Michael Handschuh
c5704a1cd4
The simple name was too simple and too vague. Equal weighting nicely describes the purpose and intent of this model
68 lines
3.1 KiB
Python
68 lines
3.1 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.Execution import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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from QuantConnect.Algorithm.Framework.Risk import *
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from QuantConnect.Algorithm.Framework.Selection import *
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from QuantConnect.Algorithm.Framework.Alphas import *
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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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### Basic template framework algorithm uses framework components to define the algorithm.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="trading and orders" />
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class BasicTemplateFrameworkAlgorithm(QCAlgorithmFramework):
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'''Basic template framework algorithm uses framework components to define the algorithm.'''
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def Initialize(self):
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''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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# Set requested data resolution
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self.UniverseSettings.Resolution = Resolution.Minute
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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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# Find more symbols here: http://quantconnect.com/data
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# Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
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# Futures Resolution: Tick, Second, Minute
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# Options Resolution: Minute Only.
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symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
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# set algorithm framework models
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self.PortfolioSelection = ManualPortfolioSelectionModel(symbols)
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self.Alpha = ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None)
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self.PortfolioConstruction = EqualWeightingPortfolioConstructionModel()
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self.Execution = ImmediateExecutionModel()
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self.RiskManagement = NullRiskManagementModel()
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self.Debug("numpy test >>> print numpy.pi: " + str(np.pi))
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def OnOrderEvent(self, orderEvent):
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if orderEvent.Status == OrderStatus.Filled:
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self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol)) |