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Update tests

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- Update tests after daily.zip files update
This commit is contained in:
Martin Molinero
2020-03-11 18:10:48 -03:00
parent d4bec86df0
commit ab43485642
6 changed files with 72 additions and 80 deletions
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Algorithm.CSharp/ConvertToFrameworkAlgorithm.cs
+33 -33
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@@ -126,46 +126,46 @@ namespace QuantConnect.Algorithm.CSharp
/// </summary>
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Trades", "69"},
{"Average Win", "5.13%"},
{"Average Loss", "-4.68%"},
{"Compounding Annual Return", "-3.469%"},
{"Total Trades", "85"},
{"Average Win", "4.85%"},
{"Average Loss", "-4.21%"},
{"Compounding Annual Return", "-3.100%"},
{"Drawdown", "52.900%"},
{"Expectancy", "-0.075"},
{"Net Profit", "-32.204%"},
{"Sharpe Ratio", "-0.126"},
{"Probabilistic Sharpe Ratio", "0.022%"},
{"Expectancy", "-0.052"},
{"Net Profit", "-29.298%"},
{"Sharpe Ratio", "-0.076"},
{"Probabilistic Sharpe Ratio", "0.004%"},
{"Loss Rate", "56%"},
{"Win Rate", "44%"},
{"Profit-Loss Ratio", "1.10"},
{"Alpha", "-0.024"},
{"Beta", "0.008"},
{"Annual Standard Deviation", "0.183"},
{"Annual Variance", "0.034"},
{"Information Ratio", "-0.366"},
{"Tracking Error", "0.268"},
{"Treynor Ratio", "-3.085"},
{"Total Fees", "$565.56"},
{"Fitness Score", "0.026"},
{"Profit-Loss Ratio", "1.15"},
{"Alpha", "-0.013"},
{"Beta", "0.009"},
{"Annual Standard Deviation", "0.164"},
{"Annual Variance", "0.027"},
{"Information Ratio", "-0.378"},
{"Tracking Error", "0.239"},
{"Treynor Ratio", "-1.424"},
{"Total Fees", "$755.29"},
{"Fitness Score", "0.024"},
{"Kelly Criterion Estimate", "-0.84"},
{"Kelly Criterion Probability Value", "0.53"},
{"Sortino Ratio", "-0.227"},
{"Return Over Maximum Drawdown", "-0.065"},
{"Portfolio Turnover", "0.056"},
{"Total Insights Generated", "69"},
{"Total Insights Closed", "69"},
{"Total Insights Analysis Completed", "69"},
{"Long Insight Count", "34"},
{"Short Insight Count", "35"},
{"Long/Short Ratio", "97.14%"},
{"Estimated Monthly Alpha Value", "$-614577.2"},
{"Total Accumulated Estimated Alpha Value", "$-82316640"},
{"Mean Population Estimated Insight Value", "$-1192995"},
{"Mean Population Direction", "50.7246%"},
{"Sortino Ratio", "-0.224"},
{"Return Over Maximum Drawdown", "-0.058"},
{"Portfolio Turnover", "0.05"},
{"Total Insights Generated", "85"},
{"Total Insights Closed", "85"},
{"Total Insights Analysis Completed", "85"},
{"Long Insight Count", "42"},
{"Short Insight Count", "43"},
{"Long/Short Ratio", "97.67%"},
{"Estimated Monthly Alpha Value", "$-617339.2"},
{"Total Accumulated Estimated Alpha Value", "$-82686580"},
{"Mean Population Estimated Insight Value", "$-972783.3"},
{"Mean Population Direction", "51.7647%"},
{"Mean Population Magnitude", "0%"},
{"Rolling Averaged Population Direction", "52.3776%"},
{"Rolling Averaged Population Direction", "48.2217%"},
{"Rolling Averaged Population Magnitude", "0%"},
{"OrderListHash", "1454440033"}
{"OrderListHash", "936738631"}
};
}
}