wehub-resource-sync
49 lines
2.2 KiB
Python
49 lines
2.2 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 AlgorithmImports import *
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from Alphas.RsiAlphaModel import RsiAlphaModel
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from Alphas.EmaCrossAlphaModel import EmaCrossAlphaModel
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from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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### <summary>
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### Show cases how to use the CompositeAlphaModel to define.
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### </summary>
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class CompositeAlphaModelFrameworkAlgorithm(QCAlgorithm):
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'''Show cases how to use the CompositeAlphaModel to define.'''
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def initialize(self):
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self.set_start_date(2013,10,7) #Set Start Date
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self.set_end_date(2013,10,11) #Set End Date
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self.set_cash(100000) #Set Strategy Cash
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# even though we're using a framework algorithm, we can still add our securities
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# using the AddEquity/Forex/Crypto/ect methods and then pass them into a manual
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# universe selection model using securities.keys()
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self.add_equity("SPY")
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self.add_equity("IBM")
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self.add_equity("BAC")
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self.add_equity("AIG")
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# define a manual universe of all the securities we manually registered
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self.set_universe_selection(ManualUniverseSelectionModel())
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# define alpha model as a composite of the rsi and ema cross models
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self.set_alpha(CompositeAlphaModel(RsiAlphaModel(), EmaCrossAlphaModel()))
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# default models for the rest
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self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
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self.set_execution(ImmediateExecutionModel())
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self.set_risk_management(NullRiskManagementModel())
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