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Add equity permanent portfolio, dual momentum, and DCA templates #2425

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115 changes: 115 additions & 0 deletions project-templates/csharp/equity-dollar-cost-averaging/Main.cs
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#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Api;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Commands;
using QuantConnect.Configuration;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Custom.IconicTypes;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.Shortable;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.OptionExercise;
using QuantConnect.Orders.Slippage;
using QuantConnect.Orders.TimeInForces;
using QuantConnect.Python;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Positions;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.CryptoFuture;
using QuantConnect.Securities.IndexOption;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Securities.Volatility;
using QuantConnect.Storage;
using QuantConnect.Statistics;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
using Calendar = QuantConnect.Data.Consolidators.Calendar;
#endregion
public class VooWeeklyDcaAlgorithm : QCAlgorithm
{
private const decimal _dollarAmount = 5000m;

private Equity _voo;

public override void Initialize()
{
SetStartDate(2022, 1, 1);
SetEndDate(2024, 12, 31);
SetCash(200000);

Settings.SeedInitialPrices = true;

_voo = AddEquity("VOO", Resolution.Minute);

Schedule.On(
DateRules.WeekStart(_voo.Symbol),
TimeRules.AfterMarketOpen(_voo.Symbol, 1),
BuyVoo);

}

public override void OnWarmupFinished()
{
BuyVoo();
}

public override void OnOrderEvent(OrderEvent orderEvent)
{
if (orderEvent.Status == OrderStatus.Filled)
{
Plot("Fills", "VOO", orderEvent.FillPrice * orderEvent.FillQuantity);
}
}

private void BuyVoo()
{
if (Portfolio.Cash < _dollarAmount)
{
return;
}

var holdingsValue = _voo.Holdings.HoldingsValue;
var targetFraction = (holdingsValue + _dollarAmount) / Portfolio.TotalPortfolioValue;
var quantity = CalculateOrderQuantity(_voo.Symbol, targetFraction);

if (quantity > 0)
{
MarketOrder(_voo.Symbol, quantity);
}
}
}
107 changes: 107 additions & 0 deletions project-templates/csharp/equity-dual-momentum-asset-class/Main.cs
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#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Api;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Commands;
using QuantConnect.Configuration;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Custom.IconicTypes;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.Shortable;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.OptionExercise;
using QuantConnect.Orders.Slippage;
using QuantConnect.Orders.TimeInForces;
using QuantConnect.Python;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Positions;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.CryptoFuture;
using QuantConnect.Securities.IndexOption;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Securities.Volatility;
using QuantConnect.Storage;
using QuantConnect.Statistics;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
using Calendar = QuantConnect.Data.Consolidators.Calendar;
#endregion
public class DualMomentumAlgorithm : QCAlgorithm
{
public override void Initialize()
{
SetStartDate(2022, 1, 1);
SetEndDate(2024, 12, 31);
SetCash(100000);
Settings.SeedInitialPrices = true;
Settings.AutomaticIndicatorWarmUp = true;

var tickers = new[] { "SPY", "EFA", "AGG" };
foreach (var ticker in tickers)
{
dynamic equity = AddEquity(ticker, Resolution.Minute);
equity.Rocp = ROCP(equity.Symbol, 252, Resolution.Daily);
}

Schedule.On(DateRules.MonthStart("SPY"), TimeRules.BeforeMarketOpen("SPY", 5), Rebalance);
}

public override void OnWarmupFinished()
{
Rebalance();
}

private void Rebalance()
{
var returns = new Dictionary<Symbol, decimal>();
foreach (dynamic security in Securities.Values)
{
if (!security.Rocp.IsReady)
{
continue;
}
returns[security.Symbol] = security.Rocp.Current.Value;
}
if (returns.Count == 0)
{
return;
}

var winner = returns.OrderByDescending(kvp => kvp.Value).First().Key;
SetHoldings(new List<PortfolioTarget> { new PortfolioTarget(winner, 1m) }, true);
}
}
105 changes: 105 additions & 0 deletions project-templates/csharp/equity-permanent-portfolio/Main.cs
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#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Api;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Commands;
using QuantConnect.Configuration;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Custom.IconicTypes;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.Shortable;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.OptionExercise;
using QuantConnect.Orders.Slippage;
using QuantConnect.Orders.TimeInForces;
using QuantConnect.Python;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Positions;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.CryptoFuture;
using QuantConnect.Securities.IndexOption;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Securities.Volatility;
using QuantConnect.Storage;
using QuantConnect.Statistics;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
using Calendar = QuantConnect.Data.Consolidators.Calendar;
#endregion
public class PermanentPortfolioAlgorithm : QCAlgorithm
{
private readonly List<PortfolioTarget> _targets = new();
private const decimal _weight = 0.25m;
private const decimal _driftThreshold = 0.03m;

public override void Initialize()
{
SetStartDate(2022, 1, 1);
SetEndDate(2024, 12, 31);
SetCash(100000);
Settings.SeedInitialPrices = true;

foreach (var ticker in new[] { "SPY", "TLT", "GLD", "SHY" })
{
var symbol = AddEquity(ticker, Resolution.Minute).Symbol;
_targets.Add(new PortfolioTarget(symbol, _weight));
}

Schedule.On(
DateRules.YearStart("SPY", 2),
TimeRules.AfterMarketOpen("SPY", 5),
Rebalance);
}

public override void OnWarmupFinished()
{
SetHoldings(_targets, liquidateExistingHoldings: true);
}

private void Rebalance()
{
foreach (var target in _targets)
{
var currentWeight = Portfolio[target.Symbol].HoldingsValue / Portfolio.TotalHoldingsValue;
if (Math.Abs(currentWeight - _weight) > _driftThreshold)
{
SetHoldings(_targets, liquidateExistingHoldings: true);
return;
}
}
}
}
24 changes: 24 additions & 0 deletions project-templates/csharp/templates.json
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"spec": "Asset: IWM. Minute resolution. 2022-01-01 to 2024-12-31, $100k. WilliamsPercentR(14). Long when %R < -80; exit when %R > -20. Demonstrates: Williams %R indicator, oversold reversion logic, plotting against -80/-20 reference lines. Edge case: hold cap of 5 trading days.",
"tags": ["Equity", "indicators", "williams-r", "oscillator"],
"reference_template": "equities-static-universe"
},
{
"folder": "equity-permanent-portfolio",
"name": "Equity Permanent Portfolio",
"description": "Holds 25% each of SPY, TLT, GLD, and SHY with annual rebalance — Browne's Permanent Portfolio.",
"spec": "Assets: SPY, TLT, GLD, SHY. Minute. 2022-01-01 to 2024-12-31, $100k. Equal-weight 25% on first bar; annual rebalance every January 2nd. Demonstrates: 4-asset allocation, annual scheduled event, scheduled-event rule chaining. Edge case: skip rebalance if drift < 3% from target.",
"tags": ["Equity", "permanent-portfolio", "asset-allocation", "scheduled-event"],
"reference_template": "equities-static-universe"
},
{
"folder": "equity-dual-momentum-asset-class",
"name": "Equity Dual Momentum",
"description": "Implements Antonacci dual momentum across SPY, EFA, and AGG: pick the top 12-month return, fall back to AGG if absolute momentum is negative.",
"spec": "Assets: SPY, EFA, AGG. Minute resolution. 2022-01-01 to 2024-12-31, $100k. Monthly: compute 12-month return for each; pick the highest; if highest <= AGG return then hold AGG; else hold winner 100%. Demonstrates: history-based momentum, monthly schedule, conditional hold. Edge case: rebalance only on first trading day of month.",
"tags": ["Equity", "dual-momentum", "asset-allocation", "history"],
"reference_template": "history-and-etf-universe"
},
{
"folder": "equity-dollar-cost-averaging",
"name": "Equity Dollar Cost Averaging",
"description": "Buys $5,000 worth of VOO every Monday morning regardless of price, accumulating shares over the backtest.",
"spec": "Asset: VOO. Minute. 2022-01-01 to 2024-12-31, $200k starting cash. Schedule: every Monday after market open buy VOO with $5,000 of cash via market_order using calculate_order_quantity. Demonstrates: weekly schedule, fixed-dollar buys, calculate_order_quantity, no liquidation. Edge case: skip if insufficient cash; never sell.",
"tags": ["Equity", "dca", "scheduled-event", "buy-and-hold"],
"reference_template": "equities-static-universe"
}
]
}
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