Commit Graph

1 Commits

Author SHA1 Message Date
Michael Handschuh 38d749caa4 Add PairsTradingAlphaModel w/ regression test
The PairsTradingAlphaModel is a simple example of defining an insight
grouping. Insights that are grouped together are assigned a unique
group-id that can be used by the portfolio construction model.

Updates were made to the CommonAlphaModelTests to give more control to
derived types. Some changes are still needed here to give securities
unique prices. I would recommend using a psuedo-random walk approach
by using Random with a constant seed value.
2018-04-19 16:30:20 -04:00