Ricardo Andrés Marino Rojas
b4bad69772
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* First attempt to solve the bug * Enhance implementation * Enhance implementation * Simplify implementation * Rebase regression stats * Solve unit test bugs * Review * Update Rolling.Sharpe() method * Update regression stats * Update unit tests * Update missing regression algos * Update Rolling.cs --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
80 lines
3.1 KiB
C#
80 lines
3.1 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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*/
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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 for running an IndexOptions algorithm with Hourly data
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/// </summary>
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public class BasicTemplateIndexOptionsHourlyAlgorithm : BasicTemplateIndexOptionsDailyAlgorithm
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{
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protected override Resolution Resolution => Resolution.Hour;
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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 override 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 override Language[] Languages { get; } = { Language.CSharp };
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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 => 2143;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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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", "72"},
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{"Average Win", "0.00%"},
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{"Average Loss", "0.00%"},
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{"Compounding Annual Return", "-0.006%"},
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{"Drawdown", "0.000%"},
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{"Expectancy", "-0.486"},
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{"Net Profit", "0.000%"},
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{"Sharpe Ratio", "-101.77"},
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{"Probabilistic Sharpe Ratio", "17.439%"},
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{"Loss Rate", "97%"},
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{"Win Rate", "3%"},
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{"Profit-Loss Ratio", "17.50"},
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{"Alpha", "-0.003"},
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{"Beta", "-0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-0.449"},
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{"Tracking Error", "0.138"},
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{"Treynor Ratio", "116.921"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
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{"Portfolio Turnover", "0.00%"},
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{"OrderListHash", "0df3713aeb32e9c0738200f2a109e2f9"}
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};
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}
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}
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