Michael Handschuh
fdc866fda0
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.
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()) |