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Revert "Adding Support for Equity L1 Quote Data"

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Jared
2020-03-11 19:16:05 -07:00
committed by GitHub
parent 460a18faff
commit 8cd8d206ca
294 changed files with 1527 additions and 1989 deletions
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Algorithm.CSharp/AddAlphaModelAlgorithm.cs
+16 -16
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@@ -113,28 +113,28 @@ namespace QuantConnect.Algorithm.CSharp
{"Total Trades", "9"},
{"Average Win", "0.89%"},
{"Average Loss", "-0.27%"},
{"Compounding Annual Return", "196.104%"},
{"Compounding Annual Return", "195.590%"},
{"Drawdown", "1.700%"},
{"Expectancy", "1.853"},
{"Net Profit", "1.498%"},
{"Sharpe Ratio", "2.828"},
{"Probabilistic Sharpe Ratio", "60.462%"},
{"Expectancy", "1.850"},
{"Net Profit", "1.496%"},
{"Sharpe Ratio", "2.826"},
{"Probabilistic Sharpe Ratio", "60.467%"},
{"Loss Rate", "33%"},
{"Win Rate", "67%"},
{"Profit-Loss Ratio", "3.28"},
{"Alpha", "1.03"},
{"Beta", "-0.289"},
{"Alpha", "1.025"},
{"Beta", "-0.29"},
{"Annual Standard Deviation", "0.276"},
{"Annual Variance", "0.076"},
{"Information Ratio", "-0.219"},
{"Information Ratio", "-0.19"},
{"Tracking Error", "0.367"},
{"Treynor Ratio", "-2.698"},
{"Treynor Ratio", "-2.692"},
{"Total Fees", "$14.33"},
{"Fitness Score", "0.408"},
{"Kelly Criterion Estimate", "16.447"},
{"Kelly Criterion Estimate", "16.472"},
{"Kelly Criterion Probability Value", "0.315"},
{"Sortino Ratio", "13.611"},
{"Return Over Maximum Drawdown", "117.635"},
{"Sortino Ratio", "13.835"},
{"Return Over Maximum Drawdown", "117.162"},
{"Portfolio Turnover", "0.411"},
{"Total Insights Generated", "3"},
{"Total Insights Closed", "3"},
@@ -142,14 +142,14 @@ namespace QuantConnect.Algorithm.CSharp
{"Long Insight Count", "0"},
{"Short Insight Count", "3"},
{"Long/Short Ratio", "0%"},
{"Estimated Monthly Alpha Value", "$19868365.6628"},
{"Total Accumulated Estimated Alpha Value", "$3421774.0864"},
{"Mean Population Estimated Insight Value", "$1140591.3621"},
{"Estimated Monthly Alpha Value", "$13262182.1037"},
{"Total Accumulated Estimated Alpha Value", "$2284042.4734"},
{"Mean Population Estimated Insight Value", "$761347.4911"},
{"Mean Population Direction", "100%"},
{"Mean Population Magnitude", "0%"},
{"Rolling Averaged Population Direction", "100%"},
{"Rolling Averaged Population Magnitude", "0%"},
{"OrderListHash", "-80028841"}
{"OrderListHash", "-1878476328"}
};
}
}