Derek Melchin
eefa74baaa
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* Add Sortino ratio to statistics and report * Adds Sortino Ratio to Report Key Statistics * Addresses Peer-Review Reuse `SharpeRatioReportElement` and change the template. * Reuse Calculations Across Statistics and PortfolioStatistics * Adds Sortino Ratio to Regression Algorithms * Removes Sortino Ratio from Optimization Result Table --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
105 lines
4.4 KiB
C#
105 lines
4.4 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 System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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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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/// Test algorithm using <see cref="QCAlgorithm.AddRiskManagement(IRiskManagementModel)"/>
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/// </summary>
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public class AddRiskManagementAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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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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UniverseSettings.Resolution = Resolution.Minute;
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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
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SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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AddRiskManagement(new MaximumDrawdownPercentPortfolio(0.02m));
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AddRiskManagement(new MaximumUnrealizedProfitPercentPerSecurity(0.01m));
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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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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 3943;
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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 int AlgorithmHistoryDataPoints => 0;
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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", "3"},
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{"Average Win", "1.02%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "296.066%"},
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{"Drawdown", "2.200%"},
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{"Expectancy", "0"},
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{"Net Profit", "1.775%"},
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{"Sharpe Ratio", "9.34"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "68.302%"},
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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", "0.106"},
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{"Beta", "1.021"},
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{"Annual Standard Deviation", "0.227"},
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{"Annual Variance", "0.052"},
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{"Information Ratio", "25.083"},
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{"Tracking Error", "0.006"},
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{"Treynor Ratio", "2.079"},
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{"Total Fees", "$10.33"},
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{"Estimated Strategy Capacity", "$38000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "59.74%"},
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{"OrderListHash", "b5a7935f37d94eb20f6bcd88578dbaee"}
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};
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}
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}
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