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
47 lines
2.3 KiB
Python
47 lines
2.3 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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### <summary>
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### Abstract regression Framework algorithm used by <see cref="EmaCrossAlphaModelFrameworkAlgorithm"/>.
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### </summary>
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class BaseAlphaModelFrameworkRegressionAlgorithm(QCAlgorithm):
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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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symbols = [Symbol.Create(ticker, SecurityType.Equity, Market.USA)
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for ticker in ["SPY", "AIG", "BAC", "IBM"]]
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# Manually add SPY and AIG when the algorithm starts
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self.SetUniverseSelection(ManualUniverseSelectionModel(symbols[: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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self.AddUniverseSelection(ScheduledUniverseSelectionModel(
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self.DateRules.EveryDay(), self.TimeRules.Midnight,
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lambda dt: symbols if dt < self.EndDate.astimezone(dt.tzinfo) - timedelta(1) else []))
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self.SetAlpha(NullAlphaModel())
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.SetRiskManagement(NullRiskManagementModel())
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def OnEndOfAlgorithm(self):
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# We have removed all securities from the universe. The Alpha Model should remove the consolidator
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consolidatorCount = sum(s.Consolidators.Count for s in self.SubscriptionManager.Subscriptions)
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if consolidatorCount > 0:
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raise Exception(f"The number of consolidator is should be zero. Actual: {consolidatorCount}")
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