Ricardo Andrés Marino Rojas
108 lines
4.1 KiB
C#
108 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;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Algorithm;
|
|
using QuantConnect.Algorithm.Framework.Alphas;
|
|
using QuantConnect.Algorithm.Framework.Portfolio;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.DataLibrary.Tests
|
|
{
|
|
/// <summary>
|
|
/// Example algorithm of using MeanReversionPortfolioConstructionModel
|
|
/// </summary>
|
|
public class MeanReversionPortfolioAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2020, 9, 1);
|
|
SetEndDate(2021, 2, 28);
|
|
SetCash(100000);
|
|
|
|
SetSecurityInitializer(security => security.SetMarketPrice(GetLastKnownPrice(security)));
|
|
|
|
foreach (var ticker in new List<string>{"SPY", "AAPL"})
|
|
{
|
|
AddEquity(ticker, Resolution.Daily);
|
|
}
|
|
|
|
AddAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1)));
|
|
SetPortfolioConstruction(new MeanReversionPortfolioConstructionModel());
|
|
}
|
|
|
|
/// <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>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public long DataPoints => 1115;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 52;
|
|
|
|
/// <summary>
|
|
/// Final status of the algorithm
|
|
/// </summary>
|
|
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Orders", "65"},
|
|
{"Average Win", "2.31%"},
|
|
{"Average Loss", "-0.41%"},
|
|
{"Compounding Annual Return", "20.043%"},
|
|
{"Drawdown", "12.300%"},
|
|
{"Expectancy", "1.841"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "109374.62"},
|
|
{"Net Profit", "9.375%"},
|
|
{"Sharpe Ratio", "0.636"},
|
|
{"Sortino Ratio", "0.722"},
|
|
{"Probabilistic Sharpe Ratio", "36.899%"},
|
|
{"Loss Rate", "57%"},
|
|
{"Win Rate", "43%"},
|
|
{"Profit-Loss Ratio", "5.63"},
|
|
{"Alpha", "-0.02"},
|
|
{"Beta", "1.3"},
|
|
{"Annual Standard Deviation", "0.246"},
|
|
{"Annual Variance", "0.061"},
|
|
{"Information Ratio", "0.126"},
|
|
{"Tracking Error", "0.163"},
|
|
{"Treynor Ratio", "0.12"},
|
|
{"Total Fees", "$122.78"},
|
|
{"Estimated Strategy Capacity", "$370000000.00"},
|
|
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
|
{"Portfolio Turnover", "17.55%"},
|
|
{"OrderListHash", "7bf3020a7da8a4acd6b71025281161d9"}
|
|
};
|
|
}
|
|
}
|