Martin-Molinero
0b1b72e921
- Fixes related to support assets with multiple daily market closes. Adding unit and regression tests
81 lines
3.0 KiB
C#
81 lines
3.0 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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm using and testing HSI futures and index
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/// </summary>
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public class HSIFutureDailyRegressionAlgorithm : HSIFutureHourRegressionAlgorithm
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{
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/// <summary>
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/// The data resolution
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/// </summary>
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protected override Resolution Resolution => Resolution.Daily;
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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 => 177;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 12;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public override AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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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", "15"},
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{"Average Win", "0%"},
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{"Average Loss", "-0.33%"},
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{"Compounding Annual Return", "-55.187%"},
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{"Drawdown", "2.400%"},
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{"Expectancy", "-1"},
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{"Start Equity", "100000"},
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{"End Equity", "97610"},
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{"Net Profit", "-2.390%"},
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{"Sharpe Ratio", "-15.799"},
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{"Sortino Ratio", "-19.207"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "100%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0.029"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-15.544"},
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{"Tracking Error", "0.029"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$600.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "HSI VL6DN7UV65S9"},
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{"Portfolio Turnover", "1590.77%"},
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{"OrderListHash", "42cd8e3b58361b181c911a603f69d2f7"}
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};
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}
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}
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