Jhonathan Abreu
81 lines
3.2 KiB
C#
81 lines
3.2 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 QuantConnect.Data.Market;
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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 asserting that the new symbol, on a security changed event,
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/// is added to the securities collection and is tradable.
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/// This specific algorithm tests the manual rollover with the symbol changed event
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/// that is received in the <see cref="OnSymbolChangedEvents(SymbolChangedEvents)"/> handler.
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/// </summary>
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public class ManualContinuousFuturesPositionRolloverFromSymbolChangedEventHandlerRegressionAlgorithm
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: ManualContinuousFuturesPositionRolloverRegressionAlgorithm
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{
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public override void OnSymbolChangedEvents(SymbolChangedEvents symbolsChanged)
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{
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if (!Portfolio.Invested)
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{
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return;
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}
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ManualPositionsRollover(symbolsChanged);
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}
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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 override int AlgorithmHistoryDataPoints => 885;
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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 Orders", "3"},
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{"Average Win", "7.01%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "15.724%"},
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{"Drawdown", "1.600%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "107628.9"},
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{"Net Profit", "7.629%"},
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{"Sharpe Ratio", "1.716"},
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{"Sortino Ratio", "1.088"},
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{"Probabilistic Sharpe Ratio", "89.188%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "100%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0.08"},
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{"Beta", "0.095"},
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{"Annual Standard Deviation", "0.059"},
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{"Annual Variance", "0.003"},
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{"Information Ratio", "-1.238"},
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{"Tracking Error", "0.094"},
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{"Treynor Ratio", "1.06"},
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{"Total Fees", "$6.45"},
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{"Estimated Strategy Capacity", "$2900000000.00"},
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{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
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{"Portfolio Turnover", "1.37%"},
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{"Drawdown Recovery", "16"},
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{"OrderListHash", "3c6520fb6ffd031c1632680d6f7c3f75"}
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};
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}
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}
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