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
PortfolioSelection = new CustomFundamentalPortfolioSelectionModel();
Alpha = new MacdAlphaModel(TimeSpan.FromMinutes(10), TimeSpan.FromMinutes(30), 0.01m);
PortfolioConstruction = new SimplePortfolioConstructionModel();
}
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
UniverseSelection = new CustomFundamentalUniverseSelectionModel();
Alpha = new MacdAlphaModel(
fastPeriod: 10,
slowPeriod: 30,
signalPeriod: 12,
movingAverageType: MovingAverageType.Simple
);
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
}