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- Increase time lenght of SmartInsider benchmarks. Adding history
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This commit is contained in:
Martin Molinero
2019-10-16 13:35:02 -03:00
parent 0d171a2e70
commit cce87c992d
2 changed files with 47 additions and 21 deletions
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Algorithm.Python/Benchmarks/SmartInsiderEventBenchmarkAlgorithm.py
+17 -6
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@@ -25,23 +25,34 @@ class SmartInsiderEventBenchmarkAlgorithm(QCAlgorithm):
def Initialize(self):
# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
self.SetStartDate(2005, 1, 1)
self.SetStartDate(2010, 1, 1)
self.SetEndDate(2019, 1, 1)
tickers = {"AAPL", "AMZN", "MSFT", "IBM", "FB", "QQQ", "IWM", "BAC", "BNO", "AIG", "UW", "WM" }
self.securities = []
self.customSymbols = []
for ticker in tickers:
security = self.AddEquity(ticker, Resolution.Daily)
security = self.AddEquity(ticker, Resolution.Hour)
self.securities.append(security)
self.AddData(SmartInsiderIntention, security.Symbol, Resolution.Daily)
self.AddData(SmartInsiderTransaction, security.Symbol, Resolution.Daily)
intetion = self.AddData(SmartInsiderIntention, security.Symbol, Resolution.Daily)
transaction = self.AddData(SmartInsiderTransaction, security.Symbol, Resolution.Daily)
self.customSymbols.append(intetion.Symbol)
self.customSymbols.append(transaction.Symbol)
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(16, 0), self.DailyRebalance)
def OnData(self, slice):
intentions = slice.Get(SmartInsiderIntention)
transactions = slice.Get(SmartInsiderTransaction)
def DailyRebalance(self):
history = self.History(self.customSymbols, timedelta(5))
historySymbolCount = len(history.index)
for security in self.securities:
intention = security.Data.Get(SmartInsiderIntention)
transaction = security.Data.Get(SmartInsiderTransaction)
if not security.HoldStock and intention != None and transaction != None and intentions.Count == transactions.Count:
self.SetHoldings(security.Symbol, 1 / len(self.securities))
if not security.HoldStock and intention != None and transaction != None:
self.SetHoldings(security.Symbol, 1 / len(self.securities))