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();
}
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
var bac = AddEquity("BAC");
var aig = AddEquity("AIG");
UniverseSelection = new ManualUniverseSelectionModel(Securities.Keys);
Alpha = new PairsTradingAlphaModel(bac.Symbol, aig.Symbol);
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
Execution = new ImmediateExecutionModel();
RiskManagement = new NullRiskManagementModel();
}
public void ExcludesCanonicalSymbols()
{
var symbols = new[]
{
Symbols.SPY,
Symbol.CreateOption(Symbols.SPY, Market.USA, default(OptionStyle), default(OptionRight), 0m, SecurityIdentifier.DefaultDate, "?SPY")
};
var model = new ManualUniverseSelectionModel(symbols);
var universe = model.CreateUniverses(new QCAlgorithmFramework()).Single();
var selectedSymbols = universe.SelectSymbols(default(DateTime), null).ToList();
Assert.AreEqual(1, selectedSymbols.Count);
Assert.AreEqual(Symbols.SPY, selectedSymbols[0]);
Assert.IsFalse(selectedSymbols.Any(s => s.IsCanonical()));
}
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Minute;
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SetCash(1000000);
UniverseSelection = new ManualUniverseSelectionModel(
QuantConnect.Symbol.Create("AIG", SecurityType.Equity, Market.USA),
QuantConnect.Symbol.Create("BAC", SecurityType.Equity, Market.USA),
QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA),
QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)
);
// using hourly rsi to generate more insights
Alpha = new RsiAlphaModel(14, Resolution.Hour);
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
Execution = new StandardDeviationExecutionModel();
}
/// <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.
// set algorithm framework models
UniverseSelection = new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA));
Alpha = new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null);
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
Execution = new ImmediateExecutionModel();
RiskManagement = new MaximumDrawdownPercentPerSecurity(0.01m);
}
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Minute;
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SetCash(1000000);
UniverseSelection = new ManualUniverseSelectionModel(
QuantConnect.Symbol.Create("AIG", SecurityType.Equity, Market.USA),
QuantConnect.Symbol.Create("BAC", SecurityType.Equity, Market.USA),
QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA),
QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)
);
// using hourly rsi to generate more insights
Alpha = new RsiAlphaModel(14, Resolution.Hour);
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
Execution = new VolumeWeightedAveragePriceExecutionModel();
InsightsGenerated += (algorithm, data) => Log($"{Time}: {string.Join(" | ", data.Insights)}");
}
/// <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(2016, 10, 7); //Set Start Date
SetEndDate(2016, 10, 7); //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.
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
// set algorithm framework models
UniverseSelection = new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX));
Alpha = new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null);
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
Execution = new ImmediateExecutionModel();
RiskManagement = new Algorithm.Framework.Risk.NullRiskManagementModel();
}
