AlexCatarino
59 lines
2.3 KiB
C#
59 lines
2.3 KiB
C#
/*
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* 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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*/
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using QuantConnect.Algorithm.Framework;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Show cases how to use the <see cref="CompositeAlphaModel"/> to define
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/// </summary>
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public class CompositeAlphaModelFrameworkAlgorithm : QCAlgorithmFramework
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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// even though we're using a framework algorithm, we can still add our securities
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// using the AddEquity/Forex/Crypto/ect methods and then pass them into a manual
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// universe selection model using Securities.Keys
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AddEquity("SPY");
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AddEquity("IBM");
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AddEquity("BAC");
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AddEquity("AIG");
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// define a manual universe of all the securities we manually registered
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SetUniverseSelection(new ManualUniverseSelectionModel(Securities.Keys));
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// define alpha model as a composite of the rsi and ema cross models
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SetAlpha(new CompositeAlphaModel(
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new RsiAlphaModel(),
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new EmaCrossAlphaModel()
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));
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// default models for the rest
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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SetRiskManagement(new NullRiskManagementModel());
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}
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}
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}
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