Martin-Molinero
3410832ccf
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Alpha holdings state - Alpha result packet will optionally provide the algorithms portfolio state * Rename * Convert AlphaStreamsPortfolio to data source * Improvements on AlphaStreams algorithm * Fix regression tests * Add unit tests for EW AS PCM and fixing bugs * Protobuf AlphaStreamsPortfoliot staState - Protobuf AlphaStreamsPortfolioState. Adding unit tests - Add variable TPV tests for EW ASPCM * Add alpha license to Organization response * Improvements EW AS PCM respects free portfolio value * Fixes - Update tests expected statistics results affected by MHDB custom data timezone fix - Fix for Extensions.IsCustomDataType * Fixed and adding more regression tests - Adding support and regression test with alpha consumer with different account currency - Adding support and regression test of a universe adding custom data types - Add support and regression test for algorithm alpha consumer with existing holdings * Add AlphaStreamsOrderEvent data type
94 lines
4.1 KiB
C#
94 lines
4.1 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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Example algorithm with existing holdings consuming an alpha streams portfolio state and trading based on it
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/// </summary>
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public class AlphaStreamsDifferentAccountCurrencyBasicTemplateAlgorithm : AlphaStreamsWithHoldingsBasicTemplateAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetAccountCurrency("EUR");
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base.Initialize();
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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 };
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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", "2"},
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{"Average Win", "0%"},
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{"Average Loss", "-0.84%"},
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{"Compounding Annual Return", "-78.502%"},
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{"Drawdown", "3.100%"},
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{"Expectancy", "-1"},
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{"Net Profit", "-1.134%"},
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{"Sharpe Ratio", "-2.456"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "100%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0.008"},
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{"Beta", "1.012"},
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{"Annual Standard Deviation", "0.343"},
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{"Annual Variance", "0.117"},
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{"Information Ratio", "-0.57"},
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{"Tracking Error", "0.004"},
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{"Treynor Ratio", "-0.831"},
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{"Total Fees", "$2.89"},
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{"Estimated Strategy Capacity", "$8900000000.00"},
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{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
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{"Fitness Score", "0.506"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0.506"},
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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", "a9dd0a0ab6070455479d1b9caaa4e69c"}
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};
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}
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}
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