Michael Handschuh
380caa5203
This flag indicates whether or not the local regression test system, via RegressionTests.AlgorithmStatisticsRegression should run a given IRegressionAlgorithmDefinition
89 lines
3.2 KiB
C#
89 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 System.Collections.Generic;
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using QuantConnect.Data.Market;
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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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/// Regression test for consistency of hour data over a reverse split event in US equities.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="regression test" />
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public class HourSplitRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _symbol;
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public override void Initialize()
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{
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SetStartDate(2005, 2, 25);
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SetEndDate(2005, 2, 28);
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SetCash(100000);
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SetBenchmark(x => 0);
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_symbol = AddEquity("AAPL", Resolution.Hour).Symbol;
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}
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public void OnData(TradeBars tradeBars)
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{
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TradeBar bar;
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if (!tradeBars.TryGetValue(_symbol, out bar)) return;
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if (!Portfolio.Invested && Time.Date == EndDate.Date)
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{
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Buy(_symbol, 1);
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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, Language.Python };
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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", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "-0.096%"},
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{"Drawdown", "0.000%"},
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{"Expectancy", "0"},
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{"Net Profit", "-0.001%"},
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{"Sharpe Ratio", "-11.225"},
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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", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$1.00"}
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};
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}
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}
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