QuantConnect.Algorithm.Framework.Selection.EmaCrossUniverseSelectionModel Class Reference

Provides an implementation of FundamentalUniverseSelectionModel that subscribes to symbols with the larger delta by percentage between the two exponential moving average More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Selection.EmaCrossUniverseSelectionModel:

Public Member Functions
	EmaCrossUniverseSelectionModel (int fastPeriod=100, int slowPeriod=300, int universeCount=500, UniverseSettings universeSettings=null)
	Initializes a new instance of the EmaCrossUniverseSelectionModel class More...
override IEnumerable< Symbol >	SelectCoarse (QCAlgorithm algorithm, IEnumerable< CoarseFundamental > coarse)
	Defines the coarse fundamental selection function. More...
Public Member Functions inherited from QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel
	FundamentalUniverseSelectionModel ()
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...
	FundamentalUniverseSelectionModel (string market, UniverseSettings universeSettings)
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...
	FundamentalUniverseSelectionModel (UniverseSettings universeSettings)
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...
	FundamentalUniverseSelectionModel (string market, Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> selector, UniverseSettings universeSettings=null)
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...
	FundamentalUniverseSelectionModel (Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> selector, UniverseSettings universeSettings=null)
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...
	FundamentalUniverseSelectionModel (string market, PyObject selector, UniverseSettings universeSettings=null)
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...
	FundamentalUniverseSelectionModel (PyObject selector, UniverseSettings universeSettings=null)
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...
override IEnumerable< Universe >	CreateUniverses (QCAlgorithm algorithm)
	Creates a new fundamental universe using this class's selection functions More...
virtual Universe	CreateCoarseFundamentalUniverse (QCAlgorithm algorithm)
	Creates the coarse fundamental universe object. This is provided to allow more flexibility when creating coarse universe. More...
virtual IEnumerable< Symbol >	Select (QCAlgorithm algorithm, IEnumerable< Fundamental > fundamental)
	Defines the fundamental selection function. More...
virtual IEnumerable< Symbol >	SelectFine (QCAlgorithm algorithm, IEnumerable< FineFundamental > fine)
	Defines the fine fundamental selection function. More...
Public Member Functions inherited from QuantConnect.Algorithm.Framework.Selection.UniverseSelectionModel
virtual DateTime	GetNextRefreshTimeUtc ()
	Gets the next time the framework should invoke the CreateUniverses method to refresh the set of universes. More...

Additional Inherited Members
Static Public Member Functions inherited from QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel
static IUniverseSelectionModel	Coarse (Func< IEnumerable< CoarseFundamental >, IEnumerable< Symbol >> coarseSelector)
	Convenience method for creating a selection model that uses only coarse data More...
static IUniverseSelectionModel	Fine (Func< IEnumerable< CoarseFundamental >, IEnumerable< Symbol >> coarseSelector, Func< IEnumerable< FineFundamental >, IEnumerable< Symbol >> fineSelector)
	Convenience method for creating a selection model that uses coarse and fine data More...
static IUniverseSelectionModel	Fundamental (Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> selector)
	Convenience method for creating a selection model that uses fundamental data More...
Protected Member Functions inherited from QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel
	FundamentalUniverseSelectionModel (bool filterFineData)
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...
	FundamentalUniverseSelectionModel (bool filterFineData, UniverseSettings universeSettings)
	Initializes a new instance of the FundamentalUniverseSelectionModel class More...

Detailed Description

Provides an implementation of FundamentalUniverseSelectionModel that subscribes to symbols with the larger delta by percentage between the two exponential moving average

Definition at line 30 of file EmaCrossUniverseSelectionModel.cs.

Constructor & Destructor Documentation

EmaCrossUniverseSelectionModel()

QuantConnect.Algorithm.Framework.Selection.EmaCrossUniverseSelectionModel.EmaCrossUniverseSelectionModel	(	int	fastPeriod = 100,
		int	slowPeriod = 300,
		int	universeCount = 500,
		UniverseSettings	universeSettings = null
	)

Initializes a new instance of the EmaCrossUniverseSelectionModel class

Parameters

fastPeriod	Fast EMA period
slowPeriod	Slow EMA period
universeCount	Maximum number of members of this universe selection
universeSettings	The settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings

Definition at line 47 of file EmaCrossUniverseSelectionModel.cs.

Member Function Documentation

SelectCoarse()

override IEnumerable<Symbol> QuantConnect.Algorithm.Framework.Selection.EmaCrossUniverseSelectionModel.SelectCoarse ( QCAlgorithm  algorithm, IEnumerable< CoarseFundamental >  coarse  )

virtual

Defines the coarse fundamental selection function.

Parameters

algorithm	The algorithm instance
coarse	The coarse fundamental data used to perform filtering

Returns

An enumerable of symbols passing the filter

Reimplemented from QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.

Definition at line 66 of file EmaCrossUniverseSelectionModel.cs.

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The documentation for this class was generated from the following file:

• Algorithm.Framework/Selection/EmaCrossUniverseSelectionModel.cs