David
b59550dd59
Restructured Update message Added removal of trailing highs for unnecessary securities Add logging message Improvements Rename Add regression Algorithm Changed to use TradeBar values instead of only current price Cleaned msg layout Update Regression test
100 lines
4.1 KiB
C#
100 lines
4.1 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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using System;
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Orders;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Show cases how to use the <see cref="TrailingStopRiskManagementModel"/>
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/// </summary>
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public class TrailingStopRiskFrameworkAlgorithm : QCAlgorithmFramework, IRegressionAlgorithmDefinition
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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// Set requested data resolution
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UniverseSettings.Resolution = Resolution.Minute;
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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// set algorithm framework models
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SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
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SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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SetRiskManagement(new TrailingStopRiskManagementModel(0.01m));
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status.IsFill())
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{
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Debug($"Processed Order: {orderEvent.Symbol}, Quantity: {orderEvent.FillQuantity}");
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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 if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public 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 Language[] Languages { get; } = { Language.CSharp};
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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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "5"},
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{"Average Win", "0%"},
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{"Average Loss", "-0.66%"},
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{"Compounding Annual Return", "232.602%"},
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{"Drawdown", "2.300%"},
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{"Expectancy", "-1"},
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{"Net Profit", "1.548%"},
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{"Sharpe Ratio", "4.05"},
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{"Loss Rate", "100%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0.007"},
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{"Beta", "71.017"},
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{"Annual Standard Deviation", "0.195"},
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{"Annual Variance", "0.038"},
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{"Information Ratio", "3.995"},
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{"Tracking Error", "0.195"},
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{"Treynor Ratio", "0.011"},
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{"Total Fees", "$16.28"},
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{"Long/Short Ratio", "100%"}
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};
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}
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}
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