chore: import upstream snapshot with attribution

Algorithm.Python/MeanReversionPortfolioAlgorithm.py

@@ -0,0 +1,32 @@
+# 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 Portfolio.MeanReversionPortfolioConstructionModel import *
+
+class MeanReversionPortfolioAlgorithm(QCAlgorithm):
+    '''Example algorithm of using MeanReversionPortfolioConstructionModel'''
+
+    def initialize(self):
+        # Set starting date, cash and ending date of the backtest
+        self.set_start_date(2020, 9, 1)
+        self.set_end_date(2021, 2, 28)
+        self.set_cash(100000)
+
+        self.set_security_initializer(lambda security: security.set_market_price(self.get_last_known_price(security)))
+        
+        # Subscribe to data of the selected stocks
+        self._symbols = [self.add_equity(ticker, Resolution.DAILY).symbol for ticker in ["SPY", "AAPL"]]
+
+        self.add_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1)))
+        self.set_portfolio_construction(MeanReversionPortfolioConstructionModel())