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) #Set Start Date
self.SetEndDate(2013, 10, 11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
# Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
# Futures Resolution: Tick, Second, Minute
# Options Resolution: Minute Only.
symbols = [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
# set algorithm framework models
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
self.SetAlpha(
ConstantAlphaModel(InsightType.Price, InsightDirection.Up,
timedelta(minutes=20), 0.025, None))
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.01))
self.Debug("numpy test >>> print numpy.pi: " + str(np.pi))
def Initialize(self):
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Daily
self.SetStartDate(2014, 3, 25)
self.SetEndDate(2014, 4, 7)
self.SetCash(100000)
# set algorithm framework models
self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.SelectCoarse, self.SelectFine))
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1)))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetRiskManagement(MaximumSectorExposureRiskManagementModel())
def Initialize(self):
self.SetStartDate(2013, 1, 1)
self.SetEndDate(2015, 1, 1)
self.SetCash(100000)
fastPeriod = 100
slowPeriod = 300
count = 10
self.UniverseSettings.Leverage = 2.0
self.UniverseSettings.Resolution = Resolution.Daily
self.SetUniverseSelection(
EmaCrossUniverseSelectionModel(fastPeriod, slowPeriod, count))
self.SetAlpha(
ConstantAlphaModel(InsightType.Price, InsightDirection.Up,
timedelta(1), None, None))
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())