Marco Grassi
e823dfdfb7
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
46 lines
2.3 KiB
Python
46 lines
2.3 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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### Regression algorithm testing portfolio construction model control over rebalancing,
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### specifying a date rules, see GH 4075.
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### </summary>
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class PortfolioRebalanceOnDateRulesRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.UniverseSettings.Resolution = Resolution.Daily
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# Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
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# Commented so regression algorithm is more sensitive
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#self.Settings.MinimumOrderMarginPortfolioPercentage = 0.005
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self.SetStartDate(2015,1,1)
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self.SetEndDate(2017,1,1)
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self.Settings.RebalancePortfolioOnInsightChanges = False
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self.Settings.RebalancePortfolioOnSecurityChanges = False
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self.SetUniverseSelection(CustomUniverseSelectionModel("CustomUniverseSelectionModel", lambda time: [ "AAPL", "IBM", "FB", "SPY" ]))
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self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, None))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(self.DateRules.Every(DayOfWeek.Wednesday)))
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self.SetExecution(ImmediateExecutionModel())
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def OnOrderEvent(self, orderEvent):
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if orderEvent.Status == OrderStatus.Submitted:
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self.Debug(str(orderEvent))
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if self.UtcTime.weekday() != 2:
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raise ValueError(str(self.UtcTime) + " " + str(orderEvent.Symbol) + " " + str(self.UtcTime.weekday()))
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