贵金属中的月相效应

1from AlgorithmImports import *
2from QuantConnect.Data import SubscriptionDataSource
3from QuantConnect.Python import PythonData
4#endregion
5class LunarCycleinPreciousMetals(QCAlgorithm):
6def Initialize(self):
7 self.SetStartDate(2004, 1, 1)
8 self.SetCash(100000)
9 self.lunar_phase:Symbol = self.AddData(MoonPhase, "phase", Resolution.Daily).Symbol
10 self.symbol = self.AddEquity("GLD", Resolution.Daily).Symbol
11 self.settings.daily_precise_end_time = False
12
13def OnData(self, data):
14 if self.Securities[self.lunar_phase].GetLastData() and self.Time.date() > MoonPhase.get_last_update_date():
15     self.Liquidate(self.symbol)
16 if self.symbol in data and data[self.symbol]:
17     if self.securities[self.lunar_phase].get_last_data():
18         # long in emerging market index ETF 7 days before the new moon (It's the Last Quarter)
19         if self.securities[self.lunar_phase].get_last_data().value == 3 and not self.Portfolio[self.symbol].IsLong:
20             self.SetHoldings(self.symbol, 1)
21     
22         # short on emerging market index ETF 7 days before the full moon (It's the First Quarter)
23         elif self.securities[self.lunar_phase].get_last_data().value == 1 and not self.Portfolio[self.symbol].IsShort:
24             self.SetHoldings(self.symbol, -1)
25 
26class MoonPhase(PythonData):
27_last_update_date:datetime.date = datetime(1,1,1).date()
28@staticmethod
29def get_last_update_date() -> datetime.date:
30return MoonPhase._last_update_date
31def GetSource(self, config, date, isLiveMode):
32 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/calendar/moon_phase.csv", SubscriptionTransportMedium.RemoteFile)
33def Reader(self, config, line, date, isLiveMode):
34 index = MoonPhase()
35 index.Symbol = config.Symbol
36 try:
37     # Source: https://www.timeanddate.com/moon/phases/?year=2023
38     # Example File Format: (Data starts from 01/07/2004)
39     # date;phase
40     # 2004-01-07;Full Moon
41     # 2004-01-15;Last Quarter
42     data = line.split(';')
43     if data[0] == "date": return None
44     index.Time = datetime.strptime(data[0], "%Y-%m-%d")
45     if data[1] == "New Moon":
46         index.Value = 0
47     elif data[1] == "First Quarter":
48         index.Value = 1
49     elif data[1] == "Full Moon":
50         index.Value = 2
51     elif data[1] == "Last Quarter":
52         index.Value = 3
53     if index.Time.date() > MoonPhase._last_update_date:
54         MoonPhase._last_update_date = index.Time.date()
55 except:
56     return None
57     
58 return index