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>
88 lines
3.6 KiB
C#
88 lines
3.6 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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to check we are getting the correct market open and close times when extended market hours are used
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/// </summary>
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public class FutureMarketOpenAndCloseWithExtendedMarketRegressionAlgorithm : FutureMarketOpenAndCloseRegressionAlgorithm
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{
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protected override bool ExtendedMarketHours => true;
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protected override List<DateTime> AfterMarketOpen => new List<DateTime>() {
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new DateTime(2020, 02, 04, 18, 0, 0), // Tuesday
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new DateTime(2020, 02, 05, 18, 0, 0),
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new DateTime(2020, 02, 06, 18, 0, 0),
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new DateTime(2020, 02, 09, 18, 0, 0),
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new DateTime(2020, 02, 10, 18, 0, 0),
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new DateTime(2020, 02, 11, 18, 0, 0)
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};
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protected override List<DateTime> BeforeMarketClose => new List<DateTime>()
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{
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new DateTime(2020, 02, 04, 17, 0, 0),
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new DateTime(2020, 02, 05, 17, 0, 0),
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new DateTime(2020, 02, 06, 17, 0, 0),
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new DateTime(2020, 02, 07, 17, 0, 0),
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new DateTime(2020, 02, 10, 17, 0, 0),
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new DateTime(2020, 02, 11, 17, 0, 0)
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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};
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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 override long DataPoints => 41466;
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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", "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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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", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-11.049"},
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{"Tracking Error", "0.087"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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