Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
50 lines
2.2 KiB
Python
50 lines
2.2 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
from Alphas.RsiAlphaModel import RsiAlphaModel
|
|
from Alphas.EmaCrossAlphaModel import EmaCrossAlphaModel
|
|
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
|
|
|
|
### <summary>
|
|
### Show cases how to use the CompositeAlphaModel to define.
|
|
### </summary>
|
|
class CompositeAlphaModelFrameworkAlgorithm(QCAlgorithm):
|
|
'''Show cases how to use the CompositeAlphaModel to define.'''
|
|
|
|
def Initialize(self):
|
|
|
|
self.SetStartDate(2013,10,7) #Set Start Date
|
|
self.SetEndDate(2013,10,11) #Set End Date
|
|
self.SetCash(100000) #Set Strategy Cash
|
|
|
|
# even though we're using a framework algorithm, we can still add our securities
|
|
# using the AddEquity/Forex/Crypto/ect methods and then pass them into a manual
|
|
# universe selection model using Securities.Keys
|
|
self.AddEquity("SPY")
|
|
self.AddEquity("IBM")
|
|
self.AddEquity("BAC")
|
|
self.AddEquity("AIG")
|
|
|
|
# define a manual universe of all the securities we manually registered
|
|
self.SetUniverseSelection(ManualUniverseSelectionModel())
|
|
|
|
# define alpha model as a composite of the rsi and ema cross models
|
|
self.SetAlpha(CompositeAlphaModel(RsiAlphaModel(), EmaCrossAlphaModel()))
|
|
|
|
# default models for the rest
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
|
|
self.SetExecution(ImmediateExecutionModel())
|
|
self.SetRiskManagement(NullRiskManagementModel())
|