AlexCatarino
595700e340
`EqualEeightingPortfolioConstructionModel` (C# and Python) allocates all cash to the stocks who have insights in universe. - Fixes regression tests to reflect the model logic change - Fixes imports in python algorithms to use python models when available
63 lines
2.8 KiB
Python
63 lines
2.8 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.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.Selection import *
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from Alphas.RsiAlphaModel import RsiAlphaModel
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from Alphas.EmaCrossAlphaModel import EmaCrossAlphaModel
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from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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from Execution.ImmediateExecutionModel import ImmediateExecutionModel
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from Risk.NullRiskManagementModel import NullRiskManagementModel
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from datetime import timedelta
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import numpy as np
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### <summary>
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### Show cases how to use the CompositeAlphaModel to define.
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### </summary>
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class CompositeAlphaModelFrameworkAlgorithm(QCAlgorithmFramework):
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'''Show cases how to use the CompositeAlphaModel to define.'''
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def Initialize(self):
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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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# even though we're using a framework algorithm, we can still add our securities
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# using the AddEquity/Forex/Crypto/ect methods and then pass them into a manual
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# universe selection model using Securities.Keys
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self.AddEquity("SPY")
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self.AddEquity("IBM")
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self.AddEquity("BAC")
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self.AddEquity("AIG")
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# define a manual universe of all the securities we manually registered
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self.SetUniverseSelection(ManualUniverseSelectionModel(self.Securities.Keys))
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# define alpha model as a composite of the rsi and ema cross models
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self.SetAlpha(CompositeAlphaModel(RsiAlphaModel(), EmaCrossAlphaModel()))
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# default models for the rest
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.SetRiskManagement(NullRiskManagementModel()) |