Adds python algorithms for regression tests

CoarseFineFundamentalRegressionAlgorithm CoarseFundamentalTop5Algorithm DropboxUniverseSelectionAlgorithm FractionalQuantityRegressionAlgorithm
2017-10-06 13:32:35 +01:00
parent 21cd972e99
commit 9211b67286
6 changed files with 409 additions and 130 deletions
@@ -0,0 +1,87 @@
+# 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.Core")
+AddReference("QuantConnect.Common")
+AddReference("QuantConnect.Algorithm")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import QCAlgorithm
+from QuantConnect.Data.UniverseSelection import *
+from datetime import datetime
+
+### <summary>
+### Demonstration of how to define a universe as a combination of use the coarse fundamental data and fine fundamental data
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="universes" />
+### <meta name="tag" content="coarse universes" />
+### <meta name="tag" content="regression test" />
+class CoarseFineFundamentalRegressionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2014,04,01)  #Set Start Date
+        self.SetEndDate(2014,04,30)    #Set End Date
+        self.SetCash(50000)            #Set Strategy Cash
+
+        self.UniverseSettings.Resolution = Resolution.Daily
+
+        # this add universe method accepts two parameters:
+        # - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol>
+        # - fine selection function: accepts an IEnumerable<FineFundamental> and returns an IEnumerable<Symbol>
+        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
+
+        self.changes = None
+        self.numberOfSymbolsFine = 2
+
+    # return a list of three fixed symbol objects
+    def CoarseSelectionFunction(self, coarse):        
+        tickers = [ "GOOG", "BAC", "SPY" ]
+
+        if self.Time < datetime(2014, 4, 5):
+            tickers = [ "AAPL", "AIG", "IBM" ]
+        
+        return [ Symbol.Create(x, SecurityType.Equity, Market.USA) for x in tickers ]
+        
+
+    # sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
+    def FineSelectionFunction(self, fine):
+        # sort descending by P/E ratio
+        sortedByPeRatio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)
+
+        # take the top entries from our sorted collection
+        return [ x.Symbol for x in sortedByPeRatio[:self.numberOfSymbolsFine] ]
+
+    def OnData(self, data):
+        # if we have no changes, do nothing
+        if self.changes == None: return
+
+        # liquidate removed securities
+        for security in self.changes.RemovedSecurities:
+            if security.Invested:
+                self.Liquidate(security.Symbol)
+                self.Debug("Liquidated Stock: " + str(security.Symbol.Value))
+
+        # we want 50% allocation in each security in our universe
+        for security in self.changes.AddedSecurities:
+            self.SetHoldings(security.Symbol, 0.5)
+            self.Debug("Purchased Stock: " + str(security.Symbol.Value))
+
+        self.changes = None
+
+
+    # this event fires whenever we have changes to our universe
+    def OnSecuritiesChanged(self, changes):
+        self.changes = changes