Stefano Raggi
e5028e087f
Remove usage of DateTime.UtcNow in buying power models In PR#3013 we added support for fee models with history, so the new changes to the GDAXFeeModel exposed this bug, breaking a couple of regression tests (issue #3044) Update regression stats for EmitInsightCryptoCashAccountType * Fix typos Add missing time keeper in CashBuyingPowerModelTests
109 lines
4.4 KiB
C#
109 lines
4.4 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Data;
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using QuantConnect.Brokerages;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm showcases an <see cref="AccountType.Cash"/> emitting insights
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/// and manually trading.
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/// </summary>
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public class EmitInsightCryptoCashAccountType : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _symbol;
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2018, 4, 4); // Set Start Date
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SetEndDate(2018, 4, 4); // Set End Date
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SetAccountCurrency("EUR");
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SetCash("EUR", 10000);
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_symbol = AddCrypto("BTCEUR").Symbol;
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SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested)
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{
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EmitInsights(Insight.Price(_symbol, Resolution.Daily, 1, InsightDirection.Up));
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SetHoldings(_symbol, 0.5);
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public Language[] Languages { get; } = { Language.CSharp };
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "-100.000%"},
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{"Drawdown", "5.500%"},
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{"Expectancy", "0"},
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{"Net Profit", "-3.802%"},
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{"Sharpe Ratio", "-12.079"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0.397"},
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{"Annual Variance", "0.158"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$14.92"},
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{"Total Insights Generated", "1"},
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{"Total Insights Closed", "1"},
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{"Total Insights Analysis Completed", "1"},
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{"Long Insight Count", "1"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "€-7.1039"},
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{"Total Accumulated Estimated Alpha Value", "€-0.2762628"},
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{"Mean Population Estimated Insight Value", "€-0.2762628"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"}
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};
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}
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}
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