# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.

#

# 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 AlgorithmImports import *

### <summary>

### Abstract regression framework algorithm for multiple framework regression tests

### </summary>

class BaseFrameworkRegressionAlgorithm(QCAlgorithm):

def Initialize(self):

self.SetStartDate(2014, 6, 1)

self.SetEndDate(2014, 6, 30)

self.UniverseSettings.Resolution = Resolution.Hour;

self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;

symbols = [Symbol.Create(ticker, SecurityType.Equity, Market.USA)

for ticker in ["AAPL", "AIG", "BAC", "SPY"]]

# Manually add AAPL and AIG when the algorithm starts

self.SetUniverseSelection(ManualUniverseSelectionModel(symbols[:2]))

# At midnight, add all securities every day except on the last data

# With this procedure, the Alpha Model will experience multiple universe changes

self.AddUniverseSelection(ScheduledUniverseSelectionModel(

self.DateRules.EveryDay(), self.TimeRules.Midnight,

lambda dt: symbols if dt.replace(tzinfo=None) < self.EndDate - timedelta(1) else []))

self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(31), 0.025, None))

self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

self.SetExecution(ImmediateExecutionModel())

self.SetRiskManagement(NullRiskManagementModel())

def OnEndOfAlgorithm(self):

# The base implementation checks for active insights

insightsCount = len(self.Insights.GetInsights(lambda insight: insight.IsActive(self.UtcTime)))

if insightsCount != 0:

raise Exception(f"The number of active insights should be 0. Actual: {insightsCount}")