Commit Graph

5 Commits

Author SHA1 Message Date
Michael Handschuh fdc866fda0 Reverting 'Merge pull request #2483 python-history-provider'
We didn't experience the expected performance improvements. Locally under
unit test there was aboout an order of magnitude throughput increase, but
when run against the history benchmark, this new approach was 60% slower.
We're reverting this for now to perform further analysis and better
understand the performance profiling of the python history stack.
2018-09-18 18:37:23 -04:00
AlexCatarino 3e4a71cd50 Creates QCAlgorithm.py: a bridge between C# QCAlgorithm and python algorithms 2018-09-17 19:05:48 +01:00
AlexCatarino 6fcb381c46 Fixes typo in PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py
The lookback period for one year should be 252, since one year has 252 trading days.
2018-07-17 22:18:17 +01:00
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 6121236f20 Implements PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm
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