Colton Sellers
c11a09e08a
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Activate Index and IndexOptions low res * Add Index and IndexOption low res data * Add IndexOption regressions * Fix bug with IndexOption QuoteBar data not being scaled * nit - update comment for _scaleFactor * Update data and regressions to reflect fix in data * Tweak regressions
73 lines
3.1 KiB
C#
73 lines
3.1 KiB
C#
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression for running an Index algorithm with Hourly data
|
|
/// </summary>
|
|
public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorithm
|
|
{
|
|
protected override Resolution Resolution => Resolution.Hour;
|
|
protected override int ExpectedBarCount => 96;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public override bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public override Language[] Languages { get; } = { Language.CSharp };
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Trades", "70"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "-0.23%"},
|
|
{"Compounding Annual Return", "-82.001%"},
|
|
{"Drawdown", "8.000%"},
|
|
{"Expectancy", "-1"},
|
|
{"Net Profit", "-7.983%"},
|
|
{"Sharpe Ratio", "-3.028"},
|
|
{"Probabilistic Sharpe Ratio", "0.000%"},
|
|
{"Loss Rate", "100%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "-0.71"},
|
|
{"Beta", "0.115"},
|
|
{"Annual Standard Deviation", "0.231"},
|
|
{"Annual Variance", "0.054"},
|
|
{"Information Ratio", "-3.152"},
|
|
{"Tracking Error", "0.248"},
|
|
{"Treynor Ratio", "-6.094"},
|
|
{"Total Fees", "$0.00"},
|
|
{"Estimated Strategy Capacity", "$310000.00"},
|
|
{"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
|
|
{"Fitness Score", "0.029"},
|
|
{"Kelly Criterion Estimate", "0"},
|
|
{"Kelly Criterion Probability Value", "0"},
|
|
{"Sortino Ratio", "-2.73"},
|
|
{"Return Over Maximum Drawdown", "-10.335"},
|
|
{"Portfolio Turnover", "0.301"},
|
|
{"Total Insights Generated", "0"},
|
|
{"Total Insights Closed", "0"},
|
|
{"Total Insights Analysis Completed", "0"},
|
|
{"Long Insight Count", "0"},
|
|
{"Short Insight Count", "0"},
|
|
{"Long/Short Ratio", "100%"},
|
|
{"Estimated Monthly Alpha Value", "$0"},
|
|
{"Total Accumulated Estimated Alpha Value", "$0"},
|
|
{"Mean Population Estimated Insight Value", "$0"},
|
|
{"Mean Population Direction", "0%"},
|
|
{"Mean Population Magnitude", "0%"},
|
|
{"Rolling Averaged Population Direction", "0%"},
|
|
{"Rolling Averaged Population Magnitude", "0%"},
|
|
{"OrderListHash", "37beb84dea22dc720bb08a9ab057b484"}
|
|
};
|
|
}
|
|
}
|