Adds BaseAlphaModelFrameworkRegressionAlgorithm (#7107)
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* Adds BaseAlphaModelFrameworkRegressionAlgorithm

`BaseAlphaModelFrameworkRegressionAlgorithm` will be used to validate Alpha Model regression algorithm with the same universe.

- HistoricalReturnsAlphaModelFrameworkAlgorithm
- EmaCrossAlphaModelFrameworkAlgorithm
- MacdAlphaModelFrameworkAlgorithm
- RsiAlphaModelFrameworkAlgorithm
- BasePairsTradingAlphaModelFrameworkAlgorithm

* Addresses Peer-Review
This commit is contained in:
Alexandre Catarino
2023-03-21 16:22:34 +00:00
committed by GitHub
parent 0b661e70c1
commit 761ea2571a
4 changed files with 192 additions and 84 deletions
@@ -0,0 +1,25 @@
# 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 AlgorithmImports import *
from BaseAlphaModelFrameworkRegressionAlgorithm import BaseAlphaModelFrameworkRegressionAlgorithm
from Alphas.EmaCrossAlphaModel import EmaCrossAlphaModel
### <summary>
### Framework algorithm that uses the <see cref="EmaCrossAlphaModel"/>.
### </summary>
class EmaCrossAlphaModelFrameworkAlgorithm(BaseAlphaModelFrameworkRegressionAlgorithm):
def Initialize(self):
super().Initialize()
self.SetAlpha(EmaCrossAlphaModel())