ebbc74290c
Update UncorrelatedToSpyUniverseSelectionModel.py
2019-03-25 14:52:05 -07:00
c2230266dd
Update UncorrelatedToSpyUniverseSelectionModel.py
2019-03-25 14:47:32 -07:00
d702aa5def
Create UncorrelatedToSpyUniverseSelectionModel.py
2019-03-25 14:40:53 -07:00
10d1d3e854
Merge pull request #2938 from simonsonjack/cca_alpha
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New Alpha -- Contingent Claims Analysis Alpha
2019-03-15 09:49:23 -07:00
206d3bee50
Merge pull request #2997 from QuantConnect/bug-2994-qc500-inconsistencies
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Implements IndexUniverseDefinitions
2019-03-13 08:17:02 -07:00
fc780e6136
Remove logging
2019-03-12 21:56:09 +00:00
6cc832c782
Implements IndexUniverseDefinitions
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In this new UniverseDefintions, a member, QC500, defines the QC500 Universe. This helper can be used to add that custom universe to the user algorithm (both in C# and Python).
2019-03-12 18:50:18 +00:00
0b0f81d18e
Merge branch 'master' into price_gap_alpha
2019-03-12 10:37:49 -07:00
bba622a580
Merge pull request #2995 from AlexCatarino/bug-2994-qc500-inconsistencies
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Fix QC500 bugs and inconsistencies
2019-03-12 09:58:00 -07:00
1e7fee1800
Merge pull request #2984 from AlexCatarino/feature-2950-adds-csharp-exemple-alphas
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Adds matching version of C# and Python Alpha algorithms
2019-03-12 09:57:48 -07:00
0d64032dfe
Remove logging
2019-03-12 16:36:40 +00:00
fa179b4659
Fix QC500 bugs and inconsistencies
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- ConstituentsQC500GeneratorAlgorithm:
- Change monthly flag to be consistent with Selection Model that cannot use Schedule events.
- Use a Dictionary keyed by `Symbol` instead of `string`.
- Selector functions return `Universe.Unchanged` instead of empty list;
-Refactoring and more informative logging.
- QC500UniverseSelectionModel
- SelectFine methods were performing all the logics every day and it should be only once per month
- Log and return `Universe.Unchanged` before division by zero if universe drops to zero members after filtering before selection by sector.
- Refactoring
2019-03-12 10:57:01 +00:00
e24f506486
Merge pull request #2983 from simonsonjack/university_updates
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Python Demo Algorithm Updates
2019-03-08 18:46:55 -08:00
276b4c4484
Revert Qaundl class subscription data source, edit quandl tickers for examples to ensure compilation
2019-03-08 17:17:34 -08:00
0f2e62a4f0
Added back ticker to force scheduled data event on trading day; added second data handler for trade bars
2019-03-08 15:34:39 -08:00
0f5bcd6454
Adds VIXDualThrustAlpha
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- Adds Python version
2019-03-05 23:02:24 +00:00
89817a7b96
Adds GasAndCrudeOilEnergyCorrelationAlpha
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- Adds C# version
- Some improments in python version
- Refactors the CorrelationPairsSelection
- Replace history request for rolling window
2019-03-05 23:01:07 +00:00
df6bdedd64
Adds GreenblattMagicFormulaAlpha
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- Adds C# version
- Minor improments in python version
2019-03-05 22:53:38 +00:00
c071979350
Assorted changes to address import statements and Rolling Window code that fails to run
2019-03-04 11:37:21 -08:00
ff565f933f
Del. decimal import
2019-03-04 10:20:10 -08:00
0d963ccdd5
Changed Quanld source to correctly retrieve csv data, along with simple cleanup of import statements and use of Decimal
2019-03-04 09:47:33 -08:00
587bb4d279
Merge pull request #2979 from HalldorAndersen/patch-8
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Update and rename GreenblattMagicFormulaAlgorithm.py to GreenblattMag…
2019-03-01 17:27:23 -08:00
f0564c0821
Update and rename GreenblattMagicFormulaAlgorithm.py to GreenblattMagicFormulaAlpha.py
2019-03-01 17:15:59 -08:00
37affce63e
Merge branch 'master' into feature-2950-adds-csharp-alpha-stream-examples
2019-03-01 17:10:07 -08:00
6ca82fd196
Further Fixes From Peer-Review
2019-03-02 01:06:09 +00:00
774b32bc5f
Apply Fixes Suggested by Peer-Review
2019-03-02 00:34:12 +00:00
2a66b4d727
Merge pull request #2941 from simonsonjack/energy_correlation_alpha
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New Alpha -- Energy Correlation Alpha
2019-03-01 16:06:56 -08:00
70c0ba431c
Clean up ticker names/lists
2019-03-01 15:45:35 -08:00
cf1b6c363b
Small cosmetic changes
2019-03-01 15:06:37 -08:00
52f4c0f834
Merge pull request #2954 from HalldorAndersen/patch-8
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Add new alpha: Greenblatts Magic Formula Alpha
2019-03-01 14:27:15 -08:00
8f9a7a073d
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 14:00:35 -08:00
61d95cce8c
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 13:58:24 -08:00
289e4e56f6
Cosmetic change to erase any confusion that the bar being handled in the consolidator is able to be either a TradeBar or a QuoteBar
2019-03-01 13:56:31 -08:00
b05a1c9dd7
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 13:31:08 -08:00
8732e7fe8f
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 12:31:53 -08:00
be5958c46b
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 12:29:24 -08:00
f11ceab45e
Removed decimal import, no longer necessary with recent LEAN updates
2019-03-01 11:15:31 -08:00
c1a69e41ca
Removed decimal import, no longer necessary with recent LEAN updates
2019-03-01 11:12:05 -08:00
5b72efb5e6
Removed decimal import, no longer necessary with recent LEAN updates
2019-03-01 11:04:42 -08:00
3b0cc22e47
Removed decimal and Decimal import, no longer necessary with recent LEAN update
2019-03-01 10:51:20 -08:00
0452db9fbf
Unnecessary to include SPY, cleaner this way
2019-03-01 10:18:02 -08:00
72ed30f531
Encased filter in list to allow the rest of the algo. to run properly
2019-03-01 08:46:12 -08:00
0423e3d54d
Adds C# version of IntradayReversalCurrencyMarkets
2019-03-01 14:55:08 +00:00
4ae74a2c7b
Adds Python Alpha Algorithms to Project and Apply Standards
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- Adds Python Alpha algorithms to project
- Adds link to appear in Alpha Stream
- Rename algorithms' names to match file name
- Add/remove imports
- Order dictionary by value and key (if true values are the same, order by key)
2019-03-01 14:54:42 +00:00
c86e561b02
Added QC header and set fees to $0
2019-02-27 16:42:16 -08:00
9c19e31c60
Added security initializer line to set fees to $0
2019-02-27 16:40:38 -08:00
cabf062391
Adjusted universe filtering and SymbolData class to make reading cleaner
2019-02-27 16:19:05 -08:00
699ff5978f
Minor changes based on commets from Alex
2019-02-27 16:16:28 -08:00
f0cacfaf58
Added QC header info
2019-02-27 13:56:26 -08:00
5b152eab0c
SymbolData class and other changes based on comments from Alex
2019-02-27 13:54:49 -08:00
HalldorAndersen