Alexandre Catarino
3b2e165254
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* Renames and Updates BaseAlphaModelFrameworkRegressionAlgorithm The `BaseFrameworkRegressionAlgorithm ` will be used for multiple framework regression tests * Updates and Renames EmaCrossAlphaModelFrameworkAlgorithm Adds "Regression" to inform that it's a regression algorithm. * Updates and Renames MaximumPortfolioDrawdownFrameworkAlgorithm Adds "Regression" to inform that it's a regression algorithm, and use the model name: `MaximumDrawdownPercentPortfolio` * Adds New Regression Algorithms
50 lines
2.4 KiB
Python
50 lines
2.4 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 AlgorithmImports import *
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### <summary>
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### Abstract regression framework algorithm for multiple framework regression tests
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### </summary>
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class BaseFrameworkRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2014, 6, 1)
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self.SetEndDate(2014, 6, 30)
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self.UniverseSettings.Resolution = Resolution.Hour;
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self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
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symbols = [Symbol.Create(ticker, SecurityType.Equity, Market.USA)
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for ticker in ["AAPL", "AIG", "BAC", "SPY"]]
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# Manually add AAPL and AIG when the algorithm starts
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self.SetUniverseSelection(ManualUniverseSelectionModel(symbols[:2]))
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# At midnight, add all securities every day except on the last data
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# With this procedure, the Alpha Model will experience multiple universe changes
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self.AddUniverseSelection(ScheduledUniverseSelectionModel(
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self.DateRules.EveryDay(), self.TimeRules.Midnight,
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lambda dt: symbols if dt < self.EndDate.astimezone(dt.tzinfo) - timedelta(1) else []))
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self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(31), 0.025, None))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.SetRiskManagement(NullRiskManagementModel())
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def OnEndOfAlgorithm(self):
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# The base implementation checks for active insights
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insightsCount = len(self.Insights.GetInsights(lambda insight: insight.IsActive(self.UtcTime)))
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if insightsCount != 0:
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raise Exception(f"The number of active insights should be 0. Actual: {insightsCount}")
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