Alexandre Catarino
761ea2571a
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* Adds BaseAlphaModelFrameworkRegressionAlgorithm `BaseAlphaModelFrameworkRegressionAlgorithm` will be used to validate Alpha Model regression algorithm with the same universe. - HistoricalReturnsAlphaModelFrameworkAlgorithm - EmaCrossAlphaModelFrameworkAlgorithm - MacdAlphaModelFrameworkAlgorithm - RsiAlphaModelFrameworkAlgorithm - BasePairsTradingAlphaModelFrameworkAlgorithm * Addresses Peer-Review
93 lines
3.9 KiB
C#
93 lines
3.9 KiB
C#
/*
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* 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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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Abstract regression Framework algorithm used by <see cref="EmaCrossAlphaModelFrameworkAlgorithm"/>.
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/// </summary>
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public abstract class BaseAlphaModelFrameworkRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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var symbols = new[] { "SPY", "AIG", "BAC", "IBM" }
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.Select(ticker => QuantConnect.Symbol.Create(ticker, SecurityType.Equity, Market.USA))
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.ToList();
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// Manually add SPY and AIG when the algorithm starts
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SetUniverseSelection(new ManualUniverseSelectionModel(symbols.Take(2)));
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// At midnight, add all securities every day except on the last data
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// With this procedure, the Alpha Model will experience multiple universe changes
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AddUniverseSelection(new ScheduledUniverseSelectionModel(
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DateRules.EveryDay(), TimeRules.Midnight,
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dt => dt < EndDate.AddDays(-1) ? symbols : Enumerable.Empty<Symbol>()));
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SetAlpha(new NullAlphaModel());
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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SetRiskManagement(new NullRiskManagementModel());
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}
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public override void OnEndOfAlgorithm()
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{
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// We have removed all securities from the universe. The Alpha Model should remove the consolidator
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var consolidatorCount = SubscriptionManager.Subscriptions.Sum(s => s.Consolidators.Count);
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if (consolidatorCount > 0)
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{
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throw new Exception($"The number of consolidator is should be zero. Actual: {consolidatorCount}");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public virtual Language[] Languages { get; } = { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public virtual long DataPoints => 14869;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public virtual int AlgorithmHistoryDataPoints => 152;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public abstract Dictionary<string, string> ExpectedStatistics { get; }
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}
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}
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