Jhonathan Abreu
35dfcd73ab
Regression Tests / build (push) Has been cancelled
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* Index options MHDB review * Update MHDB * Update regression algorithms stats * Update regression algorithms stats * Add index and index options holidays * Peer review * Update algorithms stats
83 lines
3.4 KiB
C#
83 lines
3.4 KiB
C#
using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression for running an Index algorithm with Hourly data
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/// </summary>
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public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorithm
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{
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protected override Resolution Resolution => Resolution.Hour;
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protected override int ExpectedBarCount => base.ExpectedBarCount * 7;
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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 };
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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 => 389;
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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", "69"},
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{"Average Win", "0%"},
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{"Average Loss", "-0.06%"},
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{"Compounding Annual Return", "-39.390%"},
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{"Drawdown", "2.000%"},
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{"Expectancy", "-1"},
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{"Net Profit", "-1.998%"},
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{"Sharpe Ratio", "-12.504"},
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{"Probabilistic Sharpe Ratio", "0.000%"},
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{"Loss Rate", "100%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.313"},
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{"Beta", "0.088"},
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{"Annual Standard Deviation", "0.024"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-3.871"},
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{"Tracking Error", "0.104"},
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{"Treynor Ratio", "-3.459"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$200000.00"},
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{"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
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{"Fitness Score", "0.002"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "-15.488"},
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{"Return Over Maximum Drawdown", "-20.691"},
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{"Portfolio Turnover", "0.316"},
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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", "cbd2e7697a622b2ce3e24b6003db6f7d"}
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};
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}
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}
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