github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

Updates regression statistics

Browse Source 
Please note that with these changes, any algorithms that
use daily data exclusively will have incorrect statistics.
This commit is contained in:
Gerardo Salazar
2020-01-15 15:27:09 -08:00
parent 6f5e394d52
commit 61aa0d3a65
105 changed files with 2777 additions and 1042 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs
+29 -9
View File
@@ -124,22 +124,42 @@ namespace QuantConnect.Algorithm.CSharp
{"Total Trades", "1"},
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "-99.882%"},
{"Compounding Annual Return", "-99.920%"},
{"Drawdown", "52.600%"},
{"Expectancy", "0"},
{"Net Profit", "-10.486%"},
{"Sharpe Ratio", "-8.145"},
{"Sharpe Ratio", "-10.313"},
{"Probabilistic Sharpe Ratio", "0.001%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "-4.408"},
{"Beta", "-0.257"},
{"Annual Standard Deviation", "0.55"},
{"Annual Variance", "0.302"},
{"Information Ratio", "-8.51"},
{"Tracking Error", "0.558"},
{"Treynor Ratio", "17.411"},
{"Alpha", "-6.616"},
{"Beta", "-6.858"},
{"Annual Standard Deviation", "0.651"},
{"Annual Variance", "0.424"},
{"Information Ratio", "-9.239"},
{"Tracking Error", "0.728"},
{"Treynor Ratio", "0.979"},
{"Total Fees", "$0.00"},
{"Fitness Score", "0.127"},
{"Kelly Criterion Estimate", "0"},
{"Kelly Criterion Probability Value", "0"},
{"Sortino Ratio", "79228162514264337593543950335"},
{"Return Over Maximum Drawdown", "-11.144"},
{"Portfolio Turnover", "0.249"},
{"Total Insights Generated", "1"},
{"Total Insights Closed", "0"},
{"Total Insights Analysis Completed", "0"},
{"Long Insight Count", "1"},
{"Short Insight Count", "0"},
{"Long/Short Ratio", "100%"},
{"Estimated Monthly Alpha Value", "$0"},
{"Total Accumulated Estimated Alpha Value", "$0"},
{"Mean Population Estimated Insight Value", "$0"},
{"Mean Population Direction", "0%"},
{"Mean Population Magnitude", "0%"},
{"Rolling Averaged Population Direction", "0%"},
{"Rolling Averaged Population Magnitude", "0%"}
};
/// <summary>