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(); }