cfb05d190f
Merge pull request #2328 from AlexCatarino/feature-2326-implements-futures-template-framework
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Implements BasicTemplateFuturesFrameworkAlgorithm
2018-08-02 10:44:09 -04:00
65d3e43ef6
Merge pull request #2332 from QuantConnect/bug-2313-coarse-fundamental-regression-update
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Update CoarseFundamentalTop5Algorithm to run as cloud regression test
2018-08-01 11:10:30 -04:00
dc4b961ec8
Update CoarseFundamentalTop5Algorithm to run as cloud regression test
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- The algorithm has been renamed to CoarseFundamentalTop3Algorithm and updated to select the Top 3 instead of Top 5.
- The only new data required is daily, map and factor file for FB and has been added (map and factor files are dated 6/4/2018, as required by all regression tests).
- The coarse fundamental open source data has been updated.
- The expected regression statistics for the algorithm have been updated.
2018-07-31 21:20:06 +02:00
0bc157a8e7
Removes logging from framework models and algorithms
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Shipped modules should be silent unless error case.
2018-07-31 19:16:17 +01:00
b741ed82a4
Minor fix in BasicTemplateFrameworkAlgorithm.py
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Use python version of `EqualWeightingPortfolioConstructionModel` in python version of `BasicTemplateFrameworkAlgorithm`
2018-07-31 12:12:06 +01:00
e5ed09924b
Implements BasicTemplateFuturesFrameworkAlgorithm
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This algorithm shows how to implement a futures strategy in a framework algorithm.
`FutureUniverseSelectionModel` portfolio selection model was implemented to provide a base class to help create other futures universe selection models.
2018-07-30 22:21:47 +01:00
5382a0c72c
Add Quandl API key to URL in CustomDataRegressionAlgorithm
2018-07-25 15:21:59 +02:00
16f856031c
Update start date for OptionSplitRegressionAlgorithm
2018-07-24 18:59:53 +02:00
3d48efcbea
Add Tiingo Daily Prices example algorithm
2018-07-24 13:24:52 +02:00
d75794ede2
Adds indicator with custom data in BasicTemplateIntrinioEconomicData.
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This addition aims to show that the fix of the preivious commit solves the bug.
2018-07-23 17:26:43 +01:00
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
0515893ba7
Merge pull request #2278 from QuantConnect/bug-2268-timeinforce-regression-fix
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Fix TimeInForceAlgorithm regression tests
2018-07-19 10:17:41 -04:00
1138b0c1e2
Fix TimeInForceAlgorithm regression tests
2018-07-19 11:52:40 +02:00
7bd2a2049c
Fix BasicTemplateFuturesAlgorithm C#/Python difference
2018-07-19 00:57:34 +02:00
975c2845c3
Merge pull request #2246 from QuantConnect/feature-2245-updates-pythonnet
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Update pythonnet version to v1.0.5.8
* Includes fix for date time UTC bug
2018-07-18 11:26:19 -04:00
3bf8cd228b
Merge pull request #2259 from AlexCatarino/master
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Fixes typo in PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py
2018-07-18 10:55:17 -04:00
6fcb381c46
Fixes typo in PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py
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The lookback period for one year should be 252, since one year has 252 trading days.
2018-07-17 22:18:17 +01:00
ae99f7b9a1
Add Python version
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Add comments to `IRegressionAlgorithmDefinition` members.
2018-07-17 18:01:53 -03:00
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
12dda21727
Adds setup.py script that handles pythonnet installation in Lean
2018-07-12 17:14:03 +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
c59ff47ed7
Refactors PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm
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- 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
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
6dbe83d0be
Renames PairsTradingAlphaModel
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- 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
e815fe8cba
Refactors PairsTradingAlphaModel
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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
3e3b6eea20
Fix Python version of FractionalQuantityRegressionAlgorithm
2018-07-11 17:18:13 +02:00
e4fbed8816
Merge pull request #2218 from jingwu74/master
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Remove semicolons in python algorithms
2018-07-06 12:42:43 -04:00
084cd294b0
Remove semicolon in python algrotihms
2018-07-06 11:05:16 -04:00
b783e98d91
Dont chain algorithm indicator helper methods
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Chaining these is a bad pattern and should not be used in any of our
sample code.
2018-07-06 05:28:17 -04:00
6676098c9c
Implements python version of BasicTemplateOptionsFrameworkAlgorithm
2018-07-05 20:59:08 +01:00
18b8b7c971
Fixed Python imports causing failures when running all regressions at once
2018-07-03 21:03:35 +02:00
56399d8edb
Fix bug in CustomDataRegressionAlgorithm (Python)
2018-07-03 20:52:41 +02:00
96fd5b7167
Simplify date comparison in CoarseFineFundamentalRegressionAlgorithm
2018-07-03 15:00:25 +02:00
53800c102e
Remove semicolons from Python statements
2018-07-03 00:59:50 +02:00
e95863a919
Update Python comparisons to None to use "is None" instead of equality
2018-07-03 00:55:35 +02:00
7a9fc44ccd
Update Python regression tests to match C# equivalents
2018-07-02 23:50:51 +02:00
8ec32c58af
Merge pull request #2176 from AlexCatarino/bug-2030-download-method-ambiguous-call
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Fixes ambigous call bug for Download method
2018-07-02 11:18:10 -04:00
23068997e7
Merge pull request #2171 from jingwu74/master
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Renamed HistoryAndWarmupRegressionAlgorithm
2018-06-29 09:42:35 -04:00
40aef2a017
Merge pull request #2139 from gurusawhney/edit-algorithm.python-readme
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Added note to readme to emphasize building entire solution for python
2018-06-28 17:15:29 -04:00
5533fb9eb1
Fixes typo in symbolic link command
2018-06-28 21:57:47 +01:00
292951e029
Adds examples of Download method in C# and python algorithms
2018-06-28 19:01:30 +01:00
15e67b4ddd
Renamed IndicatorWarmupRegressionAlgorithm
2018-06-28 11:56:23 -04:00
891cd5952a
Renamed HistoryAndWarmupRegressionAlgorithm
2018-06-27 17:42:35 -04:00
1605870c2b
New a check to avoid adding the same option contract multiple times
2018-06-25 14:02:14 -03:00
d3c48295f9
Edited the hotkey issue in the readme
2018-06-20 16:58:36 -04:00
72e7efab3c
Reviewed comments and added another note regarding the specific python environment
2018-06-19 15:26:14 -04:00
19548af7c8
Added note to readme to emphasize building entire solution for python
2018-06-19 00:00:19 -04:00
90ee6aae44
Update QuandlImporterAlgorithm.py
2018-06-14 17:51:14 -04:00
be47d60fa7
Fix CustomDataRegressionAlgorithm failing test
2018-06-14 11:44:28 +02:00
06fa8b065a
Showcases Consolidate method feature in DataConsolidationAlgorithm
2018-06-12 13:17:50 -04:00
Michael