Martin Molinero
c9aba0c2db
- `AlgorithmManager` will call `EnsureCurrencyDataFeeds()` before the history requests are created so the conversion rate securities are also updated during warmup. - `EnsureCurrencyDataFeeds()` will add new `SubscriptionDataConfigs` to the `_addedCurrencySubscriptionDataConfigs` hash set. This hash set will be used during `UniverseSelection()` to add the subscriptions. - Wont trigger a `UniverseSelection()` before warmup. This was causing the data to be fetched twice and for consolidators to be updated with old data. - Adding a new regression test and adding new checks to existing regression tests.
101 lines
3.9 KiB
C#
101 lines
3.9 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;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Indicators;
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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 reproduces GH issue 2404, exception: `This is a forward only indicator`
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/// </summary>
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public class WarmupIndicatorRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _spy;
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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(2013, 11, 1);
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SetEndDate(2013, 12, 10); //Set End Date
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SetWarmup(TimeSpan.FromDays(30));
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_spy = AddEquity("SPY", Resolution.Daily).Symbol;
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var renkoConsolidator = new RenkoConsolidator(2m);
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renkoConsolidator.DataConsolidated += (sender, consolidated) =>
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{
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if (IsWarmingUp) return;
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if (!Portfolio.Invested)
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{
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SetHoldings(_spy, 1.0);
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}
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Log($"CLOSE - {consolidated.Time:o} - {consolidated.Open} {consolidated.Close}");
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};
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var sma = new SimpleMovingAverage("SMA", 3);
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RegisterIndicator(_spy, sma, renkoConsolidator);
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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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}
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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", "21.454%"},
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{"Drawdown", "1.200%"},
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{"Expectancy", "0"},
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{"Net Profit", "2.155%"},
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{"Sharpe Ratio", "3.253"},
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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", "0.498"},
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{"Beta", "-15.417"},
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{"Annual Standard Deviation", "0.06"},
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{"Annual Variance", "0.004"},
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{"Information Ratio", "2.914"},
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{"Tracking Error", "0.06"},
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{"Treynor Ratio", "-0.013"},
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{"Total Fees", "$3.08"}
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};
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}
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}
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