Gerardo Salazar
dfee825ef6
* Refactors AlgorithmManager loop * Refactors StatisticsBuilder methods and strategy for series alignment * Move sampling logic to the corresponding IResultHandler * Changes benchmark resolution to Resolution.Hour * Modifies IResultHandler to enable external sampling * Adds BacktestResultHandler unit tests * Adds ResolutionSwitchingAlgorithm to test misalignment * Adds support to AlgorithmRunner to store algorithm IResultHandler Warning: this commit breaks accurate calculations for algorithms that only make use of `Daily` resolution data. Previously, because the benchmark was added in Daily resolution in backtesting, any algorithm that only made use of daily data would have an accurate calculation for beta and various other statistics. These changes serve to fix the statistics calculations of non-daily resolution algorithms, with daily resolution to be revisited at a later time.
87 lines
3.3 KiB
C#
87 lines
3.3 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 QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Statistics;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Adds daily data, then switches over to minute data after a few days.
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/// This is to test the behavior of the sampling that occurs while the algorithm
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/// is executing and its final alignment to the benchmark series in the <see cref="StatisticsBuilder"/> class.
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/// </summary>
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/// <remarks>
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/// -=-=-= WARNING =-=-=-
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///
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/// if you are a user of the platform looking for how to switch the resolution of a symbol, we recommend
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/// you add data in a high resolution (i.e. minute, second) and use a <see cref="TradeBarConsolidator"/> to aggregate the
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/// data to your desired resolution.
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///
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/// This algorithm exists to test the internals of LEAN, and should not be used in any algorithm.
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///
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/// -=-=-= WARNING =-=-=-
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/// </remarks>
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public class ResolutionSwitchingAlgorithm : QCAlgorithm
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{
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private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 7);
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SetEndDate(2013, 10, 11);
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SetCash(100000);
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AddEquity("SPY", Resolution.Daily);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested)
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{
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MarketOrder(_spy, 651); // QTY 651 is equal to `SetHoldings(_spy, 1)`
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Debug("Purchased Stock");
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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if (changes.RemovedSecurities.Count > 0)
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{
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var spy = AddEquity("SPY", Resolution.Minute).Symbol;
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MarketOrder(spy, 651);
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Debug("Bought SPY again");
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}
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}
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public override void OnEndOfDay(Symbol symbol)
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{
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if (UtcTime.Date == new DateTime(2013, 10, 9))
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{
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RemoveSecurity(symbol);
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}
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}
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}
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} |