Martin-Molinero
95739b8a58
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* Increase option strike digits precision to 6 - Increase option strike digits precision to 6. Adding unit test * test:fix: couple of build tests * fix:test: Asset CUSIP and OrderListHash in Regression Algorithms * test:fix: several regression algos * test:fix: old Symbol CUSIPs to new ones --------- Co-authored-by: Romazes <romazes20@gmail.com>
74 lines
2.8 KiB
C#
74 lines
2.8 KiB
C#
using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression for running an Index algorithm with Hourly data
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/// </summary>
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public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorithm
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{
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protected override Resolution Resolution => Resolution.Hour;
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protected override int ExpectedBarCount => base.ExpectedBarCount * 8;
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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 override 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 override List<Language> Languages { get; } = new() { Language.CSharp };
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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 => 401;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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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", "81"},
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{"Average Win", "1.28%"},
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{"Average Loss", "-0.06%"},
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{"Compounding Annual Return", "-20.546%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "-0.402"},
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{"Start Equity", "1000000"},
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{"End Equity", "990775"},
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{"Net Profit", "-0.922%"},
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{"Sharpe Ratio", "-2.903"},
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{"Sortino Ratio", "-6.081"},
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{"Probabilistic Sharpe Ratio", "22.230%"},
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{"Loss Rate", "97%"},
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{"Win Rate", "3%"},
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{"Profit-Loss Ratio", "19.95"},
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{"Alpha", "-0.157"},
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{"Beta", "0.025"},
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{"Annual Standard Deviation", "0.053"},
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{"Annual Variance", "0.003"},
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{"Information Ratio", "-2.07"},
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{"Tracking Error", "0.121"},
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{"Treynor Ratio", "-6.189"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$300000.00"},
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{"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
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{"Portfolio Turnover", "24.63%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "7bc05310e971f09b0663bc380fdfee80"}
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};
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}
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}
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