AlexCatarino
48 lines
2.0 KiB
C#
48 lines
2.0 KiB
C#
/*
|
|
* 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.
|
|
*/
|
|
|
|
using QuantConnect.Algorithm.Framework;
|
|
using QuantConnect.Algorithm.Framework.Alphas;
|
|
using QuantConnect.Algorithm.Framework.Execution;
|
|
using QuantConnect.Algorithm.Framework.Portfolio;
|
|
using QuantConnect.Algorithm.Framework.Risk;
|
|
using QuantConnect.Algorithm.Framework.Selection;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Framework algorithm that uses the <see cref="PairsTradingAlphaModel"/> to detect
|
|
/// divergences between correllated assets. Detection of asset correlation is not
|
|
/// performed and is expected to be handled outside of the alpha model.
|
|
/// </summary>
|
|
public class PairsTradingAlphaModelFrameworkAlgorithm : QCAlgorithmFramework
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 10, 07);
|
|
SetEndDate(2013, 10, 11);
|
|
|
|
var bac = AddEquity("BAC");
|
|
var aig = AddEquity("AIG");
|
|
|
|
SetUniverseSelection(new ManualUniverseSelectionModel(Securities.Keys));
|
|
SetAlpha(new PairsTradingAlphaModel(bac.Symbol, aig.Symbol));
|
|
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
|
|
SetExecution(new ImmediateExecutionModel());
|
|
SetRiskManagement(new NullRiskManagementModel());
|
|
}
|
|
}
|
|
}
|