Juan José D'Ambrosio
132 lines
5.1 KiB
C#
132 lines
5.1 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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using System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Algorithm used for regression tests purposes
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/// </summary>
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/// <meta name="tag" content="regression test" />
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public class RegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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SetCash(10000000);
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// Find more symbols here: http://quantconnect.com/data
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Tick);
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AddSecurity(SecurityType.Equity, "BAC", Resolution.Minute);
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AddSecurity(SecurityType.Equity, "AIG", Resolution.Hour);
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AddSecurity(SecurityType.Equity, "IBM", Resolution.Daily);
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}
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private DateTime lastTradeTradeBars;
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private DateTime lastTradeTicks;
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private TimeSpan tradeEvery = TimeSpan.FromMinutes(1);
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public void OnData(Slice data)
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{
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if (Time - lastTradeTradeBars < tradeEvery) return;
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lastTradeTradeBars = Time;
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foreach (var kvp in data.Bars)
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{
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var symbol = kvp.Key;
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var bar = kvp.Value;
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if (bar.Time.RoundDown(bar.Period) != bar.Time)
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{
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// only trade on new data
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continue;
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}
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var holdings = Portfolio[symbol];
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if (!holdings.Invested)
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{
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MarketOrder(symbol, 10);
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}
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else
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{
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MarketOrder(symbol, -holdings.Quantity);
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}
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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 if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = 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 Language[] Languages { get; } = { Language.CSharp, Language.Python };
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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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "1638"},
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{"Average Win", "0.00%"},
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{"Average Loss", "0.00%"},
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{"Compounding Annual Return", "-1.204%"},
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{"Drawdown", "0.000%"},
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{"Expectancy", "-0.972"},
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{"Net Profit", "-0.017%"},
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{"Sharpe Ratio", "-8.771"},
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{"Probabilistic Sharpe Ratio", "0.002%"},
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{"Loss Rate", "99%"},
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{"Win Rate", "1%"},
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{"Profit-Loss Ratio", "3.51"},
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{"Alpha", "-0.006"},
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{"Beta", "-0.001"},
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{"Annual Standard Deviation", "0.001"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-4.5"},
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{"Tracking Error", "0.193"},
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{"Treynor Ratio", "7.606"},
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{"Total Fees", "$1638.00"},
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{"Fitness Score", "0"},
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{"Kelly Criterion Estimate", "60.719"},
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{"Kelly Criterion Probability Value", "0.026"},
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{"Sortino Ratio", "-15.512"},
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{"Return Over Maximum Drawdown", "-72.565"},
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{"Portfolio Turnover", "0.021"},
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{"Total Insights Generated", "1638"},
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{"Total Insights Closed", "1635"},
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{"Total Insights Analysis Completed", "1635"},
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{"Long Insight Count", "818"},
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{"Short Insight Count", "3"},
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{"Long/Short Ratio", "27266.67%"},
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{"Estimated Monthly Alpha Value", "$1435679.3912"},
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{"Total Accumulated Estimated Alpha Value", "$247255.8952"},
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{"Mean Population Estimated Insight Value", "$151.2268"},
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{"Mean Population Direction", "7.0894%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "2.5872%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "-2129865458"}
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};
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}
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}
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