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
59 lines
2.7 KiB
Python
59 lines
2.7 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 used to test a fine and coarse selection methods returning Universe.Unchanged
|
|
### </summary>
|
|
class UniverseUnchangedRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.UniverseSettings.Resolution = Resolution.Daily
|
|
self.SetStartDate(2014,3,25)
|
|
self.SetEndDate(2014,4,7)
|
|
|
|
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(days = 1), 0.025, None))
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
|
|
|
|
self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
|
|
|
|
self.numberOfSymbolsFine = 2
|
|
|
|
def CoarseSelectionFunction(self, coarse):
|
|
# the first and second selection
|
|
if self.Time.date() <= date(2014, 3, 26):
|
|
tickers = [ "AAPL", "AIG", "IBM" ]
|
|
return [ Symbol.Create(x, SecurityType.Equity, Market.USA) for x in tickers ]
|
|
|
|
# will skip fine selection
|
|
return Universe.Unchanged
|
|
|
|
def FineSelectionFunction(self, fine):
|
|
if self.Time.date() == date(2014, 3, 25):
|
|
sortedByPeRatio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)
|
|
return [ x.Symbol for x in sortedByPeRatio[:self.numberOfSymbolsFine] ]
|
|
|
|
# the second selection will return unchanged, in the following fine selection will be skipped
|
|
return Universe.Unchanged
|
|
|
|
# assert security changes, throw if called more than once
|
|
def OnSecuritiesChanged(self, changes):
|
|
addedSymbols = [ x.Symbol for x in changes.AddedSecurities ]
|
|
if (len(changes.AddedSecurities) != 2
|
|
or self.Time.date() != date(2014, 3, 25)
|
|
or Symbol.Create("AAPL", SecurityType.Equity, Market.USA) not in addedSymbols
|
|
or Symbol.Create("IBM", SecurityType.Equity, Market.USA) not in addedSymbols):
|
|
raise ValueError("Unexpected security changes")
|
|
self.Log(f"OnSecuritiesChanged({self.Time}):: {changes}")
|