Colton Sellers
d2d99b1f10
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Implement scheduled event sampling solution * Use UTC time, only update daily portfolio value once a day * For daily resolutions sample chart always * Cleanup * Drop resample daily all together * Force final sample * Regression updates * FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event * Name the daily sampling event * Address review pt 1 * Drop force and use reference wrapper * Adjust tests * Fix warning for Benchmark Timezone Misalignment and also add test * Fix for daily resolution orders and test adjustments * Also warn on universe settings with daily resolution * Update missed regression * Fix reference wrapper use * Update regression after rebase * Add values back in for Daylight Algo * Have statistics builder skip day 1 performance * Regression adjustments * Test adjustments * Update regression unit test * Adjust some regressions starts to show performance values * Add hourly algorithm for beta comparison * Address missing Python regression changes * Remove null comment
94 lines
4.1 KiB
C#
94 lines
4.1 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;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Example algorithm with existing holdings consuming an alpha streams portfolio state and trading based on it
|
|
/// </summary>
|
|
public class AlphaStreamsDifferentAccountCurrencyBasicTemplateAlgorithm : AlphaStreamsWithHoldingsBasicTemplateAlgorithm
|
|
{
|
|
/// <summary>
|
|
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
/// </summary>
|
|
public override void Initialize()
|
|
{
|
|
SetAccountCurrency("EUR");
|
|
base.Initialize();
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public Language[] Languages { get; } = { Language.CSharp };
|
|
|
|
/// <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", "2"},
|
|
{"Average Win", "0.01%"},
|
|
{"Average Loss", "0.00%"},
|
|
{"Compounding Annual Return", "-78.502%"},
|
|
{"Drawdown", "3.100%"},
|
|
{"Expectancy", "7.797"},
|
|
{"Net Profit", "-1.134%"},
|
|
{"Sharpe Ratio", "-2.456"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "50%"},
|
|
{"Win Rate", "50%"},
|
|
{"Profit-Loss Ratio", "16.59"},
|
|
{"Alpha", "0.006"},
|
|
{"Beta", "1.011"},
|
|
{"Annual Standard Deviation", "0.343"},
|
|
{"Annual Variance", "0.117"},
|
|
{"Information Ratio", "-0.859"},
|
|
{"Tracking Error", "0.004"},
|
|
{"Treynor Ratio", "-0.832"},
|
|
{"Total Fees", "$2.89"},
|
|
{"Estimated Strategy Capacity", "$8900000000.00"},
|
|
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
|
{"Fitness Score", "0.506"},
|
|
{"Kelly Criterion Estimate", "0"},
|
|
{"Kelly Criterion Probability Value", "0"},
|
|
{"Sortino Ratio", "79228162514264337593543950335"},
|
|
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
|
{"Portfolio Turnover", "0.506"},
|
|
{"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", "a9dd0a0ab6070455479d1b9caaa4e69c"}
|
|
};
|
|
}
|
|
}
|