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Revert "Adding Support for Equity L1 Quote Data"

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This commit is contained in:
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/AddRemoveSecurityRegressionAlgorithm.cs
+16 -16
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@@ -112,30 +112,30 @@ namespace QuantConnect.Algorithm.CSharp
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Trades", "5"},
{"Average Win", "0.47%"},
{"Average Win", "0.49%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "292.259%"},
{"Compounding Annual Return", "305.340%"},
{"Drawdown", "1.400%"},
{"Expectancy", "0"},
{"Net Profit", "1.763%"},
{"Sharpe Ratio", "7.069"},
{"Probabilistic Sharpe Ratio", "80.016%"},
{"Net Profit", "1.805%"},
{"Sharpe Ratio", "7.192"},
{"Probabilistic Sharpe Ratio", "80.373%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "0.356"},
{"Beta", "0.705"},
{"Alpha", "0.389"},
{"Beta", "0.706"},
{"Annual Standard Deviation", "0.158"},
{"Annual Variance", "0.025"},
{"Information Ratio", "0.552"},
{"Tracking Error", "0.071"},
{"Treynor Ratio", "1.581"},
{"Information Ratio", "1.074"},
{"Tracking Error", "0.072"},
{"Treynor Ratio", "1.613"},
{"Total Fees", "$26.40"},
{"Fitness Score", "0.374"},
{"Kelly Criterion Estimate", "46.276"},
{"Kelly Criterion Estimate", "45.587"},
{"Kelly Criterion Probability Value", "0.468"},
{"Sortino Ratio", "79228162514264337593543950335"},
{"Return Over Maximum Drawdown", "372.831"},
{"Return Over Maximum Drawdown", "403.932"},
{"Portfolio Turnover", "0.374"},
{"Total Insights Generated", "5"},
{"Total Insights Closed", "2"},
@@ -143,14 +143,14 @@ namespace QuantConnect.Algorithm.CSharp
{"Long Insight Count", "3"},
{"Short Insight Count", "0"},
{"Long/Short Ratio", "100%"},
{"Estimated Monthly Alpha Value", "$27947.4130"},
{"Total Accumulated Estimated Alpha Value", "$4502.6388"},
{"Mean Population Estimated Insight Value", "$2251.3194"},
{"Estimated Monthly Alpha Value", "$24522.5969"},
{"Total Accumulated Estimated Alpha Value", "$3950.8628"},
{"Mean Population Estimated Insight Value", "$1975.4314"},
{"Mean Population Direction", "100%"},
{"Mean Population Magnitude", "0%"},
{"Rolling Averaged Population Direction", "100%"},
{"Rolling Averaged Population Magnitude", "0%"},
{"OrderListHash", "-1476689321"}
{"OrderListHash", "1843884872"}
};
}
}