Martin Molinero
ab3db6310b
- Add missing crypto - Updating crypto regression tests - Updating `DailyResolutionSplitRegressionAlgorithm` previous statistics were calculated using the wrong factor file.
99 lines
3.7 KiB
C#
99 lines
3.7 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.Brokerages;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// This algorithm reproduces GH issue 1859: 'Non-USD cash added during
|
|
/// Initialize not counted as starting capital in backtesting'
|
|
/// </summary>
|
|
public class StartingCapitalRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private Symbol _symbol;
|
|
/// <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, 4, 4); //Set Start Date
|
|
SetEndDate(2018, 4, 4); //Set End Date
|
|
|
|
SetCash(10000);
|
|
SetCash("EUR", 10000);
|
|
SetCash("BTC", 10000);
|
|
SetCash("ETH", 10000);
|
|
|
|
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
|
|
|
|
AddCrypto("BTCUSD");
|
|
_symbol = AddCrypto("ETHUSD").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)
|
|
{
|
|
Buy(_symbol, 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 };
|
|
|
|
/// <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", "10.700%"},
|
|
{"Expectancy", "0"},
|
|
{"Net Profit", "-7.119%"},
|
|
{"Sharpe Ratio", "-12.379"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "-17.159"},
|
|
{"Beta", "1182.63"},
|
|
{"Annual Standard Deviation", "0.727"},
|
|
{"Annual Variance", "0.528"},
|
|
{"Information Ratio", "-12.399"},
|
|
{"Tracking Error", "0.726"},
|
|
{"Treynor Ratio", "-0.008"},
|
|
{"Total Fees", "$1.21"}
|
|
};
|
|
}
|
|
}
|