Ricardo Andrés Marino Rojas
cce8945fe8
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add improvements * Add improvments and unit tests * Add XML comments * Nit changes * Add unit tests for OrderJsonConverter * Improve unit tests * Address requested changes * Fix bugs * Fix bugs * Fix bugs and self-review * Fix bugs * Address requested changes * Fix unit test bug * Fix bugs * Improve unit tests * Solve bugs
78 lines
3.0 KiB
C#
78 lines
3.0 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*
|
|
*/
|
|
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Securities.Option;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm assering we can disable automatic option assignment
|
|
/// </summary>
|
|
public class NullOptionAssignmentRegressionAlgorithm : OptionAssignmentRegressionAlgorithm
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
SetSecurityInitializer((security) =>
|
|
{
|
|
var option = security as Option;
|
|
option?.SetOptionAssignmentModel(new NullOptionAssignmentModel());
|
|
});
|
|
|
|
base.Initialize();
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public override Language[] Languages { get; } = { Language.CSharp, Language.Python };
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Orders", "4"},
|
|
{"Average Win", "9.48%"},
|
|
{"Average Loss", "-16.73%"},
|
|
{"Compounding Annual Return", "-25.790%"},
|
|
{"Drawdown", "0.600%"},
|
|
{"Expectancy", "-0.478"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "99538"},
|
|
{"Net Profit", "-0.462%"},
|
|
{"Sharpe Ratio", "-6.902"},
|
|
{"Sortino Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "95.713%"},
|
|
{"Loss Rate", "67%"},
|
|
{"Win Rate", "33%"},
|
|
{"Profit-Loss Ratio", "0.57"},
|
|
{"Alpha", "-0.009"},
|
|
{"Beta", "-0.023"},
|
|
{"Annual Standard Deviation", "0.001"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "10.521"},
|
|
{"Tracking Error", "0.018"},
|
|
{"Treynor Ratio", "0.211"},
|
|
{"Total Fees", "$2.00"},
|
|
{"Estimated Strategy Capacity", "$0"},
|
|
{"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
|
|
{"Portfolio Turnover", "26.71%"},
|
|
{"OrderListHash", "1a992ecaf12fab7862144531205c016a"}
|
|
};
|
|
}
|
|
}
|