债券市场中的经济公告效应

1from AlgorithmImports import *
2#endregion
3class ScheduledEconomicAnnouncementsEffectBonds(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2002, 1, 1)
6self.SetCash(100000)
7
8self.symbol = "TLT"
9data = self.AddEquity(self.symbol, Resolution.Minute)
10csv_string_file = self.Download('data.quantpedia.com/backtesting_data/economic/scheduled_economic_announcements_bonds.csv')
11dates = csv_string_file.split('\r\n')
12dates = [datetime.strptime(x, "%Y-%m-%d") for x in dates]
13self.liquidate_next_day = False
14self.Schedule.On(self.DateRules.On(dates), self.TimeRules.BeforeMarketClose(self.symbol, 1), self.DayBeforeAnnouncement)
15self.Schedule.On(self.DateRules.EveryDay(self.symbol), self.TimeRules.BeforeMarketClose(self.symbol, 1), self.Rebalance)
16
17def DayBeforeAnnouncement(self):
18if not self.Portfolio[self.symbol].IsLong:
19    self.SetHoldings(self.symbol, 1)
20    self.liquidate_next_day = True
21def Rebalance(self):
22if self.liquidate_next_day:
23    self.liquidate_next_day = False
24    return
25
26if self.Portfolio[self.symbol].IsLong:
27    self.Liquidate(self.symbol)