Jhonathan Abreu
475f295ce0
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* Allow market orders for futures and FOPs on extended market hours * Update regression algorithms stats * Add futures fill model to allow extended market hours * Add unit tests * Update regression algorithms stats * Update regression algorithms stats * Housekeeping
98 lines
4.0 KiB
C#
98 lines
4.0 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.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Future;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to add futures with daily resolution and extended market hours.
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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 BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplateFuturesDailyAlgorithm
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{
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protected override bool ExtendedMarketHours => 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 => 13559;
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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", "152"},
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{"Average Win", "0.09%"},
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{"Average Loss", "-0.01%"},
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{"Compounding Annual Return", "-0.644%"},
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{"Drawdown", "0.600%"},
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{"Expectancy", "-0.872"},
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{"Net Profit", "-0.649%"},
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{"Sharpe Ratio", "-2.343"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "99%"},
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{"Win Rate", "1%"},
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{"Profit-Loss Ratio", "8.76"},
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{"Alpha", "-0.004"},
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{"Beta", "-0.001"},
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{"Annual Standard Deviation", "0.002"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-1.409"},
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{"Tracking Error", "0.089"},
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{"Treynor Ratio", "3.618"},
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{"Total Fees", "$338.96"},
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{"Estimated Strategy Capacity", "$1000.00"},
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{"Lowest Capacity Asset", "ES VRJST036ZY0X"},
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{"Fitness Score", "0.013"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "-1.464"},
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{"Return Over Maximum Drawdown", "-0.992"},
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{"Portfolio Turnover", "0.04"},
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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", "48bfc4d255420cb589e00cf582554e0a"}
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};
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}
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}
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