Skip to content
Permalink
Branch: master
Find file Copy path
Find file Copy path
Fetching contributors…
Cannot retrieve contributors at this time
60 lines (57 sloc) 2.53 KB
/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using System.Collections.Generic;
namespace QuantConnect.Algorithm.Framework.Selection
{
/// <summary>
/// Universe Selection Model that adds the following Volatility ETFs at their inception date
/// 2010-02-11 SQQQ ProShares UltraPro ShortQQQ
/// 2010-02-11 TQQQ ProShares UltraProQQQ
/// 2010-11-30 TVIX VelocityShares Daily 2x VIX Short Term ETN
/// 2011-01-04 VIXY ProShares VIX Short-Term Futures ETF
/// 2011-05-05 SPLV Invesco S&P 500® Low Volatility ETF
/// 2011-10-04 SVXY ProShares Short VIX Short-Term Futures
/// 2011-10-04 UVXY ProShares Ultra VIX Short-Term Futures
/// 2011-10-20 EEMV iShares Edge MSCI Min Vol Emerging Markets ETF
/// 2011-10-20 EFAV iShares Edge MSCI Min Vol EAFE ETF
/// 2011-10-20 USMV iShares Edge MSCI Min Vol USA ETF
/// </summary>
public class VolatilityETFUniverse : InceptionDateUniverseSelectionModel
{
/// <summary>
/// Initializes a new instance of the VolatilityETFUniverse class
/// </summary>
public VolatilityETFUniverse() :
base(
"qc-volatility-etf-basket",
new Dictionary<string, DateTime>()
{
{"SQQQ", new DateTime(2010, 2, 11)},
{"TQQQ", new DateTime(2010, 2, 11)},
{"TVIX", new DateTime(2010, 11, 30)},
{"VIXY", new DateTime(2011, 1, 4)},
{"SPLV", new DateTime(2011, 5, 5)},
{"SVXY", new DateTime(2011, 10, 4)},
{"UVXY", new DateTime(2011, 10, 4)},
{"EEMV", new DateTime(2011, 10, 20)},
{"EFAV", new DateTime(2011, 10, 20)},
{"USMV", new DateTime(2011, 10, 20)}
}
)
{
}
}
}
You can’t perform that action at this time.