wehub-resource-sync
102 lines
4.0 KiB
C#
102 lines
4.0 KiB
C#
/*
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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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*/
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Indicators;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example algorithm defines its own custom coarse/fine fundamental selection model
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/// combined with the MACD alpha model.
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/// </summary>
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public class CustomFrameworkModelsAlgorithm : QCAlgorithm
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{
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public override void Initialize()
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{
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// Set requested data resolution
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UniverseSettings.Resolution = Resolution.Minute;
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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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SetUniverseSelection(new CustomFundamentalUniverseSelectionModel());
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SetAlpha(new MacdAlphaModel(
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fastPeriod: 10,
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slowPeriod: 30,
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signalPeriod: 12,
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movingAverageType: MovingAverageType.Simple
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));
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status.IsFill())
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{
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Debug($"Purchased Stock: {orderEvent.Symbol}");
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}
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}
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/// <summary>
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/// Defines a custom <see cref="FundamentalUniverseSelectionModel"/> that takes the top 100 by
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/// dollar volume and then the top 20 by earnings yield
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/// </summary>
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public class CustomFundamentalUniverseSelectionModel : FundamentalUniverseSelectionModel
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{
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public CustomFundamentalUniverseSelectionModel()
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: base(filterFineData: true)
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{
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}
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/// <summary>
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/// Defines the coarse fundamental selection function.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="coarse">The coarse fundamental data used to perform filtering</param>
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/// <returns>An enumerable of symbols passing the filter</returns>
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public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
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{
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return coarse
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.OrderByDescending(c => c.DollarVolume)
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.Select(c => c.Symbol)
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.Take(100);
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}
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/// <summary>
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/// Defines the fine fundamental selection function.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="fine">The fine fundamental data used to perform filtering</param>
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/// <returns>An enumerable of symbols passing the filter</returns>
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public override IEnumerable<Symbol> SelectFine(QCAlgorithm algorithm, IEnumerable<FineFundamental> fine)
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{
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return fine
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.OrderByDescending(f => f.ValuationRatios.EarningYield)
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.Select(f => f.Symbol)
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.Take(20);
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}
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}
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}
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}
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