Martin Molinero
121 lines
4.9 KiB
C#
121 lines
4.9 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.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This test algorithm reproduces GH issue 2848 where an exception is thrown
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/// in the AlgorithmManager.ProcessSplitSymbols when removing the equity having a split
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/// </summary>
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public class ProcessSplitSymbolsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security _aapl;
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private Security _goog;
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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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SetStartDate(2014, 06, 05); //Set Start Date
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SetEndDate(2014, 06, 09); //Set End Date
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SetCash(100000); //Set Strategy Cash
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_aapl = AddEquity("AAPL", Resolution.Daily);
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_goog = AddEquity("GOOG", Resolution.Daily);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice data)
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{
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if (data.Time == new DateTime(2014, 06, 06))
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{
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RemoveSecurity(_aapl.Symbol);
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}
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if (!Portfolio.Invested)
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{
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SetHoldings(_goog.Symbol, 1);
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Debug("Purchased Stock");
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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", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "716.979%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "2.919%"},
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{"Sharpe Ratio", "51.393"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "4.403"},
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{"Beta", "1.691"},
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{"Annual Standard Deviation", "0.1"},
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{"Annual Variance", "0.01"},
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{"Information Ratio", "56.522"},
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{"Tracking Error", "0.083"},
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{"Treynor Ratio", "3.045"},
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{"Total Fees", "$1.00"},
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{"Fitness Score", "0.245"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0.245"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "995235961"}
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};
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}
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}
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