quantconnect--lean/Algorithm.CSharp/MarginRemainingRegressionAlgorithm.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This regression algorithm reproduces GH issue 3763 (performing just 1 trade)
    /// </summary>
    public class MarginRemainingRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private Symbol _spy;
        private Security _appl;

        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2007, 1, 1);
            SetEndDate(2010, 1, 1);

            _spy = AddEquity("SPY", Resolution.Daily, leverage: 1).Symbol;
            _appl = AddEquity("AAPL", Resolution.Daily, leverage: 1);

            Schedule.On(DateRules.EveryDay(), TimeRules.Noon, () =>
            {
                Plot("Info", "Portfolio.MarginRemaining", Portfolio.MarginRemaining);
                Plot("Info", "Portfolio.Cash", Portfolio.Cash);
            });
        }

        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                // 70% SPY
                SetHoldings(_spy, 0.7);
                Debug("Purchased Stock SPY");
            }

            if (Portfolio.MarginRemaining <= 0)
            {
                throw new Exception($"Unexpected margin remaining value {Portfolio.MarginRemaining}");
            }

            // in the 2009 dip buy AAPL
            if (Time.Year == 2009 && !_appl.Invested)
            {
                // 30% SPY
                SetHoldings(_appl.Symbol, 0.3);
                Debug("Purchased Stock AAPL");
            }
        }

        /// <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 bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public 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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Trades", "2"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "7.036%"},
            {"Drawdown", "40.400%"},
            {"Expectancy", "0"},
            {"Net Profit", "22.649%"},
            {"Sharpe Ratio", "0.401"},
            {"Probabilistic Sharpe Ratio", "11.998%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0.076"},
            {"Beta", "-0.082"},
            {"Annual Standard Deviation", "0.193"},
            {"Annual Variance", "0.037"},
            {"Information Ratio", "0.266"},
            {"Tracking Error", "0.341"},
            {"Treynor Ratio", "-0.941"},
            {"Total Fees", "$47.00"},
            {"Estimated Strategy Capacity", "$100000000.00"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
            {"Fitness Score", "0"},
            {"Kelly Criterion Estimate", "0"},
            {"Kelly Criterion Probability Value", "0"},
            {"Sortino Ratio", "0.45"},
            {"Return Over Maximum Drawdown", "0.174"},
            {"Portfolio Turnover", "0.001"},
            {"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", "70f9858c12e7f88c1781cb8c2d8a4780"}
        };
    }
}