Alexandre Catarino
3b2e165254
Build & Test Lean / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Renames and Updates BaseAlphaModelFrameworkRegressionAlgorithm The `BaseFrameworkRegressionAlgorithm ` will be used for multiple framework regression tests * Updates and Renames EmaCrossAlphaModelFrameworkAlgorithm Adds "Regression" to inform that it's a regression algorithm. * Updates and Renames MaximumPortfolioDrawdownFrameworkAlgorithm Adds "Regression" to inform that it's a regression algorithm, and use the model name: `MaximumDrawdownPercentPortfolio` * Adds New Regression Algorithms
70 lines
2.6 KiB
C#
70 lines
2.6 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.Algorithm.Framework.Alphas;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm to assert the behavior of <see cref="EmaCrossAlphaModel"/>.
|
|
/// </summary>
|
|
public class EmaCrossAlphaModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
base.Initialize();
|
|
SetAlpha(new EmaCrossAlphaModel());
|
|
}
|
|
|
|
public override void OnEndOfAlgorithm()
|
|
{
|
|
}
|
|
|
|
public override int AlgorithmHistoryDataPoints => 152;
|
|
|
|
/// <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()
|
|
{
|
|
{"Total Trades", "54"},
|
|
{"Average Win", "0.35%"},
|
|
{"Average Loss", "-0.08%"},
|
|
{"Compounding Annual Return", "49.545%"},
|
|
{"Drawdown", "0.900%"},
|
|
{"Expectancy", "1.594"},
|
|
{"Net Profit", "3.363%"},
|
|
{"Sharpe Ratio", "6.48"},
|
|
{"Probabilistic Sharpe Ratio", "94.347%"},
|
|
{"Loss Rate", "50%"},
|
|
{"Win Rate", "50%"},
|
|
{"Profit-Loss Ratio", "4.19"},
|
|
{"Alpha", "0.24"},
|
|
{"Beta", "0.479"},
|
|
{"Annual Standard Deviation", "0.052"},
|
|
{"Annual Variance", "0.003"},
|
|
{"Information Ratio", "2.589"},
|
|
{"Tracking Error", "0.053"},
|
|
{"Treynor Ratio", "0.699"},
|
|
{"Total Fees", "$92.10"},
|
|
{"Estimated Strategy Capacity", "$8200000.00"},
|
|
{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
|
|
{"Portfolio Turnover", "13.61%"},
|
|
{"OrderListHash", "7468edaecaf9acd0b889beae6bfaee76"}
|
|
};
|
|
}
|
|
}
|