github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

pep8 conversion of python algos #1-25 (#7926)

Browse Source 
* pep8 conversion of python algos

* address peer-review

* PEP8 updates/fixes

* More fixes

---------

Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-18 05:02:32 +08:00
committed by GitHub
parent 784e497691
commit ed7f3ebbbf
35 changed files with 735 additions and 727 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/AddRiskManagementAlgorithm.py
+15 -15
View File
@@ -14,31 +14,31 @@
from AlgorithmImports import *
### <summary>
### Test algorithm using 'QCAlgorithm.AddRiskManagement(IRiskManagementModel)'
### Test algorithm using 'QCAlgorithm.add_risk_management(IRiskManagementModel)'
### </summary>
class AddRiskManagementAlgorithm(QCAlgorithm):
'''Basic template framework algorithm uses framework components to define the algorithm.'''
def Initialize(self):
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.UniverseSettings.Resolution = Resolution.Minute
self.universe_settings.resolution = Resolution.MINUTE
self.SetStartDate(2013,10,7) #Set Start Date
self.SetEndDate(2013,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.set_start_date(2013,10,7) #Set Start Date
self.set_end_date(2013,10,11) #Set End Date
self.set_cash(100000) #Set Strategy Cash
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
symbols = [ Symbol.create("SPY", SecurityType.EQUITY, Market.USA) ]
# set algorithm framework models
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.set_universe_selection(ManualUniverseSelectionModel(symbols))
self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
self.set_execution(ImmediateExecutionModel())
# Both setting methods should work
riskModel = CompositeRiskManagementModel(MaximumDrawdownPercentPortfolio(0.02))
riskModel.AddRiskManagement(MaximumUnrealizedProfitPercentPerSecurity(0.01))
risk_model = CompositeRiskManagementModel(MaximumDrawdownPercentPortfolio(0.02))
risk_model.add_risk_management(MaximumUnrealizedProfitPercentPerSecurity(0.01))
self.SetRiskManagement(MaximumDrawdownPercentPortfolio(0.02))
self.AddRiskManagement(MaximumUnrealizedProfitPercentPerSecurity(0.01))
self.set_risk_management(MaximumDrawdownPercentPortfolio(0.02))
self.add_risk_management(MaximumUnrealizedProfitPercentPerSecurity(0.01))