from AlgoLib import *
from pandas.tseries.offsets import BDay
class RamadanEffect(XXX):
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetCash(100000)
self.symbols: List[Symbol] = [
self.AddEquity(x, Resolution.Daily).Symbol for x in ['TUR', 'GULF', 'GAF', 'PAK', 'UAE', 'QAT', 'EGPT', 'EWM', 'EIDO', 'KSA']
]
# Source: https://www.infoplease.com/calendars/holidays/islamic-holidays
csv_string_file: str = self.Download('data.quantpedia.com/backtesting_data/calendar/ramadan_dates.csv')
date_pairs_str: List[str] = csv_string_file.split('\r\n')
self.date_ranges: List[List] = []
for pair in date_pairs_str:
split: List[str] = pair.split(';')
self.date_ranges.append(
pd.date_range(start=datetime.strptime(split[0], "%d.%m.%Y").date(),
end=datetime.strptime(split[1], "%d.%m.%Y").date())
)
def OnData(self, slice: Slice) -> None:
if any(str(self.Time.date()) in self.date_ranges[i] for i in range(len(self.date_ranges))):
# open trades
if not self.Portfolio.Invested:
portfolio: List[PortfolioTarget] = [
PortfolioTarget(symbol, 1. / len(self.symbols)) for symbol in self.symbols if symbol in slice and slice[symbol]
]
self.SetHoldings(portfolio, True)
else:
# close trades
if self.Portfolio.Invested:
self.Liquidate()
