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pep8 conversions of python algos, #6 (#7944)

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* pep8 conversions

* Address review. Fix PythonIndicator

* Minor CSharp algo fix

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-19 02:15:18 +08:00
committed by GitHub
parent 1cae47ab25
commit 5eb236834f
35 changed files with 758 additions and 746 deletions
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Algorithm.Python/MeanVarianceOptimizationFrameworkAlgorithm.py
+18 -18
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@@ -25,32 +25,32 @@ from Portfolio.MeanVarianceOptimizationPortfolioConstructionModel import *
class MeanVarianceOptimizationFrameworkAlgorithm(QCAlgorithm):
'''Mean Variance Optimization algorithm.'''
def Initialize(self):
def initialize(self):
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Minute
self.universe_settings.resolution = Resolution.MINUTE
self.Settings.RebalancePortfolioOnInsightChanges = False
self.settings.rebalance_portfolio_on_insight_changes = False
self.SetStartDate(2013,10,7) #Set Start Date
self.SetEndDate(2013,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.set_start_date(2013,10,7) #Set Start Date
self.set_end_date(2013,10,11) #Set End Date
self.set_cash(100000) #Set Strategy Cash
self.symbols = [ Symbol.Create(x, SecurityType.Equity, Market.USA) for x in [ 'AIG', 'BAC', 'IBM', 'SPY' ] ]
self._symbols = [ Symbol.create(x, SecurityType.EQUITY, Market.USA) for x in [ 'AIG', 'BAC', 'IBM', 'SPY' ] ]
# set algorithm framework models
self.SetUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.coarseSelector))
self.SetAlpha(HistoricalReturnsAlphaModel(resolution = Resolution.Daily))
self.SetPortfolioConstruction(MeanVarianceOptimizationPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
self.set_universe_selection(CoarseFundamentalUniverseSelectionModel(self.coarse_selector))
self.set_alpha(HistoricalReturnsAlphaModel(resolution = Resolution.DAILY))
self.set_portfolio_construction(MeanVarianceOptimizationPortfolioConstructionModel())
self.set_execution(ImmediateExecutionModel())
self.set_risk_management(NullRiskManagementModel())
def coarseSelector(self, coarse):
def coarse_selector(self, coarse):
# Drops SPY after the 8th
last = 3 if self.Time.day > 8 else len(self.symbols)
last = 3 if self.time.day > 8 else len(self._symbols)
return self.symbols[0:last]
return self._symbols[0:last]
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.Log(str(orderEvent))
def on_order_event(self, order_event):
if order_event.status == OrderStatus.FILLED:
self.log(str(order_event))