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Renames PairsTradingAlphaModel

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- Since it will be used as a base class for other pairs trading models, it was ranamed as BasePairsTradingAlphaModel

- Use a tuple of symbols are key of BasePairsTradingAlphaModel._pairs dictionary.
This commit is contained in:
AlexCatarino
2018-07-09 12:40:15 +01:00
parent e815fe8cba
commit 6dbe83d0be
8 changed files with 266 additions and 193 deletions
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Algorithm.Python/PairsTradingAlphaModelFrameworkAlgorithm.py
+5 -5
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@@ -21,15 +21,15 @@ from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Selection import *
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Alphas.PairsTradingAlphaModel import PairsTradingAlphaModel
from Alphas.BasePairsTradingAlphaModel import BasePairsTradingAlphaModel
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Risk.NullRiskManagementModel import NullRiskManagementModel
from datetime import timedelta
### <summary>
### Framework algorithm that uses the PairsTradingAlphaModel to detect
### divergences between correllated assets. Detection of asset correlation is not
### performed and is expected to be handled outside of the alpha model.
### Framework algorithm that uses the BasePairsTradingAlphaModel to detect
### divergences between correlated assets. Detection of asset correlation is not
### performed (all assets are assumed to be correlated).
### </summary>
class PairsTradingAlphaModelFrameworkAlgorithm(QCAlgorithmFramework):
'''Framework algorithm that uses the PairsTradingAlphaModel to detect
@@ -45,7 +45,7 @@ class PairsTradingAlphaModelFrameworkAlgorithm(QCAlgorithmFramework):
Symbol.Create('AIG', SecurityType.Equity, Market.USA),
Symbol.Create('BAC', SecurityType.Equity, Market.USA)))
self.SetAlpha(PairsTradingAlphaModel(timedelta(minutes = 15)))
self.SetAlpha(BasePairsTradingAlphaModel(timedelta(minutes = 15)))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())