Louis Szeto
9eb71e1543
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* MRP * Fix bug * Rename * Provide virtual `GetPriceRelative` function to override for any variants in future * SymbolData class within model * Address peer review * fix bug * revise unit test and fix bug in python model * revise unit test and fix bug in model * Revise regression statistics * Revise regression statistics * Revise regression statistics * Revise regression statistics * Revise regression statistics * Address peer review * Updated unit tests according to peer review * Address peer review
32 lines
1.5 KiB
Python
32 lines
1.5 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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from Portfolio.MeanReversionPortfolioConstructionModel import *
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class MeanReversionPortfolioAlgorithm(QCAlgorithm):
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'''Example algorithm of using MeanReversionPortfolioConstructionModel'''
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def Initialize(self):
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# Set starting date, cash and ending date of the backtest
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self.SetStartDate(2020, 9, 1)
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self.SetEndDate(2021, 2, 28)
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self.SetCash(100000)
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self.SetSecurityInitializer(lambda security: security.SetMarketPrice(self.GetLastKnownPrice(security)))
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# Subscribe to data of the selected stocks
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self.symbols = [self.AddEquity(ticker, Resolution.Daily).Symbol for ticker in ["SPY", "AAPL"]]
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self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1)))
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self.SetPortfolioConstruction(MeanReversionPortfolioConstructionModel()) |