Martin Molinero
3679ad591f
- Improve custom rebalance function logic - Add new PyObject C# PCM constructor overloads for performance
57 lines
2.6 KiB
Python
57 lines
2.6 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 clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Algorithm.Framework")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Orders import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Algorithm.Framework import *
|
|
from QuantConnect.Algorithm.Framework.Alphas import *
|
|
from QuantConnect.Algorithm.Framework.Execution import *
|
|
from QuantConnect.Algorithm.Framework.Portfolio import *
|
|
from QuantConnect.Algorithm.Framework.Selection import *
|
|
from datetime import timedelta
|
|
|
|
### <summary>
|
|
### Regression algorithm testing portfolio construction model control over rebalancing,
|
|
### specifying a date rules, see GH 4075.
|
|
### </summary>
|
|
class PortfolioRebalanceOnDateRulesRegressionAlgorithm(QCAlgorithm):
|
|
def Initialize(self):
|
|
''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
|
|
self.UniverseSettings.Resolution = Resolution.Daily
|
|
|
|
self.SetStartDate(2015,1,1)
|
|
self.SetEndDate(2017,1,1)
|
|
|
|
self.Settings.RebalancePortfolioOnInsightChanges = False;
|
|
self.Settings.RebalancePortfolioOnSecurityChanges = False;
|
|
|
|
self.SetUniverseSelection(CustomUniverseSelectionModel("CustomUniverseSelectionModel", lambda time: [ "AAPL", "IBM", "FB", "SPY" ]))
|
|
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, None))
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(self.DateRules.Every(DayOfWeek.Wednesday)))
|
|
self.SetExecution(ImmediateExecutionModel())
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
if orderEvent.Status == OrderStatus.Submitted:
|
|
self.Debug(str(orderEvent));
|
|
if self.UtcTime.weekday() != 2:
|
|
raise ValueError(str(self.UtcTime) + " " + str(orderEvent.Symbol) + " " + str(self.UtcTime.weekday()));
|