Martin Molinero
1b0bdd9b0b
- Adding new `SetAccountCurrency()` for backtesting. Has to be called before adding any `Security` or calling `SetCash()`, else will throw. - Adding new Non account currency unit tests for `CashBuyingPower`, `SecurityPortfolioModel`, `SecurityMarginModel`, `SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels` - Adding new C# regression test using `SetAccountCurrency()`, one for `CashBuyingPowerModel` and one for `SecurityMarginModel` - Adding new Py and C# basic regression algorithms using `SetAccountCurrency()` - `Options` and `Futures` will use not use `AccountCurrency` as quote Cash. - `SecurityBenchmark` value will be in account currency
93 lines
3.6 KiB
C#
93 lines
3.6 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Basic algorithm using SetAccountCurrency
|
|
/// </summary>
|
|
public class BasicSetAccountCurrencyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private Symbol _btcEur;
|
|
|
|
/// <summary>
|
|
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
/// </summary>
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2018, 04, 04); //Set Start Date
|
|
SetEndDate(2018, 04, 04); //Set End Date
|
|
//Before setting any cash or adding a Security call SetAccountCurrency
|
|
SetAccountCurrency("EUR");
|
|
SetCash(100000); //Set Strategy Cash
|
|
|
|
_btcEur = AddCrypto("BTCEUR").Symbol;
|
|
}
|
|
|
|
/// <summary>
|
|
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
/// </summary>
|
|
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
|
|
public override void OnData(Slice data)
|
|
{
|
|
if (!Portfolio.Invested)
|
|
{
|
|
SetHoldings(_btcEur, 1);
|
|
Debug("Purchased Stock");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public Language[] Languages { get; } = { Language.CSharp, Language.Python };
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Trades", "1"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "0%"},
|
|
{"Compounding Annual Return", "-100.000%"},
|
|
{"Drawdown", "11.000%"},
|
|
{"Expectancy", "0"},
|
|
{"Net Profit", "-7.328%"},
|
|
{"Sharpe Ratio", "-12.15"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "-17.811"},
|
|
{"Beta", "1239.638"},
|
|
{"Annual Standard Deviation", "0.762"},
|
|
{"Annual Variance", "0.581"},
|
|
{"Information Ratio", "-12.169"},
|
|
{"Tracking Error", "0.761"},
|
|
{"Treynor Ratio", "-0.007"},
|
|
{"Total Fees", "$0.00"}
|
|
};
|
|
}
|
|
}
|