Derek Melchin
eefa74baaa
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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>
123 lines
4.5 KiB
C#
123 lines
4.5 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Indicators;
|
|
using QuantConnect.Parameters;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Demonstration of the parameter system of QuantConnect. Using parameters you can pass the values required into C# algorithms for optimization.
|
|
/// </summary>
|
|
/// <meta name="tag" content="optimization" />
|
|
/// <meta name="tag" content="using quantconnect" />
|
|
public class ParameterizedAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
// We place attributes on top of our fields or properties that should receive
|
|
// their values from the job. The values 100 and 200 are just default values that
|
|
// are only used if the parameters do not exist.
|
|
[Parameter("ema-fast")]
|
|
public int FastPeriod = 100;
|
|
|
|
[Parameter("ema-slow")]
|
|
public int SlowPeriod = 200;
|
|
|
|
public ExponentialMovingAverage Fast;
|
|
public ExponentialMovingAverage Slow;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 10, 07);
|
|
SetEndDate(2013, 10, 11);
|
|
SetCash(100*1000);
|
|
|
|
AddSecurity(SecurityType.Equity, "SPY");
|
|
|
|
Fast = EMA("SPY", FastPeriod);
|
|
Slow = EMA("SPY", SlowPeriod);
|
|
}
|
|
|
|
public void OnData(TradeBars data)
|
|
{
|
|
// wait for our indicators to ready
|
|
if (!Fast.IsReady || !Slow.IsReady) return;
|
|
|
|
if (Fast > Slow*1.001m)
|
|
{
|
|
SetHoldings("SPY", 1);
|
|
}
|
|
else if (Fast < Slow*0.999m)
|
|
{
|
|
Liquidate("SPY");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public Language[] Languages { get; } = { Language.CSharp, Language.Python };
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public long DataPoints => 3943;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 0;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Trades", "1"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "0%"},
|
|
{"Compounding Annual Return", "286.047%"},
|
|
{"Drawdown", "0.300%"},
|
|
{"Expectancy", "0"},
|
|
{"Net Profit", "1.742%"},
|
|
{"Sharpe Ratio", "23.023"},
|
|
{"Sortino Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "1.266"},
|
|
{"Beta", "0.356"},
|
|
{"Annual Standard Deviation", "0.086"},
|
|
{"Annual Variance", "0.007"},
|
|
{"Information Ratio", "-0.044"},
|
|
{"Tracking Error", "0.147"},
|
|
{"Treynor Ratio", "5.531"},
|
|
{"Total Fees", "$3.45"},
|
|
{"Estimated Strategy Capacity", "$48000000.00"},
|
|
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
|
{"Portfolio Turnover", "19.72%"},
|
|
{"OrderListHash", "c831f9d57df399e75c184d101d03fe56"}
|
|
};
|
|
}
|
|
}
|