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
80 lines
3.2 KiB
C#
80 lines
3.2 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.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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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="MaximumDrawdownPercentPortfolio"/> Risk Management Model
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/// </summary>
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public class MaximumDrawdownPercentPortfolioFrameworkRegressionAlgorithm : 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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SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA)));
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// define risk management model as a composite of several risk management models
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SetRiskManagement(new CompositeRiskManagementModel(
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new MaximumDrawdownPercentPortfolio(0.01m), // Avoid loss of initial capital
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new MaximumDrawdownPercentPortfolio(0.015m, true) // Avoid profit losses
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));
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}
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public override void OnEndOfAlgorithm()
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{
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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 => 304;
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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", "8"},
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{"Average Win", "2.43%"},
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{"Average Loss", "-1.45%"},
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{"Compounding Annual Return", "12.322%"},
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{"Drawdown", "6.000%"},
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{"Expectancy", "-0.109"},
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{"Net Profit", "0.949%"},
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{"Sharpe Ratio", "0.834"},
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{"Probabilistic Sharpe Ratio", "47.313%"},
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{"Loss Rate", "67%"},
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{"Win Rate", "33%"},
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{"Profit-Loss Ratio", "1.67"},
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{"Alpha", "-0.065"},
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{"Beta", "0.79"},
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{"Annual Standard Deviation", "0.11"},
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{"Annual Variance", "0.012"},
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{"Information Ratio", "-1.027"},
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{"Tracking Error", "0.104"},
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{"Treynor Ratio", "0.116"},
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{"Total Fees", "$35.09"},
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{"Estimated Strategy Capacity", "$35000000.00"},
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{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
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{"Portfolio Turnover", "23.27%"},
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{"OrderListHash", "b4ded74daedcb4bb12b65d6743f1300f"}
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};
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}
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}
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