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>
66 lines
2.6 KiB
C#
66 lines
2.6 KiB
C#
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 for running an Index algorithm with Hourly data
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/// </summary>
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public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorithm
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{
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protected override Resolution Resolution => Resolution.Hour;
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protected override int ExpectedBarCount => base.ExpectedBarCount * 7;
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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 override 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 override Language[] Languages { get; } = { Language.CSharp };
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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 override long DataPoints => 391;
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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 => 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 override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "71"},
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{"Average Win", "1.28%"},
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{"Average Loss", "-0.06%"},
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{"Compounding Annual Return", "-20.546%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "-0.402"},
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{"Net Profit", "-0.922%"},
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{"Sharpe Ratio", "-2.903"},
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{"Sortino Ratio", "-6.081"},
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{"Probabilistic Sharpe Ratio", "22.230%"},
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{"Loss Rate", "97%"},
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{"Win Rate", "3%"},
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{"Profit-Loss Ratio", "19.95"},
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{"Alpha", "-0.157"},
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{"Beta", "0.025"},
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{"Annual Standard Deviation", "0.053"},
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{"Annual Variance", "0.003"},
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{"Information Ratio", "-2.07"},
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{"Tracking Error", "0.121"},
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{"Treynor Ratio", "-6.189"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$300000.00"},
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{"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
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{"Portfolio Turnover", "24.63%"},
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{"OrderListHash", "380076bc7854977f46318e8add9f1a25"}
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};
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}
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}
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