Alexandre Catarino
761ea2571a
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* Adds BaseAlphaModelFrameworkRegressionAlgorithm `BaseAlphaModelFrameworkRegressionAlgorithm` will be used to validate Alpha Model regression algorithm with the same universe. - HistoricalReturnsAlphaModelFrameworkAlgorithm - EmaCrossAlphaModelFrameworkAlgorithm - MacdAlphaModelFrameworkAlgorithm - RsiAlphaModelFrameworkAlgorithm - BasePairsTradingAlphaModelFrameworkAlgorithm * Addresses Peer-Review
64 lines
2.5 KiB
C#
64 lines
2.5 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.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Alphas;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Framework algorithm that uses the <see cref="EmaCrossAlphaModel"/>.
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/// </summary>
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public class EmaCrossAlphaModelFrameworkAlgorithm : BaseAlphaModelFrameworkRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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SetAlpha(new EmaCrossAlphaModel());
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}
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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()
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{
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{ "Total Trades", "12" },
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{ "Average Win", "0.37%" },
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{ "Average Loss", "-0.15%" },
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{ "Compounding Annual Return", "0.081%" },
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{ "Drawdown", "1.900%" },
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{ "Expectancy", "0.001" },
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{ "Net Profit", "0.001%" },
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{ "Sharpe Ratio", "1.25" },
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{ "Probabilistic Sharpe Ratio", "50.694%" },
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{ "Loss Rate", "71%" },
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{ "Win Rate", "29%" },
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{ "Profit-Loss Ratio", "2.50" },
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{ "Alpha", "-1.023" },
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{ "Beta", "0.607" },
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{ "Annual Standard Deviation", "0.144" },
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{ "Annual Variance", "0.021" },
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{ "Information Ratio", "-18.002" },
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{ "Tracking Error", "0.1" },
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{ "Treynor Ratio", "0.296" },
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{ "Total Fees", "$20.20" },
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{ "Estimated Strategy Capacity", "$4800000.00" },
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{ "Lowest Capacity Asset", "AIG R735QTJ8XC9X" },
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{ "Portfolio Turnover", "53.84%" },
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{ "OrderListHash", "98ea2f4cdd1627b817fdba3f2087284b" }
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};
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}
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}
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