JosueNina
7008d17714
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* Implement a prototype of the maximum recovery time function. * Add unit test skeletons. * Add failing test * Issue #4581: Implement MaxDrawdownRecoveryTime. * Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value * Issue 4581: Fix bgu for when lDrawdowns list is empty. * Issue 4581: Change names of tests. Change name of file. * Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns. * Issue 4581: Add multiple unit tests. * Issue #4581: Change name of unit test * Issue #4581: Add to PerformanceMetrics * Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class. * Issue #4581: Add to portolfio statistics class. * Issue #4581: Add to statistics builder. * Issue #4581: Add report key. * Case #4581: Convert to decimal. * Issue #4581: Correct comment. * Issue #4581: Correct performance metrics view model string. * Case #4581: Correct statistics builder view model string..again. * Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff. * Issue #4581: Add 2 new tests. * Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported. * Issue #4581: Add unit test. * Issue #4581: Remove reportkey. Change dto name. * Issue #4581: Change summary. * Issue #4581: Change comment. * Add max drawdown recovery calculation with unit tests * Update regression algorithms with the new metric * Solve review comments * Update regression algorithms * Add TryGet to safely get the key: MaximumDrawdownRecovery * Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json * Revert changes in Messaging * Update regression algorithms * Add test case: TakesLongestRecoveryAmongMultipleDrawdowns * Use integer days for MaximumDrawdownRecovery * Add MaximumDrawdownRecoveryReportElement * Use more explicit names * Rename files and variables for consistency * Update regression algorithms --------- Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
82 lines
3.2 KiB
C#
82 lines
3.2 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.Portfolio;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting setting a free portfolio value disabled trailing behavior, see GH issue #4104
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/// </summary>
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public class FreePortfolioValueFixedRegressionAlgorithm : FreePortfolioValueRegressionAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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base.Initialize();
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Settings.FreePortfolioValue = 500;
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}
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public override void OnEndOfAlgorithm()
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{
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var freePortfolioValue = Portfolio.TotalPortfolioValue - Portfolio.TotalPortfolioValueLessFreeBuffer;
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if (freePortfolioValue != 500)
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{
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throw new RegressionTestException($"Unexpected FreePortfolioValue value: {freePortfolioValue}");
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}
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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 Dictionary<string, string>
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{
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{"Total Orders", "2"},
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{"Average Win", "0%"},
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{"Average Loss", "0.00%"},
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{"Compounding Annual Return", "8.184%"},
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{"Drawdown", "55.100%"},
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{"Expectancy", "-1"},
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{"Start Equity", "1000000"},
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{"End Equity", "2256717.28"},
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{"Net Profit", "125.672%"},
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{"Sharpe Ratio", "0.36"},
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{"Sortino Ratio", "0.365"},
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{"Probabilistic Sharpe Ratio", "1.163%"},
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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"},
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{"Beta", "0.999"},
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{"Annual Standard Deviation", "0.164"},
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{"Annual Variance", "0.027"},
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{"Information Ratio", "-0.088"},
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{"Tracking Error", "0.001"},
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{"Treynor Ratio", "0.059"},
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{"Total Fees", "$43.54"},
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{"Estimated Strategy Capacity", "$800000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.03%"},
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{"Drawdown Recovery", "1772"},
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{"OrderListHash", "35a80cea61c70c130ca87efeaa06cee6"}
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};
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}
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}
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