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 +1,88 @@
+# 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.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Algorithm import QCAlgorithm
+from QuantConnect.Data.UniverseSelection import *
+from datetime import datetime
+import decimal as d
+import pandas as pd
+
+### <summary>
+### In this algortihm we show how you can easily use the universe selection feature to fetch symbols
+### to be traded using the BaseData custom data system in combination with the AddUniverse{T} method.
+### AddUniverse{T} requires a function that will return the symbols to be traded.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="universes" />
+### <meta name="tag" content="custom universes" />
+class DropboxUniverseSelectionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2013,1,1)
+        self.SetEndDate(2013,12,31)
+        
+        self.backtestSymbolsPerDay = None
+        self.current_universe = []
+
+        self.UniverseSettings.Resolution = Resolution.Daily;
+        self.AddUniverse("my-dropbox-universe", self.selector)
+    
+    def selector(self, data):
+        # handle live mode file format
+        if self.LiveMode:
+            # fetch the file from dropbox
+            url = "https://www.dropbox.com/s/2az14r5xbx4w5j6/daily-stock-picker-live.csv?dl=1"
+            df = pd.read_csv(url, header = None)
+            # if we have a file for today, return symbols
+            if not df.empty: 
+                self.current_universe = df.iloc[0,:].tolist()
+            # no symbol today, leave universe unchanged
+            return self.current_universe
+
+        # backtest - first cache the entire file
+        if self.backtestSymbolsPerDay is None:
+            url = "https://www.dropbox.com/s/rmiiktz0ntpff3a/daily-stock-picker-backtest.csv?dl=1"
+            self.backtestSymbolsPerDay = pd.read_csv(url, header = None, index_col = 0)
+        
+        index = int(data.strftime("%Y%m%d"))
+        if index in self.backtestSymbolsPerDay.index:
+            self.current_universe = self.backtestSymbolsPerDay.loc[index,:].dropna().tolist()
+
+        return self.current_universe
+
+
+    def OnData(self, slice):
+
+        if slice.Bars.Count == 0: return
+        if self.changes == None: return
+        
+        # start fresh
+        self.Liquidate()
+
+        percentage = 1 / d.Decimal(slice.Bars.Count)
+        for tradeBar in slice.Bars.Values:
+            self.SetHoldings(tradeBar.Symbol, percentage)
+        
+        # reset changes
+        self.changes = None
+    
+    def OnSecuritiesChanged(self, changes):
+        self.changes = changes