Ricardo Andrés Marino Rojas
ead2efe6b9
* First draft of the solution * Add missing changes * Remove the new KPI's from report * Fix bugs * nit change * Add improvements * Fix regression tests * Solve bugs in the regression algos * Fix regression tests bugs * Expand unit tests and add minor changes
73 lines
2.7 KiB
C#
73 lines
2.7 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.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="EmaCrossAlphaModel"/>.
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/// </summary>
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public class EmaCrossAlphaModelFrameworkRegressionAlgorithm : 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 EmaCrossAlphaModel());
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}
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public override void OnEndOfAlgorithm()
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{
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}
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public override int AlgorithmHistoryDataPoints => 152;
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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", "31"},
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{"Average Win", "0.44%"},
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{"Average Loss", "-0.17%"},
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{"Compounding Annual Return", "61.576%"},
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{"Drawdown", "0.900%"},
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{"Expectancy", "1.747"},
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{"Start Equity", "100000"},
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{"End Equity", "104022.40"},
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{"Net Profit", "4.022%"},
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{"Sharpe Ratio", "7.552"},
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{"Sortino Ratio", "14.355"},
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{"Probabilistic Sharpe Ratio", "97.071%"},
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{"Loss Rate", "23%"},
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{"Win Rate", "77%"},
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{"Profit-Loss Ratio", "2.57"},
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{"Alpha", "0.323"},
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{"Beta", "0.419"},
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{"Annual Standard Deviation", "0.053"},
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{"Annual Variance", "0.003"},
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{"Information Ratio", "3.736"},
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{"Tracking Error", "0.057"},
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{"Treynor Ratio", "0.962"},
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{"Total Fees", "$73.33"},
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{"Estimated Strategy Capacity", "$9600000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "16.84%"},
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{"OrderListHash", "f9018d505cea47c92015bf1266182afa"}
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};
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}
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}
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