Martin-Molinero
410956bf9f
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* Implement Trailing FreePortfolioValue - Implement Trailing FreePortfolioValue by default, users will be able to set it to a fixed number if desired. Adding regression algorithm - Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to 0.1% of the TPV to avoud tiny trades by default * Update existing regression algorithms * Address reviews - Send warning message to the user if a trade does not happen due to the default setting of the minimum order margin percentage value * Address reivews * Rename TotalPortfolioValueLessFreeBuffer * Update new regression algorithm
78 lines
3.1 KiB
C#
78 lines
3.1 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.Portfolio;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting setting a free portfolio value disabled trailing behavior, see GH issue #4104
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/// </summary>
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public class FreePortfolioValueFixedRegressionAlgorithm : FreePortfolioValueRegressionAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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base.Initialize();
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Settings.FreePortfolioValue = 500;
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}
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public override void OnEndOfAlgorithm()
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{
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var freePortfolioValue = Portfolio.TotalPortfolioValue - Portfolio.TotalPortfolioValueLessFreeBuffer;
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if (freePortfolioValue != 500)
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{
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throw new Exception($"Unexpected FreePortfolioValue value: {freePortfolioValue}");
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}
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}
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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", "2"},
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{"Average Win", "0%"},
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{"Average Loss", "0.00%"},
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{"Compounding Annual Return", "8.183%"},
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{"Drawdown", "55.100%"},
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{"Expectancy", "-1"},
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{"Net Profit", "125.672%"},
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{"Sharpe Ratio", "0.427"},
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{"Probabilistic Sharpe Ratio", "1.163%"},
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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"},
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{"Beta", "0.999"},
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{"Annual Standard Deviation", "0.164"},
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{"Annual Variance", "0.027"},
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{"Information Ratio", "-0.088"},
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{"Tracking Error", "0.001"},
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{"Treynor Ratio", "0.07"},
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{"Total Fees", "$43.54"},
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{"Estimated Strategy Capacity", "$430000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.03%"},
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{"OrderListHash", "6724d9f93a56f6ceb3da0648851d463f"}
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};
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}
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}
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