wehub-resource-sync
50 lines
2.7 KiB
Python
50 lines
2.7 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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### <summary>
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### Regression algorithm testing portfolio construction model control over rebalancing,
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### specifying a date rules, see GH 4075.
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### </summary>
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class PortfolioRebalanceOnDateRulesRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.universe_settings.resolution = Resolution.DAILY
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# Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
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# Commented so regression algorithm is more sensitive
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#self.settings.minimum_order_margin_portfolio_percentage = 0.005
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# let's use 0 minimum order margin percentage so we can assert trades are only submitted immediately after rebalance on Wednesday
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# if not, due to TPV variations happening every day we might no cross the minimum on wednesday but yes another day of the week
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self.settings.minimum_order_margin_portfolio_percentage = 0
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self.set_start_date(2015,1,1)
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self.set_end_date(2017,1,1)
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self.settings.rebalance_portfolio_on_insight_changes = False
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self.settings.rebalance_portfolio_on_security_changes = False
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self.set_universe_selection(CustomUniverseSelectionModel("CustomUniverseSelectionModel", lambda time: [ "AAPL", "IBM", "FB", "SPY" ]))
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self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, TimeSpan.from_minutes(20), 0.025, None))
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self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(self.date_rules.every(DayOfWeek.WEDNESDAY)))
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self.set_execution(ImmediateExecutionModel())
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def on_order_event(self, order_event):
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if order_event.status == OrderStatus.SUBMITTED:
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self.debug(str(order_event))
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if self.utc_time.weekday() != 2:
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raise ValueError(str(self.utc_time) + " " + str(order_event.symbol) + " " + str(self.utc_time.weekday()))
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