from AlgorithmImports import *
import data_tools
from pandas.tseries.offsets import BDay
# endregion
class MercuryRetrogradeAstrologyTradingStrategyinChineseMarket(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2000, 1, 1)
self.SetCash(100000)
self.leverage:int = 5
self.lag:int = 5
self.counter:Union[None, int] = None
self.trade_direction:Union[None, int] = None
# load custom data
self.mercury_retrograde_calendar:Symbol = self.AddData(data_tools.MercuryRetrogradeCalendar, 'mercury_retrograde_calendar', Resolution.Daily).Symbol
self.market:Symbol = self.AddData(data_tools.QuantpediaCSI300, 'CSI_300', Resolution.Daily).Symbol
self.Securities[self.market].SetLeverage(self.leverage)
self.Securities[self.market].SetFeeModel(data_tools.CustomFeeModel())
def OnData(self, data: Slice):
market_last_update_date:datetime.date = data_tools.QuantpediaCSI300._last_update_date
calendar_last_update_date:datetime.date = data_tools.MercuryRetrogradeCalendar._last_update_date
# check if data is still coming
if self.Securities[self.market].GetLastData() and self.Time.date() >= market_last_update_date \
or self.Securities[self.mercury_retrograde_calendar].GetLastData() and self.Time.date() >= calendar_last_update_date:
self.Liquidate()
return
if self.counter is not None:
if self.market in data and data[self.market]:
self.counter += 1
if self.counter == self.lag:
self.SetHoldings(self.market, self.trade_direction)
self.trade_direction = None
if self.mercury_retrograde_calendar in data and data[self.mercury_retrograde_calendar] and self.Securities[self.market].GetLastData():
if self.trade_direction is None:
self.trade_direction = -1 if data[self.mercury_retrograde_calendar].status == 'start' else 1
self.counter = 0
