Lean  $LEAN_TAG$
QuantConnect.Algorithm.Framework.Alphas Namespace Reference

Classes

class  AlphaModel
 Provides a base class for alpha models. More...
 
class  AlphaModelExtensions
 Provides extension methods for alpha models More...
 
class  AlphaModelPythonWrapper
 Provides an implementation of IAlphaModel that wraps a PyObject object More...
 
class  BasePairsTradingAlphaModel
 This alpha model is designed to accept every possible pair combination from securities selected by the universe selection model This model generates alternating long ratio/short ratio insights emitted as a group More...
 
class  CompositeAlphaModel
 Provides an implementation of IAlphaModel that combines multiple alpha models into a single alpha model and properly sets each insights 'SourceModel' property. More...
 
class  ConstantAlphaModel
 Provides an implementation of IAlphaModel that always returns the same insight for each security More...
 
class  EmaCrossAlphaModel
 Alpha model that uses an EMA cross to create insights More...
 
class  GeneratedInsightsCollection
 Defines a collection of insights that were generated at the same time step More...
 
class  HistoricalReturnsAlphaModel
 Alpha model that uses historical returns to create insights More...
 
interface  IAlphaModel
 Algorithm framework model that produces insights More...
 
interface  IInsightScoreFunction
 Abstraction in charge of scoring insights More...
 
interface  INamedModel
 Provides a marker interface allowing models to define their own names. If not specified, the framework will use the model's type name. Implementation of this is not required unless you plan on running multiple models of the same type w/ different parameters. More...
 
class  Insight
 Defines a alpha prediction for a single symbol generated by the algorithm More...
 
class  InsightCollection
 Provides a collection for managing insights. This type provides collection access semantics as well as dictionary access semantics through TryGetValue, ContainsKey, and this[symbol] More...
 
class  InsightScore
 Defines the scores given to a particular insight More...
 
class  InsightScoreFunctionPythonWrapper
 A python implementation insight evaluator wrapper More...
 
class  MacdAlphaModel
 Defines a custom alpha model that uses MACD crossovers. The MACD signal line is used to generate up/down insights if it's stronger than the bounce threshold. If the MACD signal is within the bounce threshold then a flat price insight is returned. More...
 
class  NullAlphaModel
 Provides a null implementation of an alpha model More...
 
class  PearsonCorrelationPairsTradingAlphaModel
 This alpha model is designed to rank every pair combination by its pearson correlation and trade the pair with the hightest correlation This model generates alternating long ratio/short ratio insights emitted as a group More...
 
class  RsiAlphaModel
 Uses Wilder's RSI to create insights. Using default settings, a cross over below 30 or above 70 will trigger a new insight. More...
 

Enumerations

enum  InsightDirection { InsightDirection.Down = -1, InsightDirection.Flat = 0, InsightDirection.Up = 1 }
 Specifies the predicted direction for a insight (price/volatility) More...
 
enum  InsightScoreType { InsightScoreType.Direction, InsightScoreType.Magnitude }
 Defines a specific type of score for a insight More...
 
enum  InsightType { InsightType.Price, InsightType.Volatility }
 Specifies the type of insight More...
 

Enumeration Type Documentation

◆ InsightDirection

Specifies the predicted direction for a insight (price/volatility)

Enumerator
Down 

The value will go down (-1)

Flat 

The value will stay flat (0)

Up 

The value will go up (1)

Definition at line 25 of file InsightDirection.cs.

◆ InsightScoreType

Defines a specific type of score for a insight

Enumerator
Direction 

Directional accuracy (0)

Magnitude 

Magnitude accuracy (1)

Definition at line 26 of file InsightScoreType.cs.

◆ InsightType

Specifies the type of insight

Enumerator
Price 

The insight is for a security's price (0)

Volatility 

The insight is for a security's price volatility (1)

Definition at line 25 of file InsightType.cs.