wehub-resource-sync
42 lines
1.9 KiB
Python
42 lines
1.9 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.ConstantAlphaModel import ConstantAlphaModel
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from Selection.EmaCrossUniverseSelectionModel import EmaCrossUniverseSelectionModel
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from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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### <summary>
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### Framework algorithm that uses the EmaCrossUniverseSelectionModel to
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### select the universe based on a moving average cross.
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### </summary>
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class EmaCrossUniverseSelectionFrameworkAlgorithm(QCAlgorithm):
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'''Framework algorithm that uses the EmaCrossUniverseSelectionModel to select the universe based on a moving average cross.'''
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def initialize(self):
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self.set_start_date(2013,1,1)
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self.set_end_date(2015,1,1)
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self.set_cash(100000)
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fast_period = 100
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slow_period = 300
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count = 10
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self.universe_settings.leverage = 2.0
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self.universe_settings.resolution = Resolution.DAILY
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self.set_universe_selection(EmaCrossUniverseSelectionModel(fast_period, slow_period, count))
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self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1), None, None))
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self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
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