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pep8 conversion of python algos #13 (#7955)

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* t status
pep8 conversion

* Minor tweaks and rebase

* Various minor fixes

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-20 03:14:12 +08:00
committed by GitHub
parent d2669fb0c2
commit 08a3de9e2d
33 changed files with 312 additions and 312 deletions
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Algorithm.Python/SectorExposureRiskFrameworkAlgorithm.py
+17 -17
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@@ -25,28 +25,28 @@ class SectorExposureRiskFrameworkAlgorithm(QCAlgorithm):
'''This example algorithm defines its own custom coarse/fine fundamental selection model
### with equally weighted portfolio and a maximum sector exposure.'''
def Initialize(self):
def initialize(self):
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Daily
self.universe_settings.resolution = Resolution.DAILY
self.SetStartDate(2014, 3, 25)
self.SetEndDate(2014, 4, 7)
self.SetCash(100000)
self.set_start_date(2014, 3, 25)
self.set_end_date(2014, 4, 7)
self.set_cash(100000)
# set algorithm framework models
self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.SelectCoarse, self.SelectFine))
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1)))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetRiskManagement(MaximumSectorExposureRiskManagementModel())
self.set_universe_selection(FineFundamentalUniverseSelectionModel(self.select_coarse, self.select_fine))
self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1)))
self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
self.set_risk_management(MaximumSectorExposureRiskManagementModel())
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.Debug(f"Order event: {orderEvent}. Holding value: {self.Securities[orderEvent.Symbol].Holdings.AbsoluteHoldingsValue}")
def on_order_event(self, order_event):
if order_event.status == OrderStatus.FILLED:
self.debug(f"Order event: {order_event}. Holding value: {self.securities[order_event.symbol].holdings.absolute_holdings_value}")
def SelectCoarse(self, coarse):
tickers = ["AAPL", "AIG", "IBM"] if self.Time.date() < date(2014, 4, 1) else [ "GOOG", "BAC", "SPY" ]
return [Symbol.Create(x, SecurityType.Equity, Market.USA) for x in tickers]
def select_coarse(self, coarse):
tickers = ["AAPL", "AIG", "IBM"] if self.time.date() < date(2014, 4, 1) else [ "GOOG", "BAC", "SPY" ]
return [Symbol.create(x, SecurityType.EQUITY, Market.USA) for x in tickers]
def SelectFine(self, fine):
return [f.Symbol for f in fine]
def select_fine(self, fine):
return [f.symbol for f in fine]