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>
98 lines
3.7 KiB
C#
98 lines
3.7 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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*/
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using System.Collections.Generic;
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using QuantConnect.Securities.Option;
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using QuantConnect.Orders.OptionExercise;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting we can specify a custom option exercise model
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/// </summary>
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public class CustomOptionExerciseModelRegressionAlgorithm : OptionAssignmentRegressionAlgorithm
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{
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public override void Initialize()
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{
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SetSecurityInitializer((security) =>
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{
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var option = security as Option;
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option?.SetOptionExerciseModel(new CustomOptionExerciseModel());
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});
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base.Initialize();
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}
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private class CustomOptionExerciseModel : DefaultExerciseModel
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{
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public override IEnumerable<OrderEvent> OptionExercise(Option option, OptionExerciseOrder order)
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{
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yield return new OrderEvent(order.Id,
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option.Symbol,
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option.LocalTime.ConvertToUtc(option.Exchange.TimeZone),
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OrderStatus.Filled,
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Extensions.GetOrderDirection(order.Quantity),
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0.0m,
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order.Quantity,
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OrderFee.Zero,
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"Tag")
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{
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IsAssignment = false
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};
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}
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}
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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, Language.Python };
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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", "32"},
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{"Average Win", "6.14%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "26116903817855100000000000000%"},
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{"Drawdown", "0.500%"},
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{"Expectancy", "0"},
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{"Net Profit", "157.114%"},
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{"Sharpe Ratio", "107.743"},
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{"Probabilistic Sharpe Ratio", "95.713%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "100%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "60.088"},
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{"Beta", "-19.374"},
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{"Annual Standard Deviation", "0.593"},
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{"Annual Variance", "0.351"},
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{"Information Ratio", "106.234"},
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{"Tracking Error", "0.603"},
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{"Treynor Ratio", "-3.295"},
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{"Total Fees", "$16.00"},
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{"Estimated Strategy Capacity", "$87000.00"},
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{"Lowest Capacity Asset", "GOOCV 305RBQ20WHPNQ|GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "10.93%"},
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{"OrderListHash", "618a73d24e5439125985145f165f31b7"}
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};
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}
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}
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