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>
76 lines
2.8 KiB
C#
76 lines
2.8 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.Alphas;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to assert the behavior of <see cref="MacdAlphaModel"/>.
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/// </summary>
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public class MacdAlphaModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
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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 MacdAlphaModel());
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}
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public override void OnEndOfAlgorithm()
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{
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const int expected = 4;
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if (Insights.TotalCount != expected)
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{
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throw new Exception($"The total number of insights should be {expected}. Actual: {Insights.TotalCount}");
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}
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}
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public override int AlgorithmHistoryDataPoints => 136;
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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", "30"},
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{"Average Win", "0.38%"},
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{"Average Loss", "-0.53%"},
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{"Compounding Annual Return", "37.545%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "0.350"},
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{"Net Profit", "2.655%"},
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{"Sharpe Ratio", "3.915"},
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{"Probabilistic Sharpe Ratio", "81.718%"},
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{"Loss Rate", "21%"},
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{"Win Rate", "79%"},
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{"Profit-Loss Ratio", "0.72"},
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{"Alpha", "0.334"},
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{"Beta", "-0.438"},
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{"Annual Standard Deviation", "0.064"},
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{"Annual Variance", "0.004"},
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{"Information Ratio", "0.649"},
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{"Tracking Error", "0.092"},
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{"Treynor Ratio", "-0.573"},
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{"Total Fees", "$66.72"},
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{"Estimated Strategy Capacity", "$7400000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "16.13%"},
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{"OrderListHash", "f51645e41a41477c9a193bdab615e74d"}
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};
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}
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}
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