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
# set algorithm framework models
self.SetUniverseSelection(
ManualUniverseSelectionModel(
[Symbol.Create("SPY", SecurityType.Equity, Market.USA)]))
self.SetAlpha(
ConstantAlphaModel(InsightType.Price, InsightDirection.Up,
timedelta(minutes=20), 0.025, None))
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
# define risk management model as a composite of several risk management models
self.SetRiskManagement(
CompositeRiskManagementModel(
MaximumUnrealizedProfitPercentPerSecurity(0.01),
MaximumDrawdownPercentPerSecurity(0.01)))
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) #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(2019, 3, 27) # Set Start Date
self.SetEndDate(2019, 3, 28) # Set End Date
self.SetCash(5000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)
self.slowPeriod = 1050
self.longPeriod = 10080
self.resolution = Resolution.Minute
self.SetWarmup(timedelta(7))
self.AddAlpha(
EmaReversionAlphaModel(self.resolution, self.slowPeriod,
self.longPeriod, 0.02, -0.02))
self.SetExecution(VolumeWeightedAveragePriceExecutionModel())
#self.SetPortfolioConstruction(MyPortfolioConstructionModel())
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
self.symbols = [
Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Bitfinex)
]
self.SetUniverseSelection(ManualUniverseSelectionModel(self.symbols))
self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin)
#self.SetBenchmark("SPY")
stockPlot = Chart('Trade Plot')
stockPlot.AddSeries(Series('Equity', SeriesType.Line, 0))
stockPlot.AddSeries(Series('Benchmark', SeriesType.Line, 0))
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):
# 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(2018, 10, 10) # Set Start Date
self.SetEndDate(2020, 10, 10) # Set End Date
self.SetCash(100000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)
self.AddAlpha(
MacdAlphaModel(12, 26, 9, MovingAverageType.Simple,
Resolution.Daily))
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(
EqualWeightingPortfolioConstructionModel())
self.SetRiskManagement(MaximumUnrealizedProfitPercentPerSecurity(0.03))
#Add Counters here
symbols = [
Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
Symbol.Create("AZN", SecurityType.Equity, Market.USA),
Symbol.Create("BABA", SecurityType.Equity, Market.USA),
Symbol.Create("BLK", SecurityType.Equity, Market.USA),
Symbol.Create("CHGG", SecurityType.Equity, Market.USA),
Symbol.Create("EBAY", SecurityType.Equity, Market.USA),
Symbol.Create("GOOG", SecurityType.Equity, Market.USA),
Symbol.Create("GSK", SecurityType.Equity, Market.USA),
Symbol.Create("HD", SecurityType.Equity, Market.USA),
Symbol.Create("JPM", SecurityType.Equity, Market.USA),
Symbol.Create("LLY", SecurityType.Equity, Market.USA),
Symbol.Create("MCD", SecurityType.Equity, Market.USA),
Symbol.Create("MSFT", SecurityType.Equity, Market.USA),
Symbol.Create("NFLX", SecurityType.Equity, Market.USA),
Symbol.Create("SGOL", SecurityType.Equity, Market.USA),
Symbol.Create("SBUX", SecurityType.Equity, Market.USA),
Symbol.Create("SPOT", SecurityType.Equity, Market.USA),
Symbol.Create("V", SecurityType.Equity, Market.USA),
Symbol.Create("WMT", SecurityType.Equity, Market.USA),
Symbol.Create("UNH", SecurityType.Equity, Market.USA),
Symbol.Create("VZ", SecurityType.Equity, Market.USA),
Symbol.Create("CMCSA", SecurityType.Equity, Market.USA),
Symbol.Create("JNJ", SecurityType.Equity, Market.USA),
Symbol.Create("MDT", SecurityType.Equity, Market.USA),
Symbol.Create("DUK", SecurityType.Equity, Market.USA)
]
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
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(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):
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):
''' 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())
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())
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))