Martin-Molinero
12644f8b2a
* Minor fixes for IndicatorHistory and IV - Minor fix for IndicatorHistory, use ScaledRaw data normalization mode for option indicators. Adding unit test - Expand the IV expected upper range to 400%, given values can be higher than previous value of 200% - Adjust IV to use smoothing function only when both option calculations succeed * Updating regression algorithm expected greeks, minor change
82 lines
3.2 KiB
C#
82 lines
3.2 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;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
public class IndexOptionIndicatorsRegressionAlgorithm : OptionIndicatorsRegressionAlgorithm
|
|
{
|
|
protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.18072,Delta: 0.1897,Gamma: 0.00246,Vega: 1.7607,Theta: -1.43923,Rho: 0.01673";
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2021, 1, 4);
|
|
SetEndDate(2021, 1, 4);
|
|
|
|
var underlying = AddIndex("SPX", Resolution.Minute).Symbol;
|
|
var option = QuantConnect.Symbol.CreateOption(underlying, Market.USA, OptionStyle.European, OptionRight.Call, 3800m, new DateTime(2021, 1, 15));
|
|
AddOptionContract(option, Resolution.Minute);
|
|
|
|
InitializeIndicators(option);
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public override List<Language> Languages { get; } = new() { Language.CSharp };
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public override long DataPoints => 1637;
|
|
|
|
/// <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", "0"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "0%"},
|
|
{"Compounding Annual Return", "0%"},
|
|
{"Drawdown", "0%"},
|
|
{"Expectancy", "0"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "100000"},
|
|
{"Net Profit", "0%"},
|
|
{"Sharpe Ratio", "0"},
|
|
{"Sortino Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0"},
|
|
{"Beta", "0"},
|
|
{"Annual Standard Deviation", "0"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "0"},
|
|
{"Tracking Error", "0"},
|
|
{"Treynor Ratio", "0"},
|
|
{"Total Fees", "$0.00"},
|
|
{"Estimated Strategy Capacity", "$0"},
|
|
{"Lowest Capacity Asset", ""},
|
|
{"Portfolio Turnover", "0%"},
|
|
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
|
};
|
|
}
|
|
}
|