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Holdings price adjustment after split (#7985)
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* Fix: properly adjust prices after a split

* Minor fixes

* Minor: Adjust cached data on split

* Minor change

* Expand regression algorithms assertions
This commit is contained in:
Jhonathan Abreu
2024-05-01 17:42:43 -04:00
committed by GitHub
parent ab40b5c0b6
commit 021e507ef0
10 changed files with 399 additions and 41 deletions
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Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs
+18 -18
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@@ -139,7 +139,7 @@ namespace QuantConnect.Algorithm.CSharp
/// <summary>
/// Data Points count of all timeslices of algorithm
/// </summary>
public long DataPoints => 993927;
public long DataPoints => 1847643;
/// <summary>
/// Data Points count of the algorithm history
@@ -151,33 +151,33 @@ namespace QuantConnect.Algorithm.CSharp
/// </summary>
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Orders", "4"},
{"Total Orders", "5"},
{"Average Win", "0.14%"},
{"Average Loss", "-0.28%"},
{"Compounding Annual Return", "0%"},
{"Drawdown", "385.400%"},
{"Compounding Annual Return", "-47.543%"},
{"Drawdown", "1.600%"},
{"Expectancy", "0.502"},
{"Start Equity", "100000"},
{"End Equity", "-286488.6"},
{"Net Profit", "-386.489%"},
{"Sharpe Ratio", "-0.033"},
{"End Equity", "99178.50"},
{"Net Profit", "-0.821%"},
{"Sharpe Ratio", "-4.136"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "1.235%"},
{"Probabilistic Sharpe Ratio", "17.155%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0.50"},
{"Alpha", "-94.012"},
{"Beta", "263.726"},
{"Annual Standard Deviation", "30.617"},
{"Annual Variance", "937.371"},
{"Information Ratio", "-0.044"},
{"Tracking Error", "30.604"},
{"Treynor Ratio", "-0.004"},
{"Total Fees", "$3.00"},
{"Alpha", "-0.855"},
{"Beta", "1.047"},
{"Annual Standard Deviation", "0.099"},
{"Annual Variance", "0.01"},
{"Information Ratio", "-9.141"},
{"Tracking Error", "0.091"},
{"Treynor Ratio", "-0.392"},
{"Total Fees", "$4.00"},
{"Estimated Strategy Capacity", "$0"},
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
{"Portfolio Turnover", "13.46%"},
{"OrderListHash", "051890b43b77c14465bc7fa354dc375d"}
{"Portfolio Turnover", "13.49%"},
{"OrderListHash", "2722fee93126736e03d66d7ab880b537"}
};
}
}