public MortgageRateVolatilityAlphaModel(
QCAlgorithmFramework algorithm,
int indicatorPeriod = 15,
double insightMagnitude = 0.0005,
int deviations = 2,
Resolution resolution = Resolution.Daily
)
{
// Add Quandl data for a Well's Fargo 30-year Fixed Rate mortgage
_mortgageRate = algorithm.AddData <QuandlMortgagePriceColumns>("WFC/PR_GOV_30YFIXEDVA_APR").Symbol;
_indicatorPeriod = indicatorPeriod;
_resolution = resolution;
_insightDuration = resolution.ToTimeSpan().Multiply(indicatorPeriod);
_insightMagnitude = insightMagnitude;
_deviations = deviations;
// Add indicators for the mortgage rate -- Standard Deviation and Simple Moving Average
_mortgageRateStd = algorithm.STD(_mortgageRate, _indicatorPeriod, resolution);
_mortgageRateSma = algorithm.SMA(_mortgageRate, _indicatorPeriod, resolution);
// Use a history call to warm-up the indicators
WarmUpIndicators(algorithm);
}
