wehub-resource-sync
33 lines
1.5 KiB
Python
33 lines
1.5 KiB
Python
# 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())
|