AlexCatarino
e815fe8cba
Instead of using a single, pre-defined, pair set in the class constructor, the pair is defined when securities are changed, therefore depending on the universe selection model.
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.PairsTradingAlphaModel import PairsTradingAlphaModel
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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 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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### </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(PairsTradingAlphaModel(timedelta(minutes = 15)))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.SetRiskManagement(NullRiskManagementModel()) |