/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
// Set requested data resolution
UniverseSettings.Resolution = Resolution.Minute;
// Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
// Commented so regression algorithm is more sensitive
//Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
var optimizer = new UnconstrainedMeanVariancePortfolioOptimizer();
// set algorithm framework models
SetUniverseSelection(new CoarseFundamentalUniverseSelectionModel(CoarseSelector));
SetAlpha(new HistoricalReturnsAlphaModel(resolution: Resolution.Daily));
SetPortfolioConstruction(new BlackLittermanOptimizationPortfolioConstructionModel(optimizer: optimizer));
SetExecution(new ImmediateExecutionModel());
SetRiskManagement(new NullRiskManagementModel());
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
// Set requested data resolution
UniverseSettings.Resolution = Resolution.Minute;
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
var optimizer = new UnconstrainedMeanVariancePortfolioOptimizer();
// set algorithm framework models
SetUniverseSelection(new CoarseFundamentalUniverseSelectionModel(CoarseSelector));
SetAlpha(new HistoricalReturnsAlphaModel(resolution: Resolution.Daily));
SetPortfolioConstruction(new BlackLittermanOptimizationPortfolioConstructionModel(optimizer: optimizer));
SetExecution(new ImmediateExecutionModel());
SetRiskManagement(new NullRiskManagementModel());
}
