Martin-Molinero
7540af454c
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Respect warmup resolution given - The data feed will respect the warmup resolution given and override the resolution used by the algorithm when adding a subscription. Updating regression algorithm to keep previous statistics. Adding new regression algorithm asserting the desired behavior * Testing improvements - Add more unit tests and regresion test - Add missing data for crypto - Fix bug with FFed data crossing after the end time of the warmup request * Add more Warmup resolution regression algorithms - Adding more warmup resolution regression algorithms, using Settings.WarmupResolution and an option selection case * Add more warmup regression tests - Adding more warmup regression tests. - Will no longer skip universe selection subscriptions from warmup resolution enforcement. Updating regression algorithms data points * Fix bug with data rounding - Fix data rounding bug when warmup resolution is set to a different value than the original configuration. Updating regression algorithms to assert the expected behavior * Address reviews - Revert regression algorithms changes to use Resolution during warmup. Updating their stats. - Adding new regression algorithms asserting the behavior warming up using a timespan and no warmup resolution - Fix bug where data used to warmup the 'normal' enumerator will make it through into the warmup time span. Updating tests * Address reviews - Add missing comments, explaning warmup algorithms time span calculations. - Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm` to reduce diff to minimum - Adding new warmup unit tests asseting algorithm warmup start time, for different combinations of bar count, timespan, resolution
101 lines
4.1 KiB
C#
101 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;
|
|
using QuantConnect.Securities.Option;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm excersizing an equity covered American style option, using an option price model
|
|
/// that supports American style options and asserting that the option price model is used.
|
|
/// </summary>
|
|
public class OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm : OptionPriceModelForOptionStylesBaseRegressionAlgorithm
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2014, 6, 9);
|
|
SetEndDate(2014, 6, 9);
|
|
|
|
var option = AddOption("AAPL", Resolution.Minute);
|
|
// BaroneAdesiWhaley model supports American style options
|
|
option.PriceModel = OptionPriceModels.BaroneAdesiWhaley();
|
|
|
|
SetWarmup(2, Resolution.Daily);
|
|
|
|
Init(option, optionStyleIsSupported: true);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public override long DataPoints => 861931;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public override int AlgorithmHistoryDataPoints => 0;
|
|
|
|
/// <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", "0"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "0%"},
|
|
{"Compounding Annual Return", "0%"},
|
|
{"Drawdown", "0%"},
|
|
{"Expectancy", "0"},
|
|
{"Net Profit", "0%"},
|
|
{"Sharpe Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0"},
|
|
{"Beta", "0"},
|
|
{"Annual Standard Deviation", "0"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "0"},
|
|
{"Tracking Error", "0"},
|
|
{"Treynor Ratio", "0"},
|
|
{"Total Fees", "$0.00"},
|
|
{"Estimated Strategy Capacity", "$0"},
|
|
{"Lowest Capacity Asset", ""},
|
|
{"Fitness Score", "0"},
|
|
{"Kelly Criterion Estimate", "0"},
|
|
{"Kelly Criterion Probability Value", "0"},
|
|
{"Sortino Ratio", "79228162514264337593543950335"},
|
|
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
|
{"Portfolio Turnover", "0"},
|
|
{"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", "d41d8cd98f00b204e9800998ecf8427e"}
|
|
};
|
|
}
|
|
}
|