wehub-resource-sync
31 lines
1.4 KiB
Python
31 lines
1.4 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 AlgorithmImports import *
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from Portfolio.RiskParityPortfolioConstructionModel import *
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class RiskParityPortfolioAlgorithm(QCAlgorithm):
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'''Example algorithm of using RiskParityPortfolioConstructionModel'''
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def initialize(self):
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self.set_start_date(2021, 2, 21) # Set Start Date
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self.set_end_date(2021, 3, 30)
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self.set_cash(100000) # Set Strategy Cash
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self.set_security_initializer(lambda security: security.set_market_price(self.get_last_known_price(security)))
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self.add_equity("SPY", Resolution.DAILY)
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self.add_equity("AAPL", Resolution.DAILY)
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self.add_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1)))
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self.set_portfolio_construction(RiskParityPortfolioConstructionModel())
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