AlexCatarino
c59ff47ed7
- Moves `PearsonCorrelationPairsTradingAlphaModel` class to its own file in order to make it available as a framework model. - Follows existing pattern design that alpha models receive a lookback and a `Resolution` object. - Algorithm implements `IRegressionAlgorithmDefinition`.
51 lines
2.4 KiB
Python
51 lines
2.4 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("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from QuantConnect 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.Alphas import *
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from QuantConnect.Algorithm.Framework.Selection import *
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from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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from Alphas.BasePairsTradingAlphaModel import BasePairsTradingAlphaModel
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from Execution.ImmediateExecutionModel import ImmediateExecutionModel
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from Risk.NullRiskManagementModel import NullRiskManagementModel
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from datetime import timedelta
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### <summary>
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### Framework algorithm that uses the BasePairsTradingAlphaModel to detect
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### divergences between correlated assets. Detection of asset correlation is not
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### performed (all assets are assumed to be correlated).
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### </summary>
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class PairsTradingAlphaModelFrameworkAlgorithm(QCAlgorithmFramework):
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'''Framework algorithm that uses the PairsTradingAlphaModel to detect
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divergences between correllated assets. Detection of asset correlation is not
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performed and is expected to be handled outside of the alpha model.'''
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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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self.SetUniverseSelection(ManualUniverseSelectionModel(
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Symbol.Create('AIG', SecurityType.Equity, Market.USA),
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Symbol.Create('BAC', SecurityType.Equity, Market.USA)))
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self.SetAlpha(BasePairsTradingAlphaModel(15, Resolution.Minute))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.SetRiskManagement(NullRiskManagementModel()) |