Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
52 lines
2.0 KiB
Python
52 lines
2.0 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Regression algorithm to test universe additions and removals with open positions
|
|
### </summary>
|
|
### <meta name="tag" content="regression test" />
|
|
class InceptionDateSelectionRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.SetStartDate(2013,10,1)
|
|
self.SetEndDate(2013,10,31)
|
|
self.SetCash(100000)
|
|
|
|
self.changes = None
|
|
self.UniverseSettings.Resolution = Resolution.Hour
|
|
|
|
# select IBM once a week, empty universe the other days
|
|
self.AddUniverseSelection(CustomUniverseSelectionModel("my-custom-universe", lambda dt: ["IBM"] if dt.day % 7 == 0 else []))
|
|
# Adds SPY 5 days after StartDate and keep it in Universe
|
|
self.AddUniverseSelection(InceptionDateUniverseSelectionModel("spy-inception", {"SPY": self.StartDate + timedelta(5)}));
|
|
|
|
|
|
def OnData(self, slice):
|
|
if self.changes is None:
|
|
return
|
|
|
|
# we'll simply go long each security we added to the universe
|
|
for security in self.changes.AddedSecurities:
|
|
self.SetHoldings(security.Symbol, .5)
|
|
|
|
self.changes = None
|
|
|
|
def OnSecuritiesChanged(self, changes):
|
|
# liquidate removed securities
|
|
for security in changes.RemovedSecurities:
|
|
self.Liquidate(security.Symbol, "Removed from Universe")
|
|
|
|
self.changes = changes
|