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Refactors PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm

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- Moves `PearsonCorrelationPairsTradingAlphaModel` class to its own file in order to make it available as a framework model.
- Follows existing pattern design that alpha models receive a lookback and a `Resolution` object.
- Algorithm implements `IRegressionAlgorithmDefinition`.
This commit is contained in:
AlexCatarino
2018-07-10 13:11:39 +01:00
parent 6121236f20
commit c59ff47ed7
11 changed files with 301 additions and 173 deletions
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Algorithm.Python/PairsTradingAlphaModelFrameworkAlgorithm.py
+1 -1
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@@ -45,7 +45,7 @@ class PairsTradingAlphaModelFrameworkAlgorithm(QCAlgorithmFramework):
Symbol.Create('AIG', SecurityType.Equity, Market.USA),
Symbol.Create('BAC', SecurityType.Equity, Market.USA)))
self.SetAlpha(BasePairsTradingAlphaModel(timedelta(minutes = 15)))
self.SetAlpha(BasePairsTradingAlphaModel(15, Resolution.Minute))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())