Derek Melchin
eefa74baaa
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* Add Sortino ratio to statistics and report * Adds Sortino Ratio to Report Key Statistics * Addresses Peer-Review Reuse `SharpeRatioReportElement` and change the template. * Reuse Calculations Across Statistics and PortfolioStatistics * Adds Sortino Ratio to Regression Algorithms * Removes Sortino Ratio from Optimization Result Table --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
116 lines
4.2 KiB
C#
116 lines
4.2 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.Collections.Generic;
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using QuantConnect.Data;
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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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/// This is a regression algorithm for CFD assets which have the exchange time zone ahead of the data time zone.
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/// </summary>
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public class CfdTimeZonesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _symbol;
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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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SetAccountCurrency("EUR");
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SetStartDate(2019, 2, 19);
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SetEndDate(2019, 2, 21);
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SetCash("EUR", 100000);
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_symbol = AddCfd("DE30EUR").Symbol;
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SetBenchmark(_symbol);
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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 (Time.Minute % 10 != 0) return;
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if (!Portfolio.Invested)
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{
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MarketOrder(_symbol, 1m);
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}
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else
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{
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Liquidate();
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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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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 2776;
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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 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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "279"},
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{"Average Win", "0.01%"},
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{"Average Loss", "-0.01%"},
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{"Compounding Annual Return", "-33.650%"},
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{"Drawdown", "0.300%"},
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{"Expectancy", "-0.345"},
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{"Net Profit", "-0.337%"},
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{"Sharpe Ratio", "-21.957"},
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{"Sortino Ratio", "-21.957"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "68%"},
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{"Win Rate", "32%"},
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{"Profit-Loss Ratio", "1.07"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0.014"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-19.772"},
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{"Tracking Error", "0.014"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "€0.00"},
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{"Estimated Strategy Capacity", "€670000.00"},
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{"Lowest Capacity Asset", "DE30EUR 8I"},
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{"Portfolio Turnover", "1062.25%"},
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{"OrderListHash", "3c15395d3214749b2db83c7e23866224"}
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};
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}
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}
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