Alexandre Catarino
2a6771c1c0
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* Adds Regression Test The new regression test asserts that the total trades is 2. * Fixes Liquidate Existing Holdings Bug Liquidate existing holdings before open new postions. * Addresses Peer-Review
89 lines
3.8 KiB
C#
89 lines
3.8 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.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm testing GH feature 3790, using SetHoldings with a collection of targets
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/// which will be ordered by margin impact before being executed, with the objective of avoiding any
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/// margin errors
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/// Asserts that liquidateExistingHoldings equal false does not close positions inadvertedly (GH 7008)
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/// </summary>
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public class SetHoldingsLiquidateExistingHoldingsMultipleTargetsRegressionAlgorithm : SetHoldingsMultipleTargetsRegressionAlgorithm
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{
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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested)
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{
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SetHoldings(new List<PortfolioTarget> { new("SPY", 0.8m), new("IBM", 0.2m) },
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liquidateExistingHoldings: true);
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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()
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{
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{"Total Trades", "2"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "300.863%"},
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{"Drawdown", "2.100%"},
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{"Expectancy", "0"},
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{"Net Profit", "1.791%"},
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{"Sharpe Ratio", "9.78"},
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{"Probabilistic Sharpe Ratio", "67.282%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0.21"},
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{"Beta", "0.995"},
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{"Annual Standard Deviation", "0.223"},
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{"Annual Variance", "0.05"},
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{"Information Ratio", "7.104"},
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{"Tracking Error", "0.028"},
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{"Treynor Ratio", "2.194"},
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{"Total Fees", "$3.76"},
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{"Estimated Strategy Capacity", "$40000000.00"},
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{"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
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{"Fitness Score", "0.246"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "10.452"},
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{"Return Over Maximum Drawdown", "111.348"},
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{"Portfolio Turnover", "0.249"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "4897db8b98ab7b556f1cb2e4b7757238"}
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};
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}
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}
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