Colton Sellers
1358bd8115
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Fixes for FutureOptions support in LeanData * Add CreateCanonicalOption() utility function for Symbol.cs * Add aggregated Futures/FuturesOptions data to Lean * Add FutureOptions regressions for daily/hourly data * Allow Futures to be added with low resolution * Add Future regressions using hour/daily data * Nit - Python Class names * Add reviews * Add alias into CreateCanonicalOption
97 lines
4.0 KiB
C#
97 lines
4.0 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;
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using System.Collections.Generic;
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using System.Linq;
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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 regressions tests the BasicTemplateFuturesDailyAlgorithm with hour data
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="benchmarks" />
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/// <meta name="tag" content="futures" />
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public class BasicTemplateFuturesHourlyAlgorithm : BasicTemplateFuturesDailyAlgorithm
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{
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private Symbol _contractSymbol;
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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, 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", "140"},
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{"Average Win", "0.01%"},
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{"Average Loss", "-0.02%"},
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{"Compounding Annual Return", "-38.171%"},
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{"Drawdown", "0.400%"},
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{"Expectancy", "-0.369"},
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{"Net Profit", "-0.394%"},
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{"Sharpe Ratio", "-24.82"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "66%"},
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{"Win Rate", "34%"},
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{"Profit-Loss Ratio", "0.84"},
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{"Alpha", "0.42"},
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{"Beta", "-0.041"},
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{"Annual Standard Deviation", "0.01"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-65.112"},
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{"Tracking Error", "0.253"},
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{"Treynor Ratio", "6.024"},
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{"Total Fees", "$259.00"},
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{"Estimated Strategy Capacity", "$130000.00"},
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{"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
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{"Fitness Score", "0"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "-43.422"},
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{"Return Over Maximum Drawdown", "-100.459"},
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{"Portfolio Turnover", "4.716"},
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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", "320067074c8dd771f69602ab07001f1e"}
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};
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}
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}
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