Jhonathan Abreu
41a730bc68
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Set fill price to zero in OTM exercise orders. Improved the OTM exercise orders message. * Update regression algorithms and unit tests * Add IsInTheMoney property to OrderEvent * Update SerializedOrderEvent * Properly setting the option exercise order price to strike price or zero * Minor changes * Minor changes
84 lines
3.6 KiB
C#
84 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.Orders;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm reproducing issue #5160 where delisting order would be cancelled because it was placed at the market close on the delisting day,
|
|
/// in the case of daily resolution.
|
|
/// </summary>
|
|
public class DelistingFutureOptionDailyRegressionAlgorithm : DelistingFutureOptionRegressionAlgorithm
|
|
{
|
|
protected override Resolution Resolution => Resolution.Daily;
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public override long DataPoints => 13223;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Trades", "16"},
|
|
{"Average Win", "0.01%"},
|
|
{"Average Loss", "-0.02%"},
|
|
{"Compounding Annual Return", "-0.111%"},
|
|
{"Drawdown", "0.100%"},
|
|
{"Expectancy", "-0.678"},
|
|
{"Net Profit", "-0.111%"},
|
|
{"Sharpe Ratio", "-0.951"},
|
|
{"Probabilistic Sharpe Ratio", "0.000%"},
|
|
{"Loss Rate", "80%"},
|
|
{"Win Rate", "20%"},
|
|
{"Profit-Loss Ratio", "0.61"},
|
|
{"Alpha", "-0.001"},
|
|
{"Beta", "-0.001"},
|
|
{"Annual Standard Deviation", "0.001"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "-1.075"},
|
|
{"Tracking Error", "0.107"},
|
|
{"Treynor Ratio", "1.338"},
|
|
{"Total Fees", "$19.76"},
|
|
{"Estimated Strategy Capacity", "$2300000.00"},
|
|
{"Lowest Capacity Asset", "DC V5E8PHPRCHJ8|DC V5E8P9SH0U0X"},
|
|
{"Fitness Score", "0"},
|
|
{"Kelly Criterion Estimate", "0"},
|
|
{"Kelly Criterion Probability Value", "0"},
|
|
{"Sortino Ratio", "-0.126"},
|
|
{"Return Over Maximum Drawdown", "-0.995"},
|
|
{"Portfolio Turnover", "0"},
|
|
{"Total Insights Generated", "0"},
|
|
{"Total Insights Closed", "0"},
|
|
{"Total Insights Analysis Completed", "0"},
|
|
{"Long Insight Count", "0"},
|
|
{"Short Insight Count", "0"},
|
|
{"Long/Short Ratio", "100%"},
|
|
{"Estimated Monthly Alpha Value", "$0"},
|
|
{"Total Accumulated Estimated Alpha Value", "$0"},
|
|
{"Mean Population Estimated Insight Value", "$0"},
|
|
{"Mean Population Direction", "0%"},
|
|
{"Mean Population Magnitude", "0%"},
|
|
{"Rolling Averaged Population Direction", "0%"},
|
|
{"Rolling Averaged Population Magnitude", "0%"},
|
|
{"OrderListHash", "19ecd0218cb70c5d7fefcb5741a7d82b"}
|
|
};
|
|
}
|
|
}
|