Jhonathan Abreu
021e507ef0
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* Fix: properly adjust prices after a split * Minor fixes * Minor: Adjust cached data on split * Minor change * Expand regression algorithms assertions
68 lines
2.7 KiB
C#
68 lines
2.7 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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/// Regression algorithm asserting that the current price of the security is adjusted after a split.
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/// Specific for daily resolution.
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/// </summary>
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public class EquitySplitHoldingsDailyRegressionAlgorithm : EquitySplitHoldingsMinuteRegressionAlgorithm
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{
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protected override Resolution Resolution => Resolution.Daily;
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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 => 51;
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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", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "-58.177%"},
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{"Drawdown", "2.200%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "98342.10"},
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{"Net Profit", "-1.658%"},
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{"Sharpe Ratio", "-3.992"},
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{"Sortino Ratio", "-4.263"},
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{"Probabilistic Sharpe Ratio", "11.588%"},
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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", "-0.447"},
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{"Beta", "-0.255"},
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{"Annual Standard Deviation", "0.118"},
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{"Annual Variance", "0.014"},
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{"Information Ratio", "-4.413"},
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{"Tracking Error", "0.129"},
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{"Treynor Ratio", "1.854"},
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{"Total Fees", "$1.00"},
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{"Estimated Strategy Capacity", "$280000000.00"},
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{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
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{"Portfolio Turnover", "14.24%"},
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{"OrderListHash", "459f761c23b79553705da7bed8807937"}
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};
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}
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}
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