Ronit Jain
d1ff914e5a
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
83 lines
3.4 KiB
C#
83 lines
3.4 KiB
C#
using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression for running an Index algorithm with Hourly data
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/// </summary>
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public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorithm
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{
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protected override Resolution Resolution => Resolution.Hour;
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protected override int ExpectedBarCount => base.ExpectedBarCount * 8;
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public override bool CanRunLocally { get; } = 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 };
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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 => 408;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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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", "70"},
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{"Average Win", "0%"},
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{"Average Loss", "-0.23%"},
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{"Compounding Annual Return", "-34.441%"},
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{"Drawdown", "2.000%"},
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{"Expectancy", "-1"},
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{"Net Profit", "-2.028%"},
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{"Sharpe Ratio", "-11.139"},
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{"Probabilistic Sharpe Ratio", "0.000%"},
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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", "-0.269"},
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{"Beta", "0.086"},
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{"Annual Standard Deviation", "0.023"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-3.624"},
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{"Tracking Error", "0.094"},
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{"Treynor Ratio", "-3.042"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$310000.00"},
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{"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
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{"Fitness Score", "0.002"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "-14.51"},
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{"Return Over Maximum Drawdown", "-17.213"},
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{"Portfolio Turnover", "0.299"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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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", "3eb56c551f20e2ffa1c56c47c5ee6667"}
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};
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}
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}
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