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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

* 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.Generic;

using System.Linq;

using QuantConnect.Data.Market;

using QuantConnect.Indicators;

using QuantConnect.Orders;

namespace QuantConnect.Algorithm.Examples

{

/// <summary>

/// ETF Global Rotation Strategy

/// </summary>

public class ETFGlobalRotationAlgorithm : QCAlgorithm

{

// we'll use this to tell us when the month has ended

DateTime LastRotationTime = DateTime.MinValue;

TimeSpan RotationInterval = TimeSpan.FromDays(30);

private bool first = true;

// these are the growth symbols we'll rotate through

List<string> GrowthSymbols = new List<string>

{

"MDY", // US S&P mid cap 400

"IEV", // iShares S&P europe 350

"EEM", // iShared MSCI emerging markets

"ILF", // iShares S&P latin america

"EPP" // iShared MSCI Pacific ex-Japan

};

// these are the safety symbols we go to when things are looking bad for growth

List<string> SafetySymbols = new List<string>

{

"EDV", // Vangaurd TSY 25yr+

"SHY" // Barclays Low Duration TSY

};

// we'll hold some computed data in these guys

List<SymbolData> SymbolData = new List<SymbolData>();

/// <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()

{

SetCash(25000);

SetStartDate(2007, 1, 1);

foreach (var symbol in GrowthSymbols.Union(SafetySymbols))

{

// ideally we would use daily data

AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);

var oneMonthPerformance = MOM(symbol, 30, Resolution.Daily);

var threeMonthPerformance = MOM(symbol, 90, Resolution.Daily);

SymbolData.Add(new SymbolData

{

Symbol = symbol,

OneMonthPerformance = oneMonthPerformance,

ThreeMonthPerformance = threeMonthPerformance

});

}

/// <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

{

// the first time we come through here we'll need to do some things such as allocation

// and initializing our symbol data

if (first)

{

first = false;

LastRotationTime = Time;

return;

}

var delta = Time.Subtract(LastRotationTime);

if (delta > RotationInterval)

{

LastRotationTime = Time;

// pick which one is best from growth and safety symbols

var orderedObjScores = SymbolData.OrderByDescending(x => x.ObjectiveScore).ToList();

foreach (var orderedObjScore in orderedObjScores)

{

Log(">>SCORE>>" + orderedObjScore.Symbol + ">>" + orderedObjScore.ObjectiveScore);

}

var bestGrowth = orderedObjScores.First();

if (bestGrowth.ObjectiveScore > 0)

{

if (Portfolio[bestGrowth.Symbol].Quantity == 0)

{

Log("PREBUY>>LIQUIDATE>>");

Liquidate();

}

Log(">>BUY>>" + bestGrowth.Symbol + "@" + (100 * bestGrowth.OneMonthPerformance).ToString("00.00"));

decimal qty = Portfolio.Cash / Securities[bestGrowth.Symbol].Close;

MarketOrder(bestGrowth.Symbol, (int) qty);

}

else

{

// if no one has a good objective score then let's hold cash this month to be safe

Log(">>LIQUIDATE>>CASH");

Liquidate();

}

catch (Exception ex)

{

Error("OnTradeBar: " + ex.Message + "\r\n\r\n" + ex.StackTrace);

}

class SymbolData

{

public string Symbol;

public Momentum OneMonthPerformance { get; set; }

public Momentum ThreeMonthPerformance { get; set; }

public decimal ObjectiveScore

{

get

{

// we weight the one month performance higher

decimal weight1 = 100;

decimal weight2 = 75;

return (weight1 * OneMonthPerformance + weight2 * ThreeMonthPerformance) / (weight1 + weight2);

}

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