Martin-Molinero
7879795207
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* Default daily precise end times - Enable by default daily precise end times. Updating stats - Minor fix for algorithm manager consolidator updates, adding new regression test asserting behavior and updating others - Minor fix for SubscriptionData creator avoid round down on warmup if not appropiate - Adjust consolidators to emit on daily strict end times if requested daily resolution and setting enabled - Updating regression algorithms * Skip daily data on extended market hours * Some cleanup and self review * Revert unrequired change
84 lines
3.1 KiB
C#
84 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 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="MacdAlphaModel"/>.
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/// </summary>
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public class MacdAlphaModelFrameworkRegressionAlgorithm : 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 MacdAlphaModel());
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}
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public override void OnEndOfAlgorithm()
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{
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const int expected = 4;
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if (Insights.TotalCount != expected)
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{
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throw new RegressionTestException($"The total number of insights should be {expected}. Actual: {Insights.TotalCount}");
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}
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}
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public override int AlgorithmHistoryDataPoints => 136;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public 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()
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{
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{"Total Orders", "29"},
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{"Average Win", "0.36%"},
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{"Average Loss", "-0.49%"},
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{"Compounding Annual Return", "30.410%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "0.335"},
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{"Start Equity", "100000"},
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{"End Equity", "102206.31"},
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{"Net Profit", "2.206%"},
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{"Sharpe Ratio", "3.159"},
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{"Sortino Ratio", "5.45"},
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{"Probabilistic Sharpe Ratio", "75.413%"},
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{"Loss Rate", "23%"},
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{"Win Rate", "77%"},
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{"Profit-Loss Ratio", "0.73"},
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{"Alpha", "0.275"},
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{"Beta", "-0.371"},
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{"Annual Standard Deviation", "0.065"},
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{"Annual Variance", "0.004"},
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{"Information Ratio", "0.14"},
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{"Tracking Error", "0.091"},
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{"Treynor Ratio", "-0.55"},
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{"Total Fees", "$65.88"},
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{"Estimated Strategy Capacity", "$7500000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "16.15%"},
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{"OrderListHash", "25aaba3290376cc6d5e00a4ca4d3f20f"}
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};
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}
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}
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