Commit Graph

5 Commits

Author SHA1 Message Date
AlexCatarino c59ff47ed7 Refactors PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm
- Moves `PearsonCorrelationPairsTradingAlphaModel` class to its own file in order to make it available as a framework model.
- Follows existing pattern design that alpha models receive a lookback and a `Resolution` object.
- Algorithm implements `IRegressionAlgorithmDefinition`.
2018-07-11 23:40:30 +01:00
AlexCatarino 6dbe83d0be Renames PairsTradingAlphaModel
- Since it will be used as a base class for other pairs trading models, it was ranamed as BasePairsTradingAlphaModel

- Use a tuple of symbols are key of BasePairsTradingAlphaModel._pairs dictionary.
2018-07-11 23:40:29 +01:00
AlexCatarino e815fe8cba Refactors PairsTradingAlphaModel
Instead of using a single, pre-defined, pair set in the class constructor, the pair is defined when securities are changed, therefore depending on the universe selection model.
2018-07-11 23:40:29 +01:00
Stefano Raggi 18b8b7c971 Fixed Python imports causing failures when running all regressions at once 2018-07-03 21:03:35 +02:00
AlexCatarino 991b15a6d1 Adds python version of PairsTradingAlphaModelFrameworkAlgorithm 2018-04-25 13:45:44 +01:00