Lean
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Alpha model that uses historical returns to create insights More...
Public Member Functions | |
HistoricalReturnsAlphaModel (int lookback=1, Resolution resolution=Resolution.Daily) | |
Initializes a new instance of the HistoricalReturnsAlphaModel class More... | |
override IEnumerable< Insight > | Update (QCAlgorithm algorithm, Slice data) |
Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities More... | |
override void | OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes) |
Event fired each time the we add/remove securities from the data feed More... | |
Public Member Functions inherited from QuantConnect.Algorithm.Framework.Alphas.AlphaModel | |
AlphaModel () | |
Initialize new AlphaModel More... | |
Additional Inherited Members | |
Properties inherited from QuantConnect.Algorithm.Framework.Alphas.AlphaModel | |
virtual string | Name [get, set] |
Defines a name for a framework model More... | |
Properties inherited from QuantConnect.Algorithm.Framework.Alphas.INamedModel | |
string | Name [get] |
Defines a name for a framework model More... | |
Alpha model that uses historical returns to create insights
Definition at line 29 of file HistoricalReturnsAlphaModel.cs.
QuantConnect.Algorithm.Framework.Alphas.HistoricalReturnsAlphaModel.HistoricalReturnsAlphaModel | ( | int | lookback = 1 , |
Resolution | resolution = Resolution.Daily |
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Initializes a new instance of the HistoricalReturnsAlphaModel class
lookback | Historical return lookback period |
resolution | The resolution of historical data |
Definition at line 42 of file HistoricalReturnsAlphaModel.cs.
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virtual |
Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities
algorithm | The algorithm instance |
data | The new data available |
Reimplemented from QuantConnect.Algorithm.Framework.Alphas.AlphaModel.
Definition at line 62 of file HistoricalReturnsAlphaModel.cs.
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virtual |
Event fired each time the we add/remove securities from the data feed
algorithm | The algorithm instance that experienced the change in securities |
changes | The security additions and removals from the algorithm |
Reimplemented from QuantConnect.Algorithm.Framework.Alphas.AlphaModel.
Definition at line 92 of file HistoricalReturnsAlphaModel.cs.