Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
42 lines
1.9 KiB
Python
42 lines
1.9 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
from Alphas.ConstantAlphaModel import ConstantAlphaModel
|
|
from Selection.EmaCrossUniverseSelectionModel import EmaCrossUniverseSelectionModel
|
|
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
|
|
|
|
### <summary>
|
|
### Framework algorithm that uses the EmaCrossUniverseSelectionModel to
|
|
### select the universe based on a moving average cross.
|
|
### </summary>
|
|
class EmaCrossUniverseSelectionFrameworkAlgorithm(QCAlgorithm):
|
|
'''Framework algorithm that uses the EmaCrossUniverseSelectionModel to select the universe based on a moving average cross.'''
|
|
|
|
def Initialize(self):
|
|
|
|
self.SetStartDate(2013,1,1)
|
|
self.SetEndDate(2015,1,1)
|
|
self.SetCash(100000)
|
|
|
|
fastPeriod = 100
|
|
slowPeriod = 300
|
|
count = 10
|
|
|
|
self.UniverseSettings.Leverage = 2.0
|
|
self.UniverseSettings.Resolution = Resolution.Daily
|
|
|
|
self.SetUniverseSelection(EmaCrossUniverseSelectionModel(fastPeriod, slowPeriod, count))
|
|
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1), None, None))
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
|