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I wasn't sure if I should make a new thread about this but I've tried everything that I can think of and still can't get the composite alpha model to work at all in python. Has anyone had any luck getting multiple alphas to work together? According to Alexandre it should work even though there is no CompositeAlphaModel.Py in the Github yet.
I've attached a backtest using one of the framework example algorithms posted by Jared with the alpha copied to show how I get the error. I've commented out line 46 on main.py that produces the following error so I could attach the backtest.
self.SetAlpha( CompositeAlphaModel([HistoricalReturnsAlphaModel(resolution = Resolution.Daily), HistoricalReturnsAlphaModel_copy(resolution = Resolution.Daily)]) )During the algorithm initialization, the following exception has occurred: NotImplementedException : IAlphaModel.Update must be implemented. Please implement this missing method on <class 'list'>
at QuantConnect.Algorithm.Framework.Alphas.AlphaModelPythonWrapper..ctor (Python.Runtime.PyObject model) [0x00052] in <11d86b1e19c04e2d8733c42b16bf26de>:0
at QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel..ctor (Python.Runtime.PyObject[] alphaModels) [0x0004d] in <11d86b1e19c04e2d8733c42b16bf26de>:0
at QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel..ctor (Python.Runtime.PyObject alphaModel) [0x00000] in <11d86b1e19c04e2d8733c42b16bf26de>:0
at (wrapper managed-to-native) System.Reflection.MonoCMethod.InternalInvoke(System.Reflection.MonoCMethod,object,object[],System.Exception&)
at System.Reflection.MonoCMethod.InternalInvoke (System.Object obj, System.Object[] parameters) [0x00002] in <2e7c1c96edae44d496118948ca617c11>:0
at Initialize in main.py:line 42
NotImplementedException : IAlphaModel.Update must be implemented. Please implement this missing method on <class 'list'>
at QuantConnect.Algorithm.Framework.Alphas.AlphaModelPythonWrapper..ctor (Python.Runtime.PyObject model) [0x00052] in <11d86b1e19c04e2d8733c42b16bf26de>:0
at QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel..ctor (Python.Runtime.PyObject[] alphaModels) [0x0004d] in <11d86b1e19c04e2d8733c42b16bf26de>:0
at QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel..ctor (Python.Runtime.PyObject alphaModel) [0x00000] in <11d86b1e19c04e2d8733c42b16bf26de>:0
at (wrapper managed-to-native) System.Reflection.MonoCMethod.InternalInvoke(System.Reflection.MonoCMethod,object,object[],System.Exception&)
at System.Reflection.MonoCMethod.InternalInvoke (System.Object obj, System.Object[] parameters) [0x00002] in <2e7c1c96edae44d496118948ca617c11>:0
Alexandre Catarino
Hi LukeI ,
The CompositeAlphaModel does not accept a list of AlphaModel, but a sequence of parameters. So, if you replace
self.SetAlpha( CompositeAlphaModel([HistoricalReturnsAlphaModel(resolution = Resolution.Daily), HistoricalReturnsAlphaModel_copy(resolution = Resolution.Daily)]) )for
self.SetAlpha( CompositeAlphaModel(HistoricalReturnsAlphaModel(resolution = Resolution.Daily), HistoricalReturnsAlphaModel_copy(resolution = Resolution.Daily)) )In other words, remove the brackets, it works fine.
LukeI
Ah, how'd I miss that? thanks!
Andrew Kamal
Wow, thanks. I wish I knew that. For a while I was wondering the problem with it and didn't know it does it as a sequence of parameters.
LukeI
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