Address reviews

- Adding new `CompositeAlphaModel.AddAlphaModel()`
- Adding C#/Py regression algorithms using the new `QCAlgorith.AddAlphaModel()`
- Improving exception message
- Add python version of `QCAlgorith.AddAlphaModel()`

Algorithm.Python/AddAlphaModelAlgorithm.py

@@ -0,0 +1,70 @@
+# 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.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Algorithm.Framework")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Orders import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Algorithm.Framework import *
+from QuantConnect.Algorithm.Framework.Alphas import *
+from QuantConnect.Algorithm.Framework.Execution import *
+from QuantConnect.Algorithm.Framework.Portfolio import *
+from QuantConnect.Algorithm.Framework.Selection import *
+
+### <summary>
+### Test algorithm using 'QCAlgorithm.AddAlphaModel()'
+### </summary>
+class AddAlphaModelAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        ''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+
+        self.SetStartDate(2013,10,7)   #Set Start Date
+        self.SetEndDate(2013,10,11)    #Set End Date
+        self.SetCash(100000)           #Set Strategy Cash
+
+        self.UniverseSettings.Resolution = Resolution.Daily;
+
+        spy = Symbol.Create("SPY", SecurityType.Equity, Market.USA)
+        fb = Symbol.Create("FB", SecurityType.Equity, Market.USA)
+        ibm = Symbol.Create("IBM", SecurityType.Equity, Market.USA)
+
+        # set algorithm framework models
+        self.SetUniverseSelection(ManualUniverseSelectionModel([ spy, fb, ibm ]))
+        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
+        self.SetExecution(ImmediateExecutionModel())
+
+        self.AddAlpha(OneTimeAlphaModel(spy))
+        self.AddAlpha(OneTimeAlphaModel(fb))
+        self.AddAlpha(OneTimeAlphaModel(ibm))
+
+class OneTimeAlphaModel(AlphaModel):
+    def __init__(self, symbol):
+        self.symbol = symbol
+        self.triggered = False
+
+    def Update(self, algorithm, data):
+        insights = []
+        if not self.triggered:
+            self.triggered = True;
+            insights.append(Insight.Price(
+                self.symbol,
+                Resolution.Daily,
+                1,
+                InsightDirection.Down))
+        return insights