def Initialize(self):
self.SetStartDate(2013, 10, 7) #Set Start Date
self.SetEndDate(2013, 10, 11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# 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
self.AddEquity("SPY")
self.AddEquity("IBM")
self.AddEquity("BAC")
self.AddEquity("AIG")
# define a manual universe of all the securities we manually registered
self.SetUniverseSelection(ManualUniverseSelectionModel())
# define alpha model as a composite of the rsi and ema cross models
self.SetAlpha(
CompositeAlphaModel(RsiAlphaModel(), EmaCrossAlphaModel()))
# default models for the rest
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
def Initialize(self):
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 11)
self.SetUniverseSelection(
ManualUniverseSelectionModel([
Symbol.Create('AIG', SecurityType.Equity, Market.USA),
Symbol.Create('BAC', SecurityType.Equity, Market.USA),
Symbol.Create('IBM', SecurityType.Equity, Market.USA),
Symbol.Create('SPY', SecurityType.Equity, Market.USA)
]))
# using hourly rsi to generate more insights
self.SetAlpha(RsiAlphaModel(14, Resolution.Hour))
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
self.SetExecution(SpreadExecutionModel())
self.InsightsGenerated += self.OnInsightsGenerated
def Initialize(self):
''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Minute
self.SetStartDate(2013,10,7)
self.SetEndDate(2013,10,11)
self.SetCash(1000000)
self.SetUniverseSelection(ManualUniverseSelectionModel([
Symbol.Create('AIG', SecurityType.Equity, Market.USA),
Symbol.Create('BAC', SecurityType.Equity, Market.USA),
Symbol.Create('IBM', SecurityType.Equity, Market.USA),
Symbol.Create('SPY', SecurityType.Equity, Market.USA)
]))
self.SetAlpha(RsiAlphaModel(14, Resolution.Hour))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(StandardDeviationExecutionModel())