AlexCatarino
53 lines
2.3 KiB
Python
53 lines
2.3 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Alphas import *
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from Alphas.ConstantAlphaModel import ConstantAlphaModel
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from Selection.EmaCrossUniverseSelectionModel import EmaCrossUniverseSelectionModel
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from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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from datetime import timedelta
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### <summary>
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### Framework algorithm that uses the EmaCrossUniverseSelectionModel to
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### select the universe based on a moving average cross.
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### </summary>
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class EmaCrossUniverseSelectionFrameworkAlgorithm(QCAlgorithmFramework):
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'''Framework algorithm that uses the EmaCrossUniverseSelectionModel to select the universe based on a moving average cross.'''
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def Initialize(self):
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self.SetStartDate(2013,1,1)
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self.SetEndDate(2015,1,1)
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self.SetCash(100000)
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fastPeriod = 100;
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slowPeriod = 300;
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count = 10;
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self.UniverseSettings.Leverage = 2.0
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self.UniverseSettings.Resolution = Resolution.Daily
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self.SetUniverseSelection(EmaCrossUniverseSelectionModel(fastPeriod, slowPeriod, count))
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self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1), None, None))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel()) |