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Add regression algorithms

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This commit is contained in:
Jhonathan Abreu
2024-12-24 10:01:32 -04:00
parent b160f6e76a
commit 06da07b2c8
13 changed files with 588 additions and 32 deletions
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Algorithm.Python/FutureOptionChainsMultipleFullDataRegressionAlgorithm.py
+7 -6
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@@ -26,11 +26,11 @@ class FutureOptionChainsMultipleFullDataRegressionAlgorithm(QCAlgorithm):
es_future_contract = self.add_future_contract(
Symbol.create_future(Futures.Indices.SP_500_E_MINI, Market.CME, datetime(2020, 3, 20)),
Resolution.MINUTE).symbol;
Resolution.MINUTE).symbol
gc_future_contract = self.add_future_contract(
Symbol.create_future(Futures.Metals.GOLD, Market.COMEX, datetime(2020, 4, 28)),
Resolution.MINUTE).symbol;
Resolution.MINUTE).symbol
chains = self.option_chains([es_future_contract, gc_future_contract], flatten=True)
@@ -46,17 +46,18 @@ class FutureOptionChainsMultipleFullDataRegressionAlgorithm(QCAlgorithm):
# Index by the requested underlying, by getting all data with canonicals which underlying is the requested underlying symbol:
canonicals = df.index.get_level_values('canonical')
condition = [canonical for canonical in canonicals if canonical.underlying == underlying]
df = df.loc[condition]
contracts = df.loc[condition]
# Get contracts expiring within 4 months, with the latest expiration date, highest strike and lowest price
contracts = df.loc[(df.expiry <= self.time + timedelta(days=120))]
contracts = df.sort_values(['expiry', 'strike', 'lastprice'], ascending=[False, False, True])
contracts = contracts.loc[(df.expiry <= self.time + timedelta(days=120))]
contracts = contracts.sort_values(['expiry', 'strike', 'lastprice'], ascending=[False, False, True])
return contracts.index[0][1]
def on_data(self, data):
# Do some trading with the selected contract for sample purposes
if not self.portfolio.invested:
self.set_holdings(self._es_option_contract, 0.5)
self.set_holdings(self._es_option_contract, 0.25)
self.set_holdings(self._gc_option_contract, 0.25)
else:
self.liquidate()