隔夜-日内大宗商品日内反转策略

1from AlgorithmImports import *
2#endregion
3class OvernightIntradayDailyReversalinCommodities(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2015, 1, 1)
6self.SetCash(1000000)
7symbols:List[str] = [
8    Futures.Grains.Corn,
9    Futures.Meats.LeanHogs,
10    Futures.Meats.LiveCattle,
11    Futures.Forestry.Lumber,
12    Futures.Grains.Oats,
13    Futures.Grains.SoybeanMeal,
14    Futures.Grains.Soybeans,
15    Futures.Grains.Wheat,
16]
17self.traded_percentage:float = 0.2
18self.futures:List[Symbol] = []
19self.recent_close:Dict[Symbol, float] = {}
20
21for symbol in symbols:
22    future = self.AddFuture(symbol, Resolution.Minute, dataNormalizationMode=DataNormalizationMode.BackwardsRatio, contractDepthOffset=0)
23    self.futures.append(future.Symbol)
24self.day_close_flag:bool = False
25self.day_open_flag:bool = False
26self.Schedule.On(self.DateRules.EveryDay(self.futures[3]), self.TimeRules.BeforeMarketClose(self.futures[3], 1), self.DayClose)
27self.Schedule.On(self.DateRules.EveryDay(self.futures[3]), self.TimeRules.AfterMarketOpen(self.futures[3], 1), self.DayOpen)
28def OnData(self, data: Slice) -> None:
29if self.day_open_flag:
30    self.day_open_flag = False
31    returns:Dict[Symbol, float] = { symbol : data[symbol].Open / self.recent_close[symbol] - 1 for symbol in self.futures if symbol in self.recent_close and symbol in data and data[symbol] }
32    self.recent_close.clear()
33    long:List[Symbol] = [x[0] for x in returns.items() if x[1] < 0]
34    short:List[Symbol] = [x[0] for x in returns.items() if x[1] > 0]
35    
36    for i, portfolio in enumerate([long, short]):
37        for symbol in portfolio:
38            # notional value = asset price * contract multiplier
39            notional_value:float = (self.Securities[symbol].Price * self.Securities[symbol].SymbolProperties.ContractMultiplier)
40            quantity:int = int((((-1) ** i) * self.Portfolio.TotalPortfolioValue) / len(portfolio) * self.traded_percentage) // notional_value
41            self.MarketOrder(self.Securities[symbol].Mapped, quantity)
42if self.day_close_flag:
43    self.day_close_flag = False
44    self.Liquidate()
45    self.recent_close = { symbol : data[symbol].Close for symbol in self.futures if symbol in data and data[symbol] }
46def DayClose(self) -> None:
47self.day_close_flag = True
48
49def DayOpen(self) -> None:
50self.day_open_flag = True