chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,33 @@
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# 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 AlgorithmImports import *
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### <summary>
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### Benchmark Algorithm: The minimalist basic template algorithm benchmark strategy.
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### </summary>
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### <remarks>
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### All new projects in the cloud are created with the basic template algorithm. It uses a minute algorithm
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### </remarks>
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class BasicTemplateBenchmark(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2000, 1, 1)
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self.set_end_date(2022, 1, 1)
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self.set_benchmark(lambda x: 1)
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self.add_equity("SPY")
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def on_data(self, data):
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if not self.portfolio.invested:
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self.set_holdings("SPY", 1)
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self.debug("Purchased Stock")
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@@ -0,0 +1,63 @@
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# 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 AlgorithmImports import *
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class CoarseFineUniverseSelectionBenchmark(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2017, 11, 1)
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self.set_end_date(2018, 3, 1)
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self.set_cash(50000)
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self.universe_settings.resolution = Resolution.MINUTE
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self.add_universe(self.coarse_selection_function, self.fine_selection_function)
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self.number_of_symbols = 150
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self.number_of_symbols_fine = 40
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self._changes = None
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# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
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def coarse_selection_function(self, coarse):
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selected = [x for x in coarse if (x.has_fundamental_data)]
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# sort descending by daily dollar volume
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sorted_by_dollar_volume = sorted(selected, key=lambda x: x.dollar_volume, reverse=True)
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# return the symbol objects of the top entries from our sorted collection
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return [ x.symbol for x in sorted_by_dollar_volume[:self.number_of_symbols] ]
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# sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
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def fine_selection_function(self, fine):
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# sort descending by P/E ratio
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sorted_by_pe_ratio = sorted(fine, key=lambda x: x.valuation_ratios.pe_ratio, reverse=True)
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# take the top entries from our sorted collection
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return [ x.symbol for x in sorted_by_pe_ratio[:self.number_of_symbols_fine] ]
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def on_data(self, data):
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# if we have no changes, do nothing
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if self._changes is None: return
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# liquidate removed securities
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for security in self._changes.removed_securities:
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if security.invested:
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self.liquidate(security.symbol)
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for security in self._changes.added_securities:
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self.set_holdings(security.symbol, 0.02)
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self._changes = None
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def on_securities_changed(self, changes):
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self._changes = changes
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@@ -0,0 +1,70 @@
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# 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 AlgorithmImports import *
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### <summary>
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### Benchmark Algorithm: Loading and synchronization of 500 equity minute symbols and their options.
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### </summary>
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class EmptyEquityAndOptions400Benchmark(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2022, 5, 11)
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self.set_end_date(2022, 5, 12)
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self.equity_symbols = [
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"MARK", "TSN", "DT", "RDW", "CVE", "NXPI", "FIVN", "CLX", "SPXL", "BKSY", "NUGT", "CF", "NEGG",
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"RH", "SIRI", "ITUB", "CSX", "AUR", "LIDR", "CMPS", "DHI", "GLW", "NTES", "CIFR", "S", "HSBC",
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"HIPO", "WTRH", "AMRN", "BIIB", "RIO", "EDIT", "TEAM", "CNK", "BUD", "MILE", "AEHR", "DOCN",
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"CLSK", "BROS", "MLCO", "SBLK", "ICLN", "OPK", "CNC", "SKX", "SESN", "VRM", "ASML", "BBAI",
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"HON", "MRIN", "BLMN", "NTNX", "POWW", "FOUR", "HOG", "GOGO", "MGNI", "GENI", "XPDI",
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"DG", "PSX", "RRC", "CORT", "MET", "UMC", "INMD", "RBAC", "ISRG", "BOX", "DVAX", "CRVS", "HLT",
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"BKNG", "BENE", "CLVS", "ESSC", "PTRA", "BE", "FPAC", "YETI", "DOCS", "DB", "EBON", "RDS.B",
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"ERIC", "BSIG", "INTU", "MNTS", "BCTX", "BLU", "FIS", "MAC", "WMB", "TTWO", "ARDX", "SWBI",
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"ELY", "INDA", "REAL", "ACI", "APRN", "BHP", "CPB", "SLQT", "ARKF", "TSP", "OKE", "NVTA", "META",
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"CSTM", "KMX", "IBB", "AGEN", "WOOF", "MJ", "HYZN", "RSI", "JCI", "EXC", "HPE", "SI", "WPM",
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"PRTY", "BBD", "FVRR", "CANO", "INDI", "MDLZ", "KOLD", "AMBA", "SOXS", "RSX", "ZEN", "PUBM",
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"VLDR", "CI", "ISEE", "GEO", "BKR", "DHR", "GRPN", "NRXP", "ACN", "MAT", "BODY", "ENDP",
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"SHPW", "AVIR", "GPN", "BILL", "BZ", "CERN", "ARVL", "DNMR", "NTR", "FSM", "BMBL", "PAAS",
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"INVZ", "ANF", "CL", "XP", "CS", "KD", "WW", "AHT", "GRTX", "XLC", "BLDP", "HTA", "APT", "BYSI",
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"ENB", "TRIT", "VTNR", "AVCT", "SLI", "CP", "CAH", "ALLY", "FIGS", "PXD", "TPX", "ZI", "BKLN", "SKIN",
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"LNG", "NU", "CX", "GSM", "NXE", "REI", "MNDT", "IP", "BLOK", "IAA", "TIP", "MCHP", "EVTL", "BIGC",
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"IGV", "LOTZ", "EWC", "DRI", "PSTG", "APLS", "KIND", "BBIO", "APPH", "FIVE", "LSPD", "SHAK",
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"COMM", "NAT", "VFC", "AMT", "VRTX", "RGS", "DD", "GBIL", "LICY", "ACHR", "FLR", "HGEN", "TECL",
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"SEAC", "NVS", "NTAP", "ML", "SBSW", "XRX", "UA", "NNOX", "SFT", "FE", "APP", "KEY", "CDEV",
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"DPZ", "BARK", "SPR", "CNQ", "XL", "AXSM", "ECH", "RNG", "AMLP", "ENG", "BTI", "REKR",
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"STZ", "BK", "HEAR", "LEV", "SKT", "HBI", "ALB", "CAG", "MNKD", "NMM", "BIRD", "CIEN", "SILJ",
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"STNG", "GUSH", "GIS", "PRPL", "SDOW", "GNRC", "ERX", "GES", "CPE", "FBRX", "WM", "ESTC",
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"GOED", "STLD", "LILM", "JNK", "BOIL", "ALZN", "IRBT", "KOPN", "AU", "TPR", "RWLK", "TROX",
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"TMO", "AVDL", "XSPA", "JKS", "PACB", "LOGI", "BLK", "REGN", "CFVI", "EGHT", "ATNF", "PRU",
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"URBN", "KMB", "SIX", "CME", "ENVX", "NVTS", "CELH", "CSIQ", "GSL", "PAA", "WU", "MOMO",
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"TOL", "WEN", "GTE", "EXAS", "GDRX", "PVH", "BFLY", "SRTY", "UDOW", "NCR", "ALTO", "CRTD",
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"GOCO", "ALK", "TTM", "DFS", "VFF", "ANTM", "FREY", "WY", "ACWI", "PNC", "SYY", "SNY", "CRK",
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"SO", "XXII", "PBF", "AER", "RKLY", "SOL", "CND", "MPLX", "JNPR", "FTCV", "CLR", "XHB", "YY",
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"POSH", "HIMS", "LIFE", "XENE", "ADM", "ROST", "MIR", "NRG", "AAP", "SSYS", "KBH", "KKR", "PLAN",
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"DUK", "WIMI", "DBRG", "WSM", "LTHM", "OVV", "CFLT", "EWT", "UNFI", "TX", "EMR", "IMGN", "K",
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"ONON", "UNIT", "LEVI", "ADTX", "UPWK", "DBA", "VOO", "FATH", "URI", "MPW", "JNUG", "RDFN",
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"OSCR", "WOLF", "SYF", "GOGL", "HES", "PHM", "CWEB", "ALDX", "BTWN", "AFL", "PPL", "CIM"
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]
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self.set_warm_up(TimeSpan.from_days(1))
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for ticker in self.equity_symbols:
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option = self.add_option(ticker)
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option.set_filter(1, 7, timedelta(0), timedelta(90))
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self.add_equity("SPY")
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def on_data(self, slice):
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if self.is_warming_up: return
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self.quit("The end!")
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@@ -0,0 +1,383 @@
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# 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 AlgorithmImports import *
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class EmptyMinute400EquityBenchmark(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2015, 9, 1)
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self.set_end_date(2015, 12, 1)
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for symbol in Symbols().equity.all()[:400]:
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self.add_security(SecurityType.EQUITY, symbol)
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def on_data(self, data):
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pass
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class Symbols(object):
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def __init__(self):
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self.equity = self.Equity()
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class Equity(object):
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def all(self):
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return [
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"SPY",
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"AAPL",
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"FB",
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"VXX",
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"VRX",
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"NFLX",
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"UVXY",
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"QQQ",
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"IWM",
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"BABA",
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"GILD",
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"XIV",
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"XOM",
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"CVX",
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"MSFT",
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"GE",
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"SLB",
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"JPM",
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"XLE",
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"DIS",
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"AMZN",
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"TWTR",
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"PFE",
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"C",
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"BAC",
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"ABBV",
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"JNJ",
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"HAL",
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"XLV",
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"INTC",
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"WFC",
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"V",
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"YHOO",
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"COP",
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"MYL",
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"AGN",
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"WMT",
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"KMI",
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"MRK",
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"TSLA",
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"GDX",
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"LLY",
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"FCX",
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"CAT",
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"CELG",
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"QCOM",
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"MCD",
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"CMCSA",
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"XOP",
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"CVS",
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"AMGN",
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"DOW",
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"AAL",
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"APC",
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"SUNE",
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"MU",
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"VLO",
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"SBUX",
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"WMB",
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"PG",
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"EOG",
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"DVN",
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"BMY",
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"APA",
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"UNH",
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"EEM",
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"IBM",
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"NKE",
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"T",
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"HD",
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"UNP",
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"DAL",
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"ENDP",
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"CSCO",
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"OXY",
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"MRO",
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"MDT",
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"TXN",
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"WLL",
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"ORCL",
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"GOOGL",
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"UAL",
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"WYNN",
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"MS",
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"HZNP",
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"BIIB",
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"VZ",
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"GM",
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"NBL",
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"TWX",
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"SWKS",
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"JD",
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"HCA",
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"AVGO",
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"YUM",
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"KO",
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"GOOG",
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"GS",
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"PEP",
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"AIG",
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"EMC",
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"BIDU",
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"CLR",
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"PYPL",
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"LVS",
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"SWN",
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"AXP",
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"ATVI",
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"RRC",
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"WBA",
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"MPC",
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"NXPI",
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"ETE",
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"NOV",
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"FOXA",
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"SNDK",
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"DIA",
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"UTX",
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"DD",
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"WDC",
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"AA",
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"M",
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"FXI",
|
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"RIG",
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"MA",
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"DUST",
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"TGT",
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"AET",
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"EBAY",
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"LUV",
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"EFA",
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"BRK.B",
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"BA",
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"MET",
|
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"LYB",
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"SVXY",
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"UWTI",
|
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"HON",
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"HPQ",
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"OAS",
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"ABT",
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"MO",
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"ESRX",
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"TEVA",
|
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"STX",
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"IBB",
|
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"F",
|
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"CBS",
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"TLT",
|
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"PM",
|
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"ESV",
|
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"NE",
|
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"PSX",
|
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"SCHW",
|
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"MON",
|
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"HES",
|
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"GPRO",
|
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"TVIX",
|
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"MNK",
|
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"NVDA",
|
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"NFX",
|
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"USO",
|
||||
"NUGT",
|
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"EWZ",
|
||||
"LOW",
|
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"UA",
|
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"TNA",
|
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"XLY",
|
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"MMM",
|
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"PXD",
|
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"VIAB",
|
||||
"MDLZ",
|
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"NEM",
|
||||
"USB",
|
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"MUR",
|
||||
"ETN",
|
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"FEYE",
|
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"PTEN",
|
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"OIH",
|
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"UPS",
|
||||
"CHK",
|
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"DHR",
|
||||
"RAI",
|
||||
"TQQQ",
|
||||
"CCL",
|
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"BRCM",
|
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"DG",
|
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"JBLU",
|
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"CRM",
|
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"ADBE",
|
||||
"COG",
|
||||
"PBR",
|
||||
"HP",
|
||||
"BHI",
|
||||
"BK",
|
||||
"TJX",
|
||||
"DE",
|
||||
"COF",
|
||||
"INCY",
|
||||
"DHI",
|
||||
"ABC",
|
||||
"XLI",
|
||||
"ZTS",
|
||||
"BP",
|
||||
"IYR",
|
||||
"PNC",
|
||||
"CNX",
|
||||
"XLF",
|
||||
"LRCX",
|
||||
"GG",
|
||||
"RDS.A",
|
||||
"WFM",
|
||||
"TSO",
|
||||
"ANTM",
|
||||
"KSS",
|
||||
"EA",
|
||||
"PRU",
|
||||
"RAD",
|
||||
"WFT",
|
||||
"XBI",
|
||||
"THC",
|
||||
"VWO",
|
||||
"CTSH",
|
||||
"ABX",
|
||||
"VMW",
|
||||
"CSX",
|
||||
"ACN",
|
||||
"EMR",
|
||||
"SE",
|
||||
"MJN",
|
||||
"SKX",
|
||||
"ACE",
|
||||
"P",
|
||||
"CMI",
|
||||
"CL",
|
||||
"CAH",
|
||||
"EXC",
|
||||
"DUK",
|
||||
"AMAT",
|
||||
"AEM",
|
||||
"FTI",
|
||||
"STT",
|
||||
"ILMN",
|
||||
"HOG",
|
||||
"KR",
|
||||
"EXPE",
|
||||
"VRTX",
|
||||
"IVV",
|
||||
"CAM",
|
||||
"GPS",
|
||||
"MCK",
|
||||
"ADSK",
|
||||
"CMCSK",
|
||||
"HTZ",
|
||||
"MGM",
|
||||
"DLTR",
|
||||
"STI",
|
||||
"CYH",
|
||||
"MOS",
|
||||
"CNQ",
|
||||
"GLW",
|
||||
"KEY",
|
||||
"KORS",
|
||||
"SIRI",
|
||||
"EPD",
|
||||
"SU",
|
||||
"DFS",
|
||||
"TMO",
|
||||
"TAP",
|
||||
"HST",
|
||||
"NBR",
|
||||
"EQT",
|
||||
"XLU",
|
||||
"BSX",
|
||||
"COST",
|
||||
"CTRP",
|
||||
"HFC",
|
||||
"VNQ",
|
||||
"TRV",
|
||||
"POT",
|
||||
"CERN",
|
||||
"LLTC",
|
||||
"DO",
|
||||
"ADI",
|
||||
"BAX",
|
||||
"AMT",
|
||||
"URI",
|
||||
"UCO",
|
||||
"ECA",
|
||||
"MAS",
|
||||
"ALL",
|
||||
"PCAR",
|
||||
"VIPS",
|
||||
"ATW",
|
||||
"SPXU",
|
||||
"LNKD",
|
||||
"X",
|
||||
"TSM",
|
||||
"SO",
|
||||
"BBT",
|
||||
"SYF",
|
||||
"VFC",
|
||||
"CXO",
|
||||
"IR",
|
||||
"PWR",
|
||||
"GLD",
|
||||
"LNG",
|
||||
"ETP",
|
||||
"JNPR",
|
||||
"MAT",
|
||||
"KLAC",
|
||||
"XLK",
|
||||
"TRIP",
|
||||
"AEP",
|
||||
"VTR",
|
||||
"ROST",
|
||||
"RDC",
|
||||
"CF",
|
||||
"FAS",
|
||||
"HCN",
|
||||
"AR",
|
||||
"SM",
|
||||
"WPX",
|
||||
"D",
|
||||
"HOT",
|
||||
"PRGO",
|
||||
"ALXN",
|
||||
"CNC",
|
||||
"VALE",
|
||||
"JCP",
|
||||
"GDXJ",
|
||||
"OKE",
|
||||
"ADM",
|
||||
"JOY",
|
||||
"TSN",
|
||||
"MAR",
|
||||
"KHC",
|
||||
"NSC",
|
||||
"CMA",
|
||||
"COH",
|
||||
"GMCR",
|
||||
"FL",
|
||||
"FITB",
|
||||
"BHP",
|
||||
"JWN",
|
||||
"DNR",
|
||||
"PBF",
|
||||
"XLNX"]
|
||||
@@ -0,0 +1,23 @@
|
||||
# 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 *
|
||||
|
||||
class EmptySPXOptionChainBenchmark(QCAlgorithm):
|
||||
|
||||
def initialize(self):
|
||||
self.set_start_date(2018, 1, 1)
|
||||
self.set_end_date(2020, 6, 1)
|
||||
self._index = self.add_index("SPX")
|
||||
option = self.add_option(self._index)
|
||||
option.set_filter(lambda u: u.include_weeklys().strikes(-30, 30).expiration(0, 7))
|
||||
@@ -0,0 +1,31 @@
|
||||
# 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 *
|
||||
|
||||
### <summary>
|
||||
### Benchmark Algorithm: Pure processing of 1 equity second resolution with the same benchmark.
|
||||
### </summary>
|
||||
### <remarks>
|
||||
### This should eliminate the synchronization part of LEAN and focus on measuring the performance of a single datafeed and event handling system.
|
||||
### </remarks>
|
||||
class EmptySingleSecuritySecondEquityBenchmark(QCAlgorithm):
|
||||
|
||||
def initialize(self):
|
||||
self.set_start_date(2008, 1, 1)
|
||||
self.set_end_date(2008, 6, 1)
|
||||
self.set_benchmark(lambda x: 1)
|
||||
self.add_equity("SPY", Resolution.SECOND)
|
||||
|
||||
def on_data(self, data):
|
||||
pass
|
||||
@@ -0,0 +1,34 @@
|
||||
# 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 *
|
||||
|
||||
class HistoryRequestBenchmark(QCAlgorithm):
|
||||
|
||||
def initialize(self):
|
||||
self.set_start_date(2010, 1, 1)
|
||||
self.set_end_date(2018, 1, 1)
|
||||
self.set_cash(10000)
|
||||
self._symbol = self.add_equity("SPY").symbol
|
||||
|
||||
def on_end_of_day(self, symbol):
|
||||
minute_history = self.history([self._symbol], 60, Resolution.MINUTE)
|
||||
last_hour_high = 0
|
||||
for index, row in minute_history.loc["SPY"].iterrows():
|
||||
if last_hour_high < row["high"]:
|
||||
last_hour_high = row["high"]
|
||||
|
||||
daily_history = self.history([self._symbol], 1, Resolution.DAILY).loc["SPY"].head()
|
||||
daily_history_high = daily_history["high"]
|
||||
daily_history_low = daily_history["low"]
|
||||
daily_history_open = daily_history["open"]
|
||||
@@ -0,0 +1,43 @@
|
||||
# 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 *
|
||||
|
||||
class IndicatorRibbonBenchmark(QCAlgorithm):
|
||||
|
||||
# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
||||
def initialize(self):
|
||||
self.set_start_date(2010, 1, 1) #Set Start Date
|
||||
self.set_end_date(2018, 1, 1) #Set End Date
|
||||
self._spy = self.add_equity("SPY", Resolution.MINUTE).symbol
|
||||
count = 50
|
||||
offset = 5
|
||||
period = 15
|
||||
self._ribbon = []
|
||||
# define our sma as the base of the ribbon
|
||||
self._sma = SimpleMovingAverage(period)
|
||||
|
||||
for x in range(count):
|
||||
# define our offset to the zero sma, these various offsets will create our 'displaced' ribbon
|
||||
delay = Delay(offset*(x+1))
|
||||
# define an indicator that takes the output of the sma and pipes it into our delay indicator
|
||||
delayed_sma = IndicatorExtensions.of(delay, self._sma)
|
||||
# register our new 'delayed_sma' for automatic updates on a daily resolution
|
||||
self.register_indicator(self._spy, delayed_sma, Resolution.DAILY)
|
||||
self._ribbon.append(delayed_sma)
|
||||
|
||||
def on_data(self, data):
|
||||
# wait for our entire ribbon to be ready
|
||||
if not all(x.is_ready for x in self._ribbon): return
|
||||
for x in self._ribbon:
|
||||
value = x.current.value
|
||||
@@ -0,0 +1,33 @@
|
||||
# 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 *
|
||||
|
||||
class ScheduledEventsBenchmark(QCAlgorithm):
|
||||
|
||||
def initialize(self):
|
||||
|
||||
self.set_start_date(2011, 1, 1)
|
||||
self.set_end_date(2022, 1, 1)
|
||||
self.set_cash(100000)
|
||||
self.add_equity("SPY")
|
||||
|
||||
for i in range(300):
|
||||
self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.after_market_open("SPY", i), self.rebalance)
|
||||
self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.before_market_close("SPY", i), self.rebalance)
|
||||
|
||||
def on_data(self, data):
|
||||
pass
|
||||
|
||||
def rebalance(self):
|
||||
pass
|
||||
@@ -0,0 +1,57 @@
|
||||
# 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 *
|
||||
|
||||
class StatefulCoarseUniverseSelectionBenchmark(QCAlgorithm):
|
||||
|
||||
def initialize(self):
|
||||
self.universe_settings.resolution = Resolution.DAILY
|
||||
|
||||
self.set_start_date(2017, 1, 1)
|
||||
self.set_end_date(2019, 1, 1)
|
||||
self.set_cash(50000)
|
||||
|
||||
self.add_universe(self.coarse_selection_function)
|
||||
self.number_of_symbols = 250
|
||||
self._black_list = []
|
||||
|
||||
# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
|
||||
def coarse_selection_function(self, coarse):
|
||||
|
||||
selected = [x for x in coarse if (x.has_fundamental_data)]
|
||||
# sort descending by daily dollar volume
|
||||
sorted_by_dollar_volume = sorted(selected, key=lambda x: x.dollar_volume, reverse=True)
|
||||
|
||||
# return the symbol objects of the top entries from our sorted collection
|
||||
return [ x.symbol for x in sorted_by_dollar_volume[:self.number_of_symbols] if not (x.symbol in self._black_list) ]
|
||||
|
||||
def on_data(self, slice):
|
||||
if slice.has_data:
|
||||
symbol = slice.keys()[0]
|
||||
if symbol:
|
||||
if len(self._black_list) > 50:
|
||||
self._black_list.pop(0)
|
||||
self._black_list.append(symbol)
|
||||
|
||||
def on_securities_changed(self, changes):
|
||||
# if we have no changes, do nothing
|
||||
if changes is None: return
|
||||
|
||||
# liquidate removed securities
|
||||
for security in changes.removed_securities:
|
||||
if security.invested:
|
||||
self.liquidate(security.symbol)
|
||||
|
||||
for security in changes.added_securities:
|
||||
self.set_holdings(security.symbol, 0.001)
|
||||
@@ -0,0 +1,48 @@
|
||||
# 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 *
|
||||
|
||||
class StatelessCoarseUniverseSelectionBenchmark(QCAlgorithm):
|
||||
|
||||
def initialize(self):
|
||||
self.universe_settings.resolution = Resolution.DAILY
|
||||
|
||||
self.set_start_date(2017, 1, 1)
|
||||
self.set_end_date(2019, 1, 1)
|
||||
self.set_cash(50000)
|
||||
|
||||
self.add_universe(self.coarse_selection_function)
|
||||
self.number_of_symbols = 250
|
||||
|
||||
# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
|
||||
def coarse_selection_function(self, coarse):
|
||||
|
||||
selected = [x for x in coarse if (x.has_fundamental_data)]
|
||||
# sort descending by daily dollar volume
|
||||
sorted_by_dollar_volume = sorted(selected, key=lambda x: x.dollar_volume, reverse=True)
|
||||
|
||||
# return the symbol objects of the top entries from our sorted collection
|
||||
return [ x.symbol for x in sorted_by_dollar_volume[:self.number_of_symbols] ]
|
||||
|
||||
def on_securities_changed(self, changes):
|
||||
# if we have no changes, do nothing
|
||||
if changes is None: return
|
||||
|
||||
# liquidate removed securities
|
||||
for security in changes.removed_securities:
|
||||
if security.invested:
|
||||
self.liquidate(security.symbol)
|
||||
|
||||
for security in changes.added_securities:
|
||||
self.set_holdings(security.symbol, 0.001)
|
||||
Reference in New Issue
Block a user