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>
76 lines
2.9 KiB
C#
76 lines
2.9 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.Collections.Generic;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm assering we can disable automatic option assignment
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/// </summary>
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public class NullOptionAssignmentRegressionAlgorithm : OptionAssignmentRegressionAlgorithm
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{
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public override void Initialize()
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{
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SetSecurityInitializer((security) =>
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{
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var option = security as Option;
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option?.SetOptionAssignmentModel(new NullOptionAssignmentModel());
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});
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base.Initialize();
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}
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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, 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 override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "4"},
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{"Average Win", "9.48%"},
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{"Average Loss", "-16.73%"},
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{"Compounding Annual Return", "-25.790%"},
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{"Drawdown", "0.600%"},
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{"Expectancy", "-0.478"},
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{"Net Profit", "-0.462%"},
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{"Sharpe Ratio", "-6.902"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "95.713%"},
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{"Loss Rate", "67%"},
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{"Win Rate", "33%"},
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{"Profit-Loss Ratio", "0.57"},
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{"Alpha", "-0.009"},
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{"Beta", "-0.023"},
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{"Annual Standard Deviation", "0.001"},
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{"Annual Variance", "0"},
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{"Information Ratio", "10.521"},
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{"Tracking Error", "0.018"},
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{"Treynor Ratio", "0.211"},
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{"Total Fees", "$2.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "26.71%"},
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{"OrderListHash", "44e3387273be98a20e8e094e59f7330a"}
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};
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}
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}
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