Martin Molinero
0d6d66cd09
- Setting SPY as the default security benchmark - The security benchmark subscription will be added at `UniverseSelection` as an internal subscription. Using its own dedicated Security instance which doesn't live in the algorithms.Securities collection. - Reducing algorithms exposure to internal subscriptions - `TimeSliceFactory` will prioritize higher resolution bars, when same symbol is present twice (for non-internal subscriptionst) - Adding regression test `CustomUniverseWithBenchmarkRegressionAlgorithm`
92 lines
3.6 KiB
C#
92 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>
|
|
/// Shows how to set a custom benchmark for you algorithms
|
|
/// </summary>
|
|
/// <meta name="tag" content="using data" />
|
|
/// <meta name="tag" content="benchmarks" />
|
|
public class CustomBenchmarkAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
/// <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(2013, 10, 07); //Set Start Date
|
|
SetEndDate(2013, 10, 11); //Set End Date
|
|
SetCash(100000); //Set Strategy Cash
|
|
// Find more symbols here: http://quantconnect.com/data
|
|
AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
|
|
|
|
SetBenchmark("AAPL");
|
|
}
|
|
|
|
/// <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("SPY", 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", "233.235%"},
|
|
{"Drawdown", "2.200%"},
|
|
{"Expectancy", "0"},
|
|
{"Net Profit", "1.663%"},
|
|
{"Sharpe Ratio", "4.076"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0.533"},
|
|
{"Beta", "0.287"},
|
|
{"Annual Standard Deviation", "0.173"},
|
|
{"Annual Variance", "0.03"},
|
|
{"Information Ratio", "0.518"},
|
|
{"Tracking Error", "0.198"},
|
|
{"Treynor Ratio", "2.464"},
|
|
{"Total Fees", "$3.26"}
|
|
};
|
|
}
|
|
} |