Stefano Raggi
88be6d245b
This algorithm had a couple of issues: - it was using a coarse universe with no data files available, so it has been changed to use a custom universe - it was using algorithm time instead of selection time in the selector function The regression stats have also been updated to match the new algorithm code.
59 lines
2.3 KiB
Python
59 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 clr import AddReference
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AddReference("System.Core")
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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 QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.UniverseSelection import *
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### <summary>
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### Regression algorithm to test universe additions and removals with open positions
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### </summary>
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### <meta name="tag" content="regression test" />
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class WeeklyUniverseSelectionRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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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.SetBenchmark(lambda x: 1)
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self.UniverseSettings.Resolution = Resolution.Hour
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# select IBM once a week, empty universe the other days
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self.AddUniverse("my-custom-universe", lambda dt: ["IBM"] if dt.day % 7 == 0 else [])
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def OnData(self, slice):
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if self.changes == 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("{} Liquidate {}".format(self.Time, security.Symbol))
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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("{} Buy {}".format(self.Time, security.Symbol))
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self.SetHoldings(security.Symbol, 1)
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self.changes = None
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def OnSecuritiesChanged(self, changes):
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self.changes = changes |