Jing Wu
67 lines
2.5 KiB
Python
67 lines
2.5 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 clr import AddReference
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AddReference("System.Core")
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AddReference("System.Collections")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from System.Collections.Generic import List
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from QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.UniverseSelection import *
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import numpy as np
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class WeeklyUniverseSelectionRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.UniverseSettings.Resolution = Resolution.Daily
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self.SetCash(100000)
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self.SetStartDate(2013,10,1)
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self.SetEndDate(2013,10,31)
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self.AddUniverse(self.CoarseSelectionFunction)
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def CoarseSelectionFunction(self, coarse):
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# select IBM once a week
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list = List[Symbol]()
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if self.Time.day % 7 == 0:
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list.Add(self.AddEquity("IBM").Symbol)
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return list
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def OnData(self, slice):
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if self._changes == SecurityChanges.None: return
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# liquidate removed securities
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for security in self._changes.RemovedSecurities:
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if security.Invested:
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self.Log(str(self.Time) + " Liquidate " + str(security.Symbol.Value))
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self.Liquidate(security.Symbol)
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# we'll simply go long each security we added to the universe
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for security in self._changes.AddedSecurities:
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if not security.Invested:
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self.Log(str(Time) + " Buy " + str(security.Symbol.Value))
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self.SetHoldings(security.Symbol, 1)
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self._changes = SecurityChanges.None
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def OnSecuritiesChanged(self, changes):
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# Event fired each time the we add/remove securities from the data feed
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# <param name="changes">Object containing AddedSecurities and RemovedSecurities</param>
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self._changes = changes |