Ricardo Andrés Marino Rojas
b4bad69772
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* First attempt to solve the bug * Enhance implementation * Enhance implementation * Simplify implementation * Rebase regression stats * Solve unit test bugs * Review * Update Rolling.Sharpe() method * Update regression stats * Update unit tests * Update missing regression algos * Update Rolling.cs --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
61 lines
2.4 KiB
C#
61 lines
2.4 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 NUnit.Framework;
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using System.Collections.Generic;
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namespace QuantConnect.Tests.Common
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{
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[TestFixture]
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public class PythonSliceGetByTypeTests
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{
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[Test]
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public void RunPythonSliceGetByTypeRegressionAlgorithm()
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{
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var parameter = new RegressionTests.AlgorithmStatisticsTestParameters("SliceGetByTypeRegressionAlgorithm",
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new Dictionary<string, string> {
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{"Total Trades", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "284.284%"},
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{"Drawdown", "2.200%"},
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{"Expectancy", "0"},
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{"Net Profit", "1.736%"},
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{"Sharpe Ratio", "8.86"},
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{"Probabilistic Sharpe Ratio", "67.609%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.004"},
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{"Beta", "0.997"},
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{"Annual Standard Deviation", "0.222"},
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{"Annual Variance", "0.049"},
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{"Information Ratio", "-14.547"},
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{"Tracking Error", "0.001"},
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{"Treynor Ratio", "1.972"},
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{"Total Fees", "$3.45"},
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{"OrderListHash", "46d026d39478ff13853319c2f891af39"}
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},
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Language.Python,
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AlgorithmStatus.Completed);
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AlgorithmRunner.RunLocalBacktest(parameter.Algorithm,
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parameter.Statistics,
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parameter.Language,
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parameter.ExpectedFinalStatus);
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}
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}
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}
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