Gerardo Salazar
a4d49c05ca
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
42 lines
1.7 KiB
C#
42 lines
1.7 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.
|
|
*/
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Demonstration of how to estimate constituents of QC500 index based on the company fundamentals
|
|
/// The algorithm creates a default tradable and liquid universe containing 500 US equities
|
|
/// which are chosen at the first trading day of each month.
|
|
/// </summary>
|
|
/// <meta name="tag" content="using data" />
|
|
/// <meta name="tag" content="universes" />
|
|
/// <meta name="tag" content="coarse universes" />
|
|
/// <meta name="tag" content="fine universes" />
|
|
public class ConstituentsQC500GeneratorAlgorithm : QCAlgorithm
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
UniverseSettings.Resolution = Resolution.Daily;
|
|
|
|
SetStartDate(2018, 1, 1); // Set Start Date
|
|
SetEndDate(2019, 1, 1); // Set End Date
|
|
SetCash(100000); // Set Strategy Cash
|
|
|
|
// Add QC500 Universe
|
|
AddUniverse(Universe.QC500);
|
|
}
|
|
}
|
|
}
|