Martin-Molinero
15e399c96b
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Live T-1 selection warmup - Only use BaseDataCollection class - Reuse collection enumerator - Remove FuturesChainUniverseSubscriptionEnumeratorFactory - Universe selection will use Cache providers - Add null reference check - Add more tests - Fixes for warmup fill forwarding. Add more tests * Address reviews. Add missing comments
107 lines
4.3 KiB
C#
107 lines
4.3 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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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regressions tests the BasicTemplateFuturesDailyAlgorithm with hour data
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="benchmarks" />
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/// <meta name="tag" content="futures" />
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public class BasicTemplateFuturesHourlyAlgorithm : BasicTemplateFuturesDailyAlgorithm
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{
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private Symbol _contractSymbol;
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protected override Resolution Resolution => Resolution.Hour;
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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 override 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 override Language[] Languages { get; } = { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 205553;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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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 override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "1988"},
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{"Average Win", "0.01%"},
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{"Average Loss", "0.00%"},
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{"Compounding Annual Return", "-4.120%"},
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{"Drawdown", "4.200%"},
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{"Expectancy", "-0.870"},
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{"Net Profit", "-4.150%"},
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{"Sharpe Ratio", "-6.061"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "97%"},
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{"Win Rate", "3%"},
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{"Profit-Loss Ratio", "2.92"},
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{"Alpha", "-0.027"},
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{"Beta", "-0.006"},
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{"Annual Standard Deviation", "0.005"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-1.66"},
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{"Tracking Error", "0.089"},
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{"Treynor Ratio", "4.919"},
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{"Total Fees", "$3677.80"},
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{"Estimated Strategy Capacity", "$2000.00"},
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{"Lowest Capacity Asset", "ES VP274HSU1AF5"},
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{"Fitness Score", "0.128"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "-6.856"},
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{"Return Over Maximum Drawdown", "-0.995"},
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{"Portfolio Turnover", "0.648"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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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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{"OrderListHash", "87d2b127c9859cad9d2c65ac9d76deb5"}
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};
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}
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}
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