Paired Switching

1from AlgorithmImports import *
2# fund (VUSTX). These two funds have a negative correlation as they are proxies for two negatively correlated asset classes. The investor looks at the
3# performance of the two funds over the prior quarter and buys the fund that has a higher return during the ranking period. The position is held for one 
4# quarter (the investment period). At the end of the investment period, the cycle is repeated.
5class PairedSwitching(QCAlgorithm):
6
7def Initialize(self):
8self.SetStartDate(2004, 1, 1)
9self.SetCash(100000)
10
11self.first_symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
12self.second_symbol = self.AddEquity("AGG", Resolution.Daily).Symbol
13self.recent_month = -1
14def OnData(self, data):
15if self.Time.month == self.recent_month:
16    return
17self.recent_month = self.Time.month
18
19if(self.recent_month % 3 == 0):
20    if self.first_symbol in data and self.second_symbol in data:
21        history_call = self.History([self.first_symbol, self.second_symbol], timedelta(days=90))
22        if not history_call.empty:
23            first_bars = history_call.loc[self.first_symbol.Value]
24            last_p1 = first_bars["close"].iloc[0]
25
26            second_bars = history_call.loc[self.second_symbol.Value]
27            last_p2 = second_bars["close"].iloc[0]
28
29            # Calculates performance of funds over the prior quarter.
30            first_performance = (float(self.Securities[self.first_symbol].Price) - float(last_p1)) / (float(self.Securities[self.first_symbol].Price))
31            second_performance = (float(self.Securities[self.second_symbol].Price) - float(last_p2)) / (float(self.Securities[self.second_symbol].Price))
32            
33            # Buys the fund that has the higher return during the period.
34            if(first_performance > second_performance):
35                if(self.Securities[self.second_symbol].Invested):
36                    self.Liquidate(self.second_symbol)
37                self.SetHoldings(self.first_symbol, 1)
38            else:
39                if(self.Securities[self.first_symbol].Invested):
40                    self.Liquidate(self.first_symbol)
41                self.SetHoldings(self.second_symbol, 1)