Adds EWPCM Usage Examples in BasicTemplateFrameworkAlgorithm

2019-10-24 01:19:35 +01:00
parent f02b39940b
commit 725889198c
2 changed files with 18 additions and 2 deletions
@@ -58,7 +58,15 @@ class BasicTemplateFrameworkAlgorithm(QCAlgorithm):
        # set algorithm framework models
        self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
        self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
-        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
+
+        # We can define who often the EWPCM will rebalance if no new insight is submitted using:
+        # Resolution Enum:
+        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(Resolution.Daily))
+        # timedelta
+        # self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(timedelta(2)))
+        # A lamdda datetime -> datetime. In this case, we can use the pre-defined func at Expiry helper class
+        # self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(Expiry.EndOfWeek))
+
        self.SetExecution(ImmediateExecutionModel())
        self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.01))