    }
}