Michael Handschuh
8402b6f01e
It's important that we keep the factor files consistent with respect to the date that they were generated. This enables us to run the regression algorithms in the cloud and get the same results by using the factor files from the correct date.
83 lines
2.9 KiB
C#
83 lines
2.9 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.Market;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression test for consistency of hour data over a reverse split event in US equities.
|
|
/// </summary>
|
|
/// <meta name="tag" content="using data" />
|
|
/// <meta name="tag" content="regression test" />
|
|
public class HourReverseSplitRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private Symbol _symbol;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 11, 7);
|
|
SetEndDate(2013, 11, 8);
|
|
SetCash(100000);
|
|
SetBenchmark(x => 0);
|
|
|
|
_symbol = AddEquity("VXX", Resolution.Hour).Symbol;
|
|
}
|
|
|
|
public void OnData(TradeBars tradeBars)
|
|
{
|
|
TradeBar bar;
|
|
if (!tradeBars.TryGetValue(_symbol, out bar)) return;
|
|
|
|
if (!Portfolio.Invested && Time.Date == EndDate.Date)
|
|
{
|
|
Buy(_symbol, 1);
|
|
}
|
|
}
|
|
|
|
/// <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", "-5.029%"},
|
|
{"Drawdown", "0.000%"},
|
|
{"Expectancy", "0"},
|
|
{"Net Profit", "-0.024%"},
|
|
{"Sharpe Ratio", "-11.225"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0"},
|
|
{"Beta", "0"},
|
|
{"Annual Standard Deviation", "0.003"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "0"},
|
|
{"Tracking Error", "0"},
|
|
{"Treynor Ratio", "0"},
|
|
{"Total Fees", "$1.00"}
|
|
};
|
|
}
|
|
}
|