Jhonathan Abreu
f2100adb46
* Test * Fix price shift on continuous future rollover * Keep track of both data and exchange time in subscription data reader * Fix for daily and hourly resolutions. Add daily and hour algorithms * Fixes for emitting new exchange dates at the beginning and end when data is not available * Cleanup * Minor fix * Minor fix: detect mapping in data reader after advancing time keeper * Minor fix * More fixes * More fixes * Fixes for universe files * More fixes for daily resolution data * Separate DateChangeTimeKeeper to its own file * Add DateChangeTimeKeeper unit tests * Minor fix * Add more DateChangeTimeKeeper unit tests * Address peer review * Address peer review * Address peer review * Detect mappings using the config NewSymbol event * DateChangeTimeKeeper performance improvement for time zone conversions * Clean up date change time keeper * Cleanup * Minor regression algo update * Cleanup * Cleanup * Fix perform universe selection on sundays for continuous futures with extended market hours * Cleanup * Address peer review * More cleanup * More cleanup
81 lines
3.2 KiB
C#
81 lines
3.2 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 System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regressions tests the BasicTemplateFuturesDailyAlgorithm with hour data and extended market hours
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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="futures" />
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public class BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm : BasicTemplateFuturesHourlyAlgorithm
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{
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protected override bool ExtendedMarketHours => 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 List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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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 => 228934;
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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 Orders", "1992"},
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{"Average Win", "0.01%"},
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{"Average Loss", "-0.01%"},
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{"Compounding Annual Return", "-4.687%"},
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{"Drawdown", "4.700%"},
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{"Expectancy", "-0.911"},
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{"Start Equity", "1000000"},
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{"End Equity", "952789.22"},
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{"Net Profit", "-4.721%"},
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{"Sharpe Ratio", "-7.183"},
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{"Sortino Ratio", "-5.14"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "97%"},
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{"Win Rate", "3%"},
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{"Profit-Loss Ratio", "2.04"},
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{"Alpha", "-0.038"},
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{"Beta", "-0.008"},
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{"Annual Standard Deviation", "0.005"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-1.702"},
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{"Tracking Error", "0.09"},
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{"Treynor Ratio", "5.054"},
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{"Total Fees", "$4543.28"},
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{"Estimated Strategy Capacity", "$3000.00"},
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{"Lowest Capacity Asset", "ES VP274HSU1AF5"},
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{"Portfolio Turnover", "56.73%"},
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{"OrderListHash", "424536177e9be5895bab50638ef43a9d"}
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};
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}
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}
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