Alexandre Catarino
3b2e165254
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* Renames and Updates BaseAlphaModelFrameworkRegressionAlgorithm The `BaseFrameworkRegressionAlgorithm ` will be used for multiple framework regression tests * Updates and Renames EmaCrossAlphaModelFrameworkAlgorithm Adds "Regression" to inform that it's a regression algorithm. * Updates and Renames MaximumPortfolioDrawdownFrameworkAlgorithm Adds "Regression" to inform that it's a regression algorithm, and use the model name: `MaximumDrawdownPercentPortfolio` * Adds New Regression Algorithms
70 lines
2.6 KiB
C#
70 lines
2.6 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.Algorithm.Framework.Alphas;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to assert the behavior of <see cref="MacdAlphaModel"/>.
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/// </summary>
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public class MacdAlphaModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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SetAlpha(new MacdAlphaModel());
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}
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public override void OnEndOfAlgorithm()
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{
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}
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public override int AlgorithmHistoryDataPoints => 136;
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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()
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{
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{"Total Trades", "38"},
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{"Average Win", "0.35%"},
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{"Average Loss", "-0.09%"},
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{"Compounding Annual Return", "66.292%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "2.541"},
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{"Net Profit", "4.269%"},
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{"Sharpe Ratio", "6.944"},
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{"Probabilistic Sharpe Ratio", "94.826%"},
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{"Loss Rate", "28%"},
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{"Win Rate", "72%"},
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{"Profit-Loss Ratio", "3.90"},
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{"Alpha", "0.498"},
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{"Beta", "-0.288"},
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{"Annual Standard Deviation", "0.063"},
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{"Annual Variance", "0.004"},
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{"Information Ratio", "2.763"},
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{"Tracking Error", "0.088"},
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{"Treynor Ratio", "-1.528"},
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{"Total Fees", "$75.55"},
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{"Estimated Strategy Capacity", "$4900000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "16.21%"},
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{"OrderListHash", "fa61d8c4f00c03bddfef5a33c8c3aa4c"}
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};
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}
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}
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