Alexandre Catarino
7feb46fec5
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If we use `.astimezone(dt.tzinfo)`, the new time was convering the timezone from local (e.g. PST) to GMT (dt.tzinfo). In this case, we only want to remove the timezone to enable the operation.
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.replace(tzinfo=None) < self.EndDate - 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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