from Alphas.MacdAlphaModel import MacdAlphaModel
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Risk.MaximumDrawdownPercentPerSecurity import MaximumDrawdownPercentPerSecurity
from Selection.UncorrelatedUniverseSelectionModel import UncorrelatedUniverseSelectionModel

class OptimizedTachyonShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 8, 14)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        self.AddAlpha(MacdAlphaModel(12, 26, 9, MovingAverageType.Simple, Resolution.Daily))

        self.SetExecution(ImmediateExecutionModel())

        #self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.SetPortfolioConstruction(MyPortfolioConstructionModel())

        self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.1))

        self.SetUniverseSelection(UncorrelatedUniverseSelectionModel())


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)
        
# Portfolio construction scaffolding class; basic method args.
class MyPortfolioConstructionModel(PortfolioConstructionModel):

      # Create list of PortfolioTarget objects from Insights
      def CreateTargets(self, algorithm, insights):
          
            targets = []
            for x in insights:
                # Return an array of targets
                targets.append(PortfolioTarget(x.Symbol, 100))

            return targets