Ricardo Andrés Marino Rojas
b4bad69772
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* First attempt to solve the bug * Enhance implementation * Enhance implementation * Simplify implementation * Rebase regression stats * Solve unit test bugs * Review * Update Rolling.Sharpe() method * Update regression stats * Update unit tests * Update missing regression algos * Update Rolling.cs --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
80 lines
3.1 KiB
C#
80 lines
3.1 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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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Future;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to add futures with daily resolution and extended market hours.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="benchmarks" />
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/// <meta name="tag" content="futures" />
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public class BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplateFuturesDailyAlgorithm
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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 => 16247;
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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", "152"},
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{"Average Win", "0.09%"},
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{"Average Loss", "-0.01%"},
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{"Compounding Annual Return", "-0.644%"},
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{"Drawdown", "0.600%"},
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{"Expectancy", "-0.872"},
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{"Net Profit", "-0.649%"},
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{"Sharpe Ratio", "-6.343"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "99%"},
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{"Win Rate", "1%"},
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{"Profit-Loss Ratio", "8.76"},
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{"Alpha", "-0.012"},
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{"Beta", "-0.001"},
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{"Annual Standard Deviation", "0.002"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-1.409"},
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{"Tracking Error", "0.089"},
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{"Treynor Ratio", "10.18"},
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{"Total Fees", "$338.96"},
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{"Estimated Strategy Capacity", "$1000.00"},
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{"Lowest Capacity Asset", "ES VRJST036ZY0X"},
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{"Portfolio Turnover", "4.07%"},
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{"OrderListHash", "e2d7f858dcad2d760f776bec1065b2f1"}
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};
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}
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}
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