Martin-Molinero
bbbab6d9a8
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* Refactor alpha statistics - Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring - Adding new InsightEvaluator abstraction, adding C# & PY regression algorithms * Optimization backtest result json converter update * Address reviews - Remove IAlphaHandler, move insight storage responsability to IResultHandler and centralizing insight collection on the QCAlgorithm.Insights to be reused by the framework models - Fix portfolio turnover single day backtests and duplicate time sampling handling. Updating regression algorithms * Add InsightCollection tests and minor fixes * Adding more & improved tests
82 lines
3.1 KiB
C#
82 lines
3.1 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.Collections.Generic;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm exercising an equity covered American style option, using an option price model that does not support American style options and asserting that the option price model is not used.
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/// </summary>
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public class OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm : OptionPriceModelForOptionStylesBaseRegressionAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2014, 6, 9);
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SetEndDate(2014, 6, 9);
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var option = AddOption("AAPL", Resolution.Minute);
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// BlackSholes model does not support American style options
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option.PriceModel = OptionPriceModels.BlackScholes();
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SetWarmup(2, Resolution.Daily);
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Init(option, optionStyleIsSupported: false);
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}
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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 => 866464;
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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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/// 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 Trades", "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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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"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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