Adds EWPCM Usage Examples in BasicTemplateFrameworkAlgorithm

Coulbe · Oct 24, 2019 · 7258891 · 7258891
1 parent f02b399
commit 7258891
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Showing 2 changed files with 18 additions and 2 deletions.
diff --git a/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs
@@ -53,7 +53,15 @@ public override void Initialize()
             // set algorithm framework models
             SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
             SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
-            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+
+            // We can define who often the EWPCM will rebalance if no new insight is submitted using:
+            // Resolution Enum:
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(Resolution.Daily));
+            // TimeSpan
+            // SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(TimeSpan.FromDays(2)));
+            // A Func<DateTime, DateTime>. In this case, we can use the pre-defined func at Expiry helper class
+            // SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(Expiry.EndOfWeek));
+
             SetExecution(new ImmediateExecutionModel());
             SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.01m));
         }

diff --git a/Algorithm.Python/BasicTemplateFrameworkAlgorithm.py b/Algorithm.Python/BasicTemplateFrameworkAlgorithm.py
@@ -58,7 +58,15 @@ def Initialize(self):
         # set algorithm framework models
         self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
         self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
-        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
+
+        # We can define who often the EWPCM will rebalance if no new insight is submitted using:
+        # Resolution Enum:
+        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(Resolution.Daily))
+        # timedelta
+        # self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(timedelta(2)))
+        # A lamdda datetime -> datetime. In this case, we can use the pre-defined func at Expiry helper class
+        # self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(Expiry.EndOfWeek))
+
         self.SetExecution(ImmediateExecutionModel())
         self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.01))