- Generated by
1.8.17
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Lean
$LEAN_TAG$
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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... | |
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.
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.
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.
1.8.17