Michael Handschuh
38d749caa4
The PairsTradingAlphaModel is a simple example of defining an insight grouping. Insights that are grouped together are assigned a unique group-id that can be used by the portfolio construction model. Updates were made to the CommonAlphaModelTests to give more control to derived types. Some changes are still needed here to give securities unique prices. I would recommend using a psuedo-random walk approach by using Random with a constant seed value.
48 lines
1.9 KiB
C#
48 lines
1.9 KiB
C#
/*
|
|
* 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.
|
|
*/
|
|
|
|
using QuantConnect.Algorithm.Framework;
|
|
using QuantConnect.Algorithm.Framework.Alphas;
|
|
using QuantConnect.Algorithm.Framework.Execution;
|
|
using QuantConnect.Algorithm.Framework.Portfolio;
|
|
using QuantConnect.Algorithm.Framework.Risk;
|
|
using QuantConnect.Algorithm.Framework.Selection;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Framework algorithm that uses the <see cref="PairsTradingAlphaModel"/> to detect
|
|
/// divergences between correllated assets. Detection of asset correlation is not
|
|
/// performed and is expected to be handled outside of the alpha model.
|
|
/// </summary>
|
|
public class PairsTradingAlphaModelFrameworkAlgorithm : QCAlgorithmFramework
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 10, 07);
|
|
SetEndDate(2013, 10, 11);
|
|
|
|
var bac = AddEquity("BAC");
|
|
var aig = AddEquity("AIG");
|
|
|
|
UniverseSelection = new ManualUniverseSelectionModel(Securities.Keys);
|
|
Alpha = new PairsTradingAlphaModel(bac.Symbol, aig.Symbol);
|
|
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
|
|
Execution = new ImmediateExecutionModel();
|
|
RiskManagement = new NullRiskManagementModel();
|
|
}
|
|
}
|
|
}
|