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/*
* 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.
*/
using System;
using System.Collections;
using System.Collections.Generic;
using System.Globalization;
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Securities;
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. By Tim Co.
/// 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
/// </summary>
public class BubbleAlgorithm : 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>();
/// <summary>
/// Called at the start of your algorithm to setup your requirements:
/// </summary>
public override void Initialize()
{
SetCash(100000);
symbols.Add("SPY");
SetStartDate(1998, 1, 1);
SetEndDate(2014, 6, 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);
Securities[stock].SetLeverage(10);
}
}
/// <summary>
/// Trying to find if current Cape is the lowest Cape in three months to indicate selling period
/// </summary>
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);
}
/// <summary>
/// New TradeBar data for our assets.
/// </summary>
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);
}
}
/// <summary>
/// Buy this symbol
/// </summary>
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);
}
}
/// <summary>
/// Sell this symbol
/// </summary>
/// <param name="symbol"></param>
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);
}
}
}
/// <summary>
/// CAPE Ratio for SP500 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
/// </summary>
public class CAPE : BaseData
{
public decimal Cape = 0;
string format = "yyyy-MM";
CultureInfo provider = CultureInfo.InvariantCulture;
/// <summary>
/// Initializes a new instance of the <see cref="QuantConnect.CAPE"/> indicator.
/// </summary>
public CAPE()
{
this.Symbol = "CAPE";
}
/// <summary>
/// Return the URL string source of the file. This will be converted to a stream
/// </summary>
/// <param name="config">Configuration object</param>
/// <param name="date">Date of this source file</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>String URL of source file.</returns>
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
return new SubscriptionDataSource("https://www.dropbox.com/s/ggt6blmib54q36e/CAPE.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
}
/// <summary>
/// Reader Method :: using set of arguements we specify read out type. Enumerate
/// until the end of the data stream or file. E.g. Read CSV file line by line and convert
/// into data types.
/// </summary>
/// <returns>BaseData type set by Subscription Method.</returns>
/// <param name="config">Config.</param>
/// <param name="line">Line.</param>
/// <param name="date">Date.</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
var 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], CultureInfo.InvariantCulture);
index.Symbol = "CAPE";
index.Value = index.Cape;
}
catch
{
}
return index;
}
}
}
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