Adds Regression Algorithms for InceptionDateUniverseSelectionModel

Adds Regression Algorithms to show `CustomUniverseSelectionModel` and `InceptionDateUniverseSelectionModel` in action.
2019-10-03 23:32:16 +01:00
parent ee7e71e63c
commit ff00e9e776
5 changed files with 185 additions and 0 deletions
@@ -0,0 +1,62 @@
+# 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")
+AddReference("QuantConnect.Algorithm.Framework")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import QCAlgorithm
+from QuantConnect.Algorithm.Framework.Selection import *
+from QuantConnect.Data.UniverseSelection import *
+from datetime import timedelta
+
+### <summary>
+### Regression algorithm to test universe additions and removals with open positions
+### </summary>
+### <meta name="tag" content="regression test" />
+class InceptionDateSelectionRegressionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2013,10,1)
+        self.SetEndDate(2013,10,31)
+        self.SetCash(100000)
+
+        self.changes = None
+        self.UniverseSettings.Resolution = Resolution.Hour
+
+        # select IBM once a week, empty universe the other days
+        self.AddUniverseSelection(CustomUniverseSelectionModel("my-custom-universe", lambda dt: ["IBM"] if dt.day % 7 == 0 else []))
+        # Adds SPY 5 days after StartDate and keep it in Universe
+        self.AddUniverseSelection(InceptionDateUniverseSelectionModel("spy-inception", {"SPY": self.StartDate + timedelta(5)}));
+
+
+    def OnData(self, slice):
+        if self.changes is None:
+           return
+
+        # we'll simply go long each security we added to the universe
+        for security in self.changes.AddedSecurities:
+            self.SetHoldings(security.Symbol, .5)
+
+        self.changes = None
+
+    def OnSecuritiesChanged(self, changes):
+        # liquidate removed securities
+        for security in changes.RemovedSecurities:
+            self.Liquidate(security.Symbol, "Removed from Universe")
+
+        self.changes = changes