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Modifies BasicTemplateFrameworkAlgorithm

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- Use `MaximumDrawdownPercentPerSecurity` as `RiskManagementModel`.
- Modifies regression test to reflect risk model choice
- Use SetXXX to set models in python version
This commit is contained in:
AlexCatarino
2018-04-27 23:08:53 +01:00
parent d81de45772
commit 11489b3edf
4 changed files with 34 additions and 27 deletions
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Algorithm.Python/BasicTemplateFrameworkAlgorithm.py
+11 -9
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@@ -14,6 +14,7 @@
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")
AddReference("QuantConnect.Common")
from System import *
@@ -21,11 +22,12 @@ from QuantConnect import *
from QuantConnect.Orders import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Execution import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from QuantConnect.Algorithm.Framework.Risk import *
from QuantConnect.Algorithm.Framework.Selection import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from QuantConnect.Algorithm.Framework.Selection import *
from Alphas.ConstantAlphaModel import ConstantAlphaModel
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Risk.MaximumDrawdownPercentPerSecurity import MaximumDrawdownPercentPerSecurity
from datetime import timedelta
import numpy as np
@@ -55,11 +57,11 @@ class BasicTemplateFrameworkAlgorithm(QCAlgorithmFramework):
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
# set algorithm framework models
self.UniverseSelection = ManualUniverseSelectionModel(symbols)
self.Alpha = ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None)
self.PortfolioConstruction = EqualWeightingPortfolioConstructionModel()
self.Execution = ImmediateExecutionModel()
self.RiskManagement = NullRiskManagementModel()
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.01))
self.Debug("numpy test >>> print numpy.pi: " + str(np.pi))