Martin-Molinero
f8b258d329
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* New Fundamental Data * Minor CIK lookup fix * Handle live mode & delete unexisting properties * Minor coarse fundamental adjustment * Add fundamental history support * Fix unit tests * Performance improvements * Fixes * Minor regression algorithm fix * Improvements. Add FundamentalUniverseSelectionModel * Change default values * Fix unit test * Minor tweaks * Fix unit test * Minor error handling improvement * Fix rebase
82 lines
3.3 KiB
Python
82 lines
3.3 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 Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel
|
|
|
|
### <summary>
|
|
### Demonstration of how to define a universe using the fundamental data
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="universes" />
|
|
### <meta name="tag" content="coarse universes" />
|
|
### <meta name="tag" content="regression test" />
|
|
class FundamentalUniverseSelectionRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.SetStartDate(2014, 3, 25)
|
|
self.SetEndDate(2014, 4, 7)
|
|
|
|
self.UniverseSettings.Resolution = Resolution.Daily
|
|
|
|
self.AddEquity("SPY")
|
|
self.AddEquity("AAPL")
|
|
|
|
self.SetUniverseSelection(FundamentalUniverseSelectionModelTest())
|
|
|
|
self.changes = None
|
|
|
|
# return a list of three fixed symbol objects
|
|
def SelectionFunction(self, fundamental):
|
|
# sort descending by daily dollar volume
|
|
sortedByDollarVolume = sorted([x for x in fundamental if x.Price > 1],
|
|
key=lambda x: x.DollarVolume, reverse=True)
|
|
|
|
# sort descending by P/E ratio
|
|
sortedByPeRatio = sorted(sortedByDollarVolume, key=lambda x: x.ValuationRatios.PERatio, reverse=True)
|
|
|
|
# take the top entries from our sorted collection
|
|
return [ x.Symbol for x in sortedByPeRatio[:self.numberOfSymbolsFundamental] ]
|
|
|
|
def OnData(self, data):
|
|
# if we have no changes, do nothing
|
|
if self.changes is None: return
|
|
|
|
# liquidate removed securities
|
|
for security in self.changes.RemovedSecurities:
|
|
if security.Invested:
|
|
self.Liquidate(security.Symbol)
|
|
self.Debug("Liquidated Stock: " + str(security.Symbol.Value))
|
|
|
|
# we want 50% allocation in each security in our universe
|
|
for security in self.changes.AddedSecurities:
|
|
self.SetHoldings(security.Symbol, 0.02)
|
|
|
|
self.changes = None
|
|
|
|
# this event fires whenever we have changes to our universe
|
|
def OnSecuritiesChanged(self, changes):
|
|
self.changes = changes
|
|
|
|
class FundamentalUniverseSelectionModelTest(FundamentalUniverseSelectionModel):
|
|
def Select(self, algorithm, fundamental):
|
|
# sort descending by daily dollar volume
|
|
sortedByDollarVolume = sorted([x for x in fundamental if x.HasFundamentalData and x.Price > 1],
|
|
key=lambda x: x.DollarVolume, reverse=True)
|
|
|
|
# sort descending by P/E ratio
|
|
sortedByPeRatio = sorted(sortedByDollarVolume, key=lambda x: x.ValuationRatios.PERatio, reverse=True)
|
|
|
|
# take the top entries from our sorted collection
|
|
return [ x.Symbol for x in sortedByPeRatio[:2] ]
|