Share New Research 
from QuantConnect import *
from QuantConnect.Indicators import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Alphas import *
from Alphas.RsiAlphaModel import RsiAlphaModel
from Portfolio.MeanVarianceOptimizationPortfolioConstructionModel import MeanVarianceOptimizationPortfolioConstructionModel
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Risk.MaximumSectorExposureRiskManagementModel import MaximumSectorExposureRiskManagementModel
from clr import AddReference
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")
AddReference("QuantConnect.Indicators")
import datetime
from alpha import *
from collections import deque
class BasicTemplateFrameworkAlgorithm(QCAlgorithmFramework):
def Initialize(self):
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Daily
self.SetStartDate(2014, 7, 18) #Set Start Date
self.SetEndDate(2019, 1, 18) #Set End Date
self.SetCash(100000) #Set Strategy Cash
#self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None)) #QC500UniverseSelectionModel
self.SetUniverseSelection(QC500UniverseSelectionModel())
#self.SetAlpha(MyAplhaTest(14, Resolution.Daily))
self.SetAlpha(RsiAlphaModel(15, Resolution.Daily))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel()) #MeanVarianceOptimizationPortfolioConstructionModel, EqualWeightingPortfolioConstructionModel
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(MaximumSectorExposureRiskManagementModel())
# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
#self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))
passHi,
trying to run a framework algorithm. The default setup works till certain point (selection, trading, etc), then I get an error (Sequence contains no elements).
Jack Simonson
Hi Artur,
This is a known issue and our engineering team is working on a solution. We've opened an issue in GitHub that you can view here and track the progress. Hopefully, we'll have a solution soon.
Artur Sokolovsky
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