Jhonathan Abreu
4415468d96
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* Update CME futures market hours * Update regression algorithms stats * Update regression algorithms stats * Update expected values in unit tests * Additional mhdb updates * Update mhdb
96 lines
4.0 KiB
C#
96 lines
4.0 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.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Basic template futures framework algorithm uses framework components to define an algorithm
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/// that trades futures.
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/// </summary>
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public class BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm : BasicTemplateFuturesFrameworkAlgorithm
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{
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protected override bool ExtendedMarketHours => 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, Language.Python };
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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 => 123753;
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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%"},
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{"Compounding Annual Return", "-92.667%"},
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{"Drawdown", "5.000%"},
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{"Expectancy", "0"},
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{"Net Profit", "-3.314%"},
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{"Sharpe Ratio", "-6.303"},
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{"Probabilistic Sharpe Ratio", "9.333%"},
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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", "-1.465"},
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{"Beta", "0.312"},
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{"Annual Standard Deviation", "0.134"},
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{"Annual Variance", "0.018"},
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{"Information Ratio", "-14.77"},
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{"Tracking Error", "0.192"},
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{"Treynor Ratio", "-2.718"},
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{"Total Fees", "$4.62"},
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{"Estimated Strategy Capacity", "$52000000.00"},
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{"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
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{"Fitness Score", "0.009"},
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{"Kelly Criterion Estimate", "-112.972"},
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{"Kelly Criterion Probability Value", "0.671"},
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{"Sortino Ratio", "-8.421"},
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{"Return Over Maximum Drawdown", "-35.2"},
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{"Portfolio Turnover", "0.548"},
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{"Total Insights Generated", "6"},
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{"Total Insights Closed", "5"},
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{"Total Insights Analysis Completed", "5"},
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{"Long Insight Count", "6"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$-96.12923"},
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{"Total Accumulated Estimated Alpha Value", "$-15.621"},
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{"Mean Population Estimated Insight Value", "$-3.1242"},
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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", "18ffd3a774c68da83d867e3b09e3e05d"}
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};
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}
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}
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