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();
}
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)}");
}
