Jhonathan Abreu
ed92e6653b
* Fix EMA indicator first value calculation As done by TALib and TradingView, the first EMA value after warmup is the SMA of the first period. * Update TSI indicator test data Data was exported from TradingView * Update TRIX indicator test data from TradingView * Update AccumulationDistributionOscillator indicator test data from TradingView * Update Double EMA indicator test data from TradingView * Update McClellanSummationIndex indicator test data * Update SchaffTrendCycle indicator test data * Update TripleExponentialMovingAverage indicator test data from TradingView * Update stats for algorithms using EMA * Update failing unit tests
76 lines
2.8 KiB
C#
76 lines
2.8 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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using System;
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Alphas;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to assert the behavior of <see cref="MacdAlphaModel"/>.
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/// </summary>
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public class MacdAlphaModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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SetAlpha(new MacdAlphaModel());
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}
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public override void OnEndOfAlgorithm()
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{
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const int expected = 4;
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if (Insights.TotalCount != expected)
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{
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throw new Exception($"The total number of insights should be {expected}. Actual: {Insights.TotalCount}");
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}
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}
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public override int AlgorithmHistoryDataPoints => 136;
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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()
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{
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{"Total Trades", "41"},
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{"Average Win", "0.38%"},
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{"Average Loss", "-0.18%"},
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{"Compounding Annual Return", "37.401%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "0.730"},
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{"Net Profit", "2.646%"},
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{"Sharpe Ratio", "4.016"},
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{"Probabilistic Sharpe Ratio", "81.595%"},
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{"Loss Rate", "45%"},
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{"Win Rate", "55%"},
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{"Profit-Loss Ratio", "2.15"},
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{"Alpha", "0.344"},
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{"Beta", "-0.437"},
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{"Annual Standard Deviation", "0.064"},
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{"Annual Variance", "0.004"},
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{"Information Ratio", "0.639"},
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{"Tracking Error", "0.092"},
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{"Treynor Ratio", "-0.588"},
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{"Total Fees", "$77.70"},
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{"Estimated Strategy Capacity", "$6300000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "16.20%"},
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{"OrderListHash", "67021844227140aff9d61fb17fb69546"}
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};
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}
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}
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