public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
// even though we're using a framework algorithm, we can still add our securities
// using the AddEquity/Forex/Crypto/ect methods and then pass them into a manual
// universe selection model using Securities.Keys
AddEquity("SPY");
AddEquity("IBM");
AddEquity("BAC");
AddEquity("AIG");
// define a manual universe of all the securities we manually registered
UniverseSelection = new ManualUniverseSelectionModel(Securities.Keys);
// define alpha model as a composite of the rsi and ema cross models
Alpha = new CompositeAlphaModel(
new RsiAlphaModel(),
new EmaCrossAlphaModel()
);
// default models for the rest
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
Execution = new ImmediateExecutionModel();
RiskManagement = new NullRiskManagementModel();
}
/// <summary>
/// Adds a new alpha model
/// </summary>
/// <param name="alpha">Model that generates alpha to add</param>
public void AddAlpha(IAlphaModel alpha)
{
if (Alpha.GetType() != typeof(NullAlphaModel))
{
var compositeAlphaModel = Alpha as CompositeAlphaModel;
if (compositeAlphaModel != null)
{
compositeAlphaModel.AddAlpha(alpha);
}
else
{
Alpha = new CompositeAlphaModel(Alpha, alpha);
}
}
else
{
Alpha = alpha;
}
}
