def Initialize(self):
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Minute
self.SetStartDate(2013, 10, 7) #Set Start Date
self.SetEndDate(2013, 10, 11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.symbols = [
Symbol.Create(x, SecurityType.Equity, Market.USA)
for x in ['AIG', 'BAC', 'IBM', 'SPY']
]
optimizer = UnconstrainedMeanVariancePortfolioOptimizer()
# set algorithm framework models
self.SetUniverseSelection(
CoarseFundamentalUniverseSelectionModel(self.coarseSelector))
self.SetAlpha(HistoricalReturnsAlphaModel(resolution=Resolution.Daily))
self.SetPortfolioConstruction(
BlackLittermanOptimizationPortfolioConstructionModel(
optimizer=optimizer))
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
def Initialize(self):
## Set requested data resolution and variables to help with Universe Selection control
self.UniverseSettings.Resolution = Resolution.Daily
self.month = -1
## Declare single variable to be passed in multiple places -- prevents issue with conflicting start dates declared in different places
self.SetStartDate(2018, 1, 1)
self.SetCash(100000)
## SPDR Small Cap ETF is a better benchmark than the default SP500
self.SetBenchmark('IJR')
## Set Universe Selection Model
self.SetUniverseSelection(
FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction,
self.FineSelectionFunction))
self.SetSecurityInitializer(
lambda security: security.SetFeeModel(ConstantFeeModel(0)))
## Set CCA Alpha Model
self.SetAlpha(ContingentClaimsAnalysisAlphaModel())
## Set Portfolio Construction Model
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
## Set Execution Model
self.SetExecution(ImmediateExecutionModel())
## Set Risk Management Model
self.SetRiskManagement(NullRiskManagementModel())
def Initialize(self):
self.SetStartDate(2013,10,7)
self.SetEndDate(2013,10,11)
bac = self.AddEquity("BAC")
aig = self.AddEquity("AIG")
self.SetUniverseSelection(ManualUniverseSelectionModel(self.Securities.Keys))
self.SetAlpha(PairsTradingAlphaModel(bac.Symbol, aig.Symbol))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
def Initialize(self):
self.UniverseSettings.Resolution = Resolution.Minute
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 11)
self.SetCash(100000)
# set framework models
self.SetUniverseSelection(FrontMonthFutureUniverseSelectionModel(self.SelectFutureChainSymbols))
self.SetAlpha(ConstantFutureContractAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1)))
self.SetPortfolioConstruction(SingleSharePortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
def Initialize(self):
self.UniverseSettings.Resolution = Resolution.Minute
self.SetStartDate(2014, 6, 5)
self.SetEndDate(2014, 6, 6)
self.SetCash(100000)
# set framework models
self.SetUniverseSelection(EarliestExpiringWeeklyAtTheMoneyPutOptionUniverseSelectionModel(self.SelectOptionChainSymbols))
self.SetAlpha(ConstantOptionContractAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(hours = 0.5)))
self.SetPortfolioConstruction(SingleSharePortfolioConstructionModel())
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)))
self.SetAlpha(
PearsonCorrelationPairsTradingAlphaModel(252, Resolution.Daily))
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
def Initialize(self):
self.SetStartDate(2015, 7, 12)
self.SetEndDate(2018, 7, 27)
self.SetCash(100000)
symbols = [
Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
Symbol.Create("EURGBP", SecurityType.Forex, Market.Oanda),
Symbol.Create("EURAUD", SecurityType.Forex, Market.Oanda),
Symbol.Create("EURCHF", SecurityType.Forex, Market.Oanda),
Symbol.Create("EURJPY", SecurityType.Forex, Market.Oanda),
Symbol.Create("EURCHF", SecurityType.Forex, Market.Oanda),
Symbol.Create("USDJPY", SecurityType.Forex, Market.Oanda),
Symbol.Create("USDCHF", SecurityType.Forex, Market.Oanda),
Symbol.Create("USDCAD", SecurityType.Forex, Market.Oanda),
Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda),
Symbol.Create("AUDJPY", SecurityType.Forex, Market.Oanda),
Symbol.Create("GBPJPY", SecurityType.Forex, Market.Oanda),
Symbol.Create("GBPUSD", SecurityType.Forex, Market.Oanda),
Symbol.Create("NZDUSD", SecurityType.Forex, Market.Oanda)
]
# Initializes the class that provides DailyFx News
self.AddData(DailyFx, "DFX", Resolution.Minute, TimeZones.Utc)
# Set Our Universe
self.UniverseSettings.Resolution = Resolution.Minute
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
# Set to use our FxCalendar Alpha Model
self.SetAlpha(FxCalendarTrigger())
# Equally weigh securities in portfolio, based on insights
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
# Set Immediate Execution Model
self.SetExecution(ImmediateExecutionModel())
# Set Null Risk Management Model
self.SetRiskManagement(NullRiskManagementModel())
def Initialize(self):
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Minute
# Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
# Commented so regression algorithm is more sensitive
#self.Settings.MinimumOrderMarginPortfolioPercentage = 0.005
self.SetStartDate(2013,10,7) #Set Start Date
self.SetEndDate(2013,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.symbols = [ Symbol.Create(x, SecurityType.Equity, Market.USA) for x in [ 'AIG', 'BAC', 'IBM', 'SPY' ] ]
optimizer = UnconstrainedMeanVariancePortfolioOptimizer()
# set algorithm framework models
self.SetUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.coarseSelector))
self.SetAlpha(HistoricalReturnsAlphaModel(resolution = Resolution.Daily))
self.SetPortfolioConstruction(BlackLittermanOptimizationPortfolioConstructionModel(optimizer = optimizer))
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
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(self.Securities.Keys))
# 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())
