Alpha Framework Help by Flame

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Hi Team

I have been playing with the QC Framework and would like some help. I am currently trying to make an alpha model that does various comparisons of current price to 52 week highs and lows. I'm sure it is farily simple to do, but can anyone give me some more guidance. I have been reading the docs and github projects to get a better understanding of how the framework works.

Many thanks

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Daniel Chen

STAFF Pro ,

Hi Flame,

Thank you for your question, and your idea is really good. To implement various comparisons of current price to 52-week highs and lows, I build a SymbolData class for this as follows.

class SymbolData:

    def __init__(self, algorithm, symbol, lookback):

        self.symbol = symbol

        self.Max = Maximum(lookback)

        self.Min = Minimum(lookback)

        ### or 

        # self.Max = algorithm.MAX(symbol, lookback, Resolution.Daily)

        # self.Min = algorithm.MIN(symbol, lookback, Resolution.Daily)

        self.window = RollingWindow[TradeBar](lookback)

        algorithm.Consolidate(symbol, CalendarType.Weekly, self.CalendarTradeBarHandle)

    

    def CalendarTradeBarHandle(self, bar):

        self.Max.Update(bar.EndTime, bar.Close)

        self.Min.Update(bar.EndTime, bar.Close)

        self.window.Add(bar)

First, I use MAX and MIN indicators to get the daily highs and lows. Then, I use Conlidator to get weekly highs and lows from daily data. As you can see, the indicators get updated through RollingWindow. After building this SymbolData Class, all we need to do is to fill the Update and OnSecuritiesChanged methods in the Alpha Model class. Since there is no specific trading logic in your description, for now, I can only write a basic structure for you in the following backtest. You can improve the algorithm based on your trading logic. For more information on Alpha Model, please see examples in this page.

Flame

3.6k Pro ,

Thanks Daniel - appreciate the insight

Flame

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