b0d1606118
Refactors portfolio construction models with portfolio optimization
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- Creates `MinimumVariancePortfolioOptimizer` and `MaximumSharpeRatioPortfolioOptimizer` portfolio optimizer. They implement `Optimize` method that returns a array of float representing the portfolio weights.
- Refactors `BlackLittermanOptimizationPortfolioConstructionModel` and `MeanVarianceOptimizationPortfolioConstructionModel` to use the portfolio optimizers. Part of the logic in BLOPC was changed to match the MVOPC one.
- Adds `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` similar to `MeanVarianceOptimizationFrameworkAlgorithm` that uses BLOPC.
2018-07-20 23:09:48 +01:00
8e3b7153b2
Rebase with pythonnet/master and fix datetime UTC bug
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Updates pythonnet with pythonnet/master and fix datetime issue ([65ac279](https://github.com/QuantConnect/pythonnet/commit/65ac279a03dbded39fe3e28bb79c233f0c970f6f )).
2018-07-16 11:52:54 +01:00
0a6488ba5b
Removes PairsTradingAlphaModelFrameworkAlgorithm
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This algorithm uses the `BasePairsTradingAlphaModel` that should only be used as a base class, since it doesn't have a method to select the pairs.
2018-07-11 23:40:30 +01:00
6121236f20
Implements PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm
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This algorithm is an example on how to extend the `BasePairsTradingAlphaModel` to select a pair to trade based on pearson correlation.
2018-07-11 23:40:29 +01:00
6676098c9c
Implements python version of BasicTemplateOptionsFrameworkAlgorithm
2018-07-05 20:59:08 +01:00
15e67b4ddd
Renamed IndicatorWarmupRegressionAlgorithm
2018-06-28 11:56:23 -04:00
891cd5952a
Renamed HistoryAndWarmupRegressionAlgorithm
2018-06-27 17:42:35 -04:00
75e4001b56
Add python demonstration of porting old algorithm to framework
2018-05-29 22:42:45 +01:00
f0a3196b00
Merge pull request #2041 from jingwu74/master
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Adding Benchmark algorithms
2018-05-29 17:38:55 -04:00
6e8dd0d40f
modify project file
2018-05-26 01:55:39 -04:00
ae427a14d0
Add regression algorithms for this bug fix
2018-05-25 22:06:28 +02:00
d8559f1fb4
Update project file for adding new algorithms
2018-05-24 16:40:26 -04:00
dcb373afe3
Update QuantConnect.Algorithm.Python.csproj
2018-05-21 19:51:15 -04:00
567e9135ee
add python example of using fxcm volume
2018-05-17 17:46:02 -04:00
24af1bd7cd
Adds universe selection algorithm with custom security initilizer
2018-05-10 11:58:11 +01:00
5d6dea6473
Simplify EmaCrossUniverseSelectionModel by using list instread of dict
2018-05-08 18:54:17 +01:00
f3c6c7202a
Updates Algorithm.Python and Algorithm.PythonTools projects
2018-05-07 14:19:51 +01:00
61b5859446
Implements SectorExposureRiskFrameworkAlgorithm
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This algorithm and its regression test are meant to test the `MaximumSectorExposureRiskManagementModel`.
2018-05-03 21:53:14 +01:00
38ac2c5d72
Add TimeInForceAlgorithm regression tests
2018-04-30 20:18:18 +02:00
991b15a6d1
Adds python version of PairsTradingAlphaModelFrameworkAlgorithm
2018-04-25 13:45:44 +01:00
0c8119de8a
Merge pull request #1889 from AlexCatarino/feature-1884-python-execution-models
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Adds python version of execution model examples
2018-04-19 13:24:27 -04:00
4722e1cab5
Adds python version of execution models regression algorithms
2018-04-19 12:53:29 +01:00
c4cde0e06d
Adds python version of CompositeAlphaModelFrameworkAlgorithm
2018-04-19 11:32:33 +01:00
35e8e0891e
Fixes RenkoConsolidator for python
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- Missing `event` keyword prevented pythonnet to recognize `DataConsolidated` as a event handler.
- Adds python version of `RenkoConsolidatorAlgorithm`.
2018-04-16 13:39:16 +01:00
db1149b169
Adds python version of ScheduledUniverseSelectionModelRegressionAlgorithm
2018-04-12 17:09:54 +01:00
a4db921b87
Updates pythonnet
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Rebase with pythonnet/master
2018-04-09 18:59:59 +01:00
92238a02fc
Implements MeanVarianceOptimizationAlgorithm
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This framework algorithm alpha model is HistoricalReturnsAlphaModel and the portfolio construction model is MeanVarianceOptimizationPortfolioConstructionModel.
This examples implements an algorithm that rebalances the portfolio according to modern portfolio theory.
2018-04-06 00:28:05 +01:00
b22f8f3cbf
Merge pull request #1773 from Jay-Jay-D/bug-1772-Intrinio-error-too-many-requests
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Intrinio error fixed, Python port and regression test added
2018-03-26 12:11:06 -04:00
b2b541483f
Intrinio template modified, C# regression test added
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Intrinio Python port added
Python regression test added
RateGate implemented in static IntrinioConfig
Clean stuff
Intrinio C# regression test pass
Intrinio working, Python port, C# regression test
2018-03-26 09:41:10 -03:00
0c9ad729b3
add project file of DisplacedMovingAverageRibbon.py
2018-03-21 18:27:41 -04:00
75c5902f89
add CustomDataIndicatorExtensions Algorithm
2018-03-15 17:11:55 -04:00
c7839e3e38
add python example of ConstituentsQC500Generator
2018-03-05 18:20:13 -05:00
b1734d6948
IndicatorSuiteAlgorithm implemented in Python
2018-02-28 21:45:56 -03:00
18a559943e
Upgrade LEAN Python to 3.6 from 2.7
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- Adds log to display the python version the algorithm is using.
- Fixes python algorithms that were failing because of small subtleties
like leading zeroes.
- Updates pythonnet with a version compiled with python 3.6 flags
- Changes in DockerfileFoundation: we now use miniconda to manage the python
environment.
- Took the opportunity to add NTLK (#1349 ), Tensorforce (#1369 ) and
PyTorch/Pyro (#1385 ).
- Changes readme in Algorithm.Python to show steps to install miniconda
2018-02-23 15:09:06 -05:00
a39e6a8e28
Revert "Merge pull request #1526 from AlexCatarino/python3"
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This reverts commit 2e523992d0fa48fc23ea
2018-02-14 16:03:12 +01:00
34a271adac
Updates pythonnet
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In this update, we had compiled pythonnet with python 3.6 instead of 2.7 flags
2018-02-13 13:00:50 +00:00
c235dc7ada
Add BasicTemplateCryptoAlgorithm
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Also added both C# and Python versions as regression tests
2018-02-12 17:40:26 +01:00
6827624f83
Adds RegisterIndicator overloads that takes python-defined indicators
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Adds example for this feature
2018-02-07 12:31:18 +00:00
dd14821e75
Enables custom volatility models in python algorithms
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Creates a python wrapper for volatility models created in python algorithms and adds a method to the Security object to set such models.
Adds an algorithm to show how volatility models can be implemented.
2018-01-31 12:17:24 +00:00
86aeeaf727
modified project file
2018-01-25 15:03:18 -05:00
29e62968c9
Add python examples, improve comments
2018-01-15 18:55:06 -05:00
9459f47cba
Updates pythonnet
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In this update, methods overloads with decimal parameters accept python float.
- Fixes FractionalQuantityRegressionAlgorithm:
With the pythonnet update we can pass a python float where a decimal is required.
2017-12-29 17:25:48 +00:00
c912c0d190
Updates pythonnet
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In this update, we fixed type correspondence from C# Decimal to python decimal that caused wrong method overload binding.
2017-12-18 10:57:26 +00:00
74bb93b8bf
Adds python version of BasicTemplateFrameworkAlgorithm ( #1334 )
2017-12-08 10:07:54 -05:00
e5fdc44d3e
Adds python version of HistoryAlgorithm
2017-11-01 12:51:44 +00:00
b6bccfccc9
Add FinancialAdvisorDemoAlgorithm for Python
2017-10-26 18:15:09 +02:00
b032a91a71
Adds UniverseSelectionDefinitionsAlgorithm for python
2017-10-24 19:07:40 +01:00
b8c7bed5f9
Merge pull request #1194 from jingwu74/master
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add HourReverseSplitRegressionAlgorithm
2017-10-12 18:44:11 -04:00
b78897c6cf
Merge pull request #1198 from AlexCatarino/setsecinit-py
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Implements SetSecurityInitializer for Python algorithms
2017-10-12 16:33:17 -04:00
9536123160
Updates pythonnet
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In this update, we have changed our version of pythonnet to give precedence to methods that include a PyObject parameter.
2017-10-12 16:41:50 +01:00
AlexCatarino