Lean/Algorithm.Python/ConstituentsQC500GeneratorAlgorithm.py at master · renfa/Lean

44 lines (38 loc) · 1.94 KB

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# Licensed under the Apache License, Version 2.0 (the "License");

# you may not use this file except in compliance with the License.

# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

# Unless required by applicable law or agreed to in writing, software

# distributed under the License is distributed on an "AS IS" BASIS,

# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.

# See the License for the specific language governing permissions and

# limitations under the License.

from clr import AddReference

AddReference("System.Core")

AddReference("QuantConnect.Common")

AddReference("QuantConnect.Algorithm")

from System import *

from QuantConnect import *

from QuantConnect.Algorithm import QCAlgorithm

from QuantConnect.Data.UniverseSelection import *

### <summary>

### Demonstration of how to estimate constituents of QC500 index based on the company fundamentals

### The algorithm creates a default tradable and liquid universe containing 500 US equities

### which are chosen at the first trading day of each month.

### </summary>

### <meta name="tag" content="using data" />

### <meta name="tag" content="universes" />

### <meta name="tag" content="coarse universes" />

### <meta name="tag" content="fine universes" />

class ConstituentsQC500GeneratorAlgorithm(QCAlgorithm):

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.'''

self.UniverseSettings.Resolution = Resolution.Daily

self.SetStartDate(2018, 1, 1) # Set Start Date

self.SetEndDate(2019, 1, 1) # Set End Date

self.SetCash(100000) # Set Strategy Cash

# Add QC500 Universe

self.AddUniverse(self.Universe.Index.QC500)

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