AlexCatarino
75 lines
3.6 KiB
Python
75 lines
3.6 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Alphas import *
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from QuantConnect.Algorithm.Framework.Execution import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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from QuantConnect.Algorithm.Framework.Risk import *
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from Selection.ManualUniverseSelectionModel import ManualUniverseSelectionModel
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from datetime import timedelta
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### <summary>
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### Framework algorithm that uses the G10CurrencySelectionModel,
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### a Universe Selection Model that inherits from ManualUniverseSelectionModel
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### </summary>
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class G10CurrencySelectionModelFrameworkAlgorithm(QCAlgorithm):
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'''Framework algorithm that uses the G10CurrencySelectionModel,
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a Universe Selection Model that inherits from ManualUniverseSelectionMode'''
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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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# Set requested data resolution
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self.UniverseSettings.Resolution = Resolution.Minute
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self.SetStartDate(2013,10,7) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# set algorithm framework models
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self.SetUniverseSelection(self.G10CurrencySelectionModel())
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self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.01))
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def OnOrderEvent(self, orderEvent):
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if orderEvent.Status == OrderStatus.Filled:
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self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))
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class G10CurrencySelectionModel(ManualUniverseSelectionModel):
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'''Provides an implementation of IUniverseSelectionModel that simply subscribes to G10 currencies'''
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def __init__(self):
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'''Initializes a new instance of the G10CurrencySelectionModel class
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using the algorithm's security initializer and universe settings'''
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super().__init__([Symbol.Create(x, SecurityType.Forex, Market.Oanda)
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for x in [ "EURUSD",
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"GBPUSD",
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"USDJPY",
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"AUDUSD",
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"NZDUSD",
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"USDCAD",
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"USDCHF",
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"NOKUSD",
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"SEKUSD" ]]) |