Alexandre Catarino
9cd05e9f1f
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* Updates the PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm Change the `PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm` logic to show that it doesn't remove the consolidators used in the Alpha Model's indicators. * Fixes `BasePairsTradingAlphaModel` The `BasePairsTradingAlphaModel` will create indicators with class constructors and register them to consolidators that will be removed when the security is removed from the universe. * Addresses Peer-Review
53 lines
2.7 KiB
Python
53 lines
2.7 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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### Framework algorithm that uses the PearsonCorrelationPairsTradingAlphaModel.
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### This model extendes BasePairsTradingAlphaModel and uses Pearson correlation
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### to rank the pairs trading candidates and use the best candidate to trade.
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### </summary>
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class PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm(QCAlgorithm):
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'''Framework algorithm that uses the PearsonCorrelationPairsTradingAlphaModel.
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This model extendes BasePairsTradingAlphaModel and uses Pearson correlation
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to rank the pairs trading candidates and use the best candidate to trade.'''
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def Initialize(self):
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self.SetStartDate(2013,10,7)
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self.SetEndDate(2013,10,11)
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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.day <= (self.EndDate - timedelta(1)).day else []))
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self.SetAlpha(PearsonCorrelationPairsTradingAlphaModel(252, Resolution.Daily))
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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) -> None:
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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 should be zero. Actual: {consolidatorCount}")
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