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>
81 lines
3.1 KiB
C#
81 lines
3.1 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 System.Linq;
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using QuantConnect.Algorithm.Framework.Alphas;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to assert the behavior of <see cref="RsiAlphaModel"/>.
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/// </summary>
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public class RsiAlphaModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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SetAlpha(new RsiAlphaModel());
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}
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public override void OnEndOfAlgorithm()
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{
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// We have removed all securities from the universe. The Alpha Model should remove the consolidator
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var consolidatorCount = SubscriptionManager.Subscriptions.Sum(s => s.Consolidators.Count);
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if (consolidatorCount > 0)
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{
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throw new Exception($"The number of consolidators should be zero. Actual: {consolidatorCount}");
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}
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}
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public override long DataPoints => 772;
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public override int AlgorithmHistoryDataPoints => 56;
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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", "24"},
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{"Average Win", "0.15%"},
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{"Average Loss", "-0.08%"},
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{"Compounding Annual Return", "5.947%"},
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{"Drawdown", "1.900%"},
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{"Expectancy", "0.697"},
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{"Net Profit", "0.476%"},
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{"Sharpe Ratio", "0.747"},
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{"Sortino Ratio", "0.857"},
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{"Probabilistic Sharpe Ratio", "48.470%"},
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{"Loss Rate", "42%"},
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{"Win Rate", "58%"},
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{"Profit-Loss Ratio", "1.91"},
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{"Alpha", "0.104"},
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{"Beta", "-0.358"},
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{"Annual Standard Deviation", "0.048"},
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{"Annual Variance", "0.002"},
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{"Information Ratio", "-1.959"},
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{"Tracking Error", "0.079"},
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{"Treynor Ratio", "-0.1"},
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{"Total Fees", "$58.36"},
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{"Estimated Strategy Capacity", "$38000000.00"},
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{"Lowest Capacity Asset", "NB R735QTJ8XC9X"},
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{"Portfolio Turnover", "14.56%"},
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{"OrderListHash", "1bc0786c8c3f8a1e2c013106a5e660e9"}
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};
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}
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}
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