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>
94 lines
3.3 KiB
C#
94 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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*/
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using System;
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using QuantConnect.Data;
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using System.Collections.Generic;
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using QuantConnect.Orders;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to add index asset types and change the tradable condition
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="benchmarks" />
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/// <meta name="tag" content="indexes" />
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public class BasicTemplateTradableIndexAlgorithm : BasicTemplateIndexAlgorithm
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{
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private OrderTicket _ticket;
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/// <summary>
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/// Initialize your algorithm and add desired assets.
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/// </summary>
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public override void Initialize()
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{
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base.Initialize();
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Securities[Spx].IsTradable = true;
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}
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/// <summary>
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/// Index EMA Cross trading underlying.
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/// </summary>
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public override void OnData(Slice slice)
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{
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base.OnData(slice);
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_ticket ??= MarketOrder(Spx, 1);
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_ticket.Status.IsFill())
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{
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throw new Exception("Index is tradable.");
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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 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()
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{
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{"Total Trades", "5"},
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{"Average Win", "6.15%"},
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{"Average Loss", "-0.01%"},
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{"Compounding Annual Return", "434.741%"},
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{"Drawdown", "3.400%"},
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{"Expectancy", "589.124"},
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{"Net Profit", "5.510%"},
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{"Sharpe Ratio", "-6.336"},
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{"Sortino Ratio", "-12.182"},
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{"Probabilistic Sharpe Ratio", "0.011%"},
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{"Loss Rate", "50%"},
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{"Win Rate", "50%"},
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{"Profit-Loss Ratio", "1179.25"},
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{"Alpha", "-0.226"},
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{"Beta", "0.02"},
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{"Annual Standard Deviation", "0.034"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-7.032"},
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{"Tracking Error", "0.107"},
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{"Treynor Ratio", "-10.906"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$3000.00"},
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{"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
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{"Portfolio Turnover", "24.13%"},
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{"OrderListHash", "41644492e032f38d0d9be0915f09a03b"}
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};
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}
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}
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