Martin-Molinero
bbbab6d9a8
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* Refactor alpha statistics - Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring - Adding new InsightEvaluator abstraction, adding C# & PY regression algorithms * Optimization backtest result json converter update * Address reviews - Remove IAlphaHandler, move insight storage responsability to IResultHandler and centralizing insight collection on the QCAlgorithm.Insights to be reused by the framework models - Fix portfolio turnover single day backtests and duplicate time sampling handling. Updating regression algorithms * Add InsightCollection tests and minor fixes * Adding more & improved tests
111 lines
4.4 KiB
C#
111 lines
4.4 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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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Show cases how to use the <see cref="CompositeAlphaModel"/> to define
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/// </summary>
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public class CompositeAlphaModelFrameworkAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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// even though we're using a framework algorithm, we can still add our securities
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// using the AddEquity/Forex/Crypto/ect methods and then pass them into a manual
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// universe selection model using Securities.Keys
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AddEquity("SPY");
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AddEquity("IBM");
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AddEquity("BAC");
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AddEquity("AIG");
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// define a manual universe of all the securities we manually registered
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SetUniverseSelection(new ManualUniverseSelectionModel());
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// define alpha model as a composite of the rsi and ema cross models
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SetAlpha(new CompositeAlphaModel(
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new RsiAlphaModel(),
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new EmaCrossAlphaModel()
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));
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// default models for the rest
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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SetRiskManagement(new NullRiskManagementModel());
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = 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 Language[] Languages { get; } = {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 long DataPoints => 15643;
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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 int AlgorithmHistoryDataPoints => 208;
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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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "18"},
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{"Average Win", "0.00%"},
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{"Average Loss", "-0.02%"},
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{"Compounding Annual Return", "88.032%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "-0.679"},
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{"Net Profit", "0.811%"},
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{"Sharpe Ratio", "5.833"},
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{"Probabilistic Sharpe Ratio", "65.782%"},
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{"Loss Rate", "73%"},
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{"Win Rate", "27%"},
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{"Profit-Loss Ratio", "0.18"},
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{"Alpha", "-0.473"},
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{"Beta", "0.725"},
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{"Annual Standard Deviation", "0.165"},
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{"Annual Variance", "0.027"},
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{"Information Ratio", "-14.297"},
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{"Tracking Error", "0.071"},
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{"Treynor Ratio", "1.331"},
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{"Total Fees", "$31.70"},
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{"Estimated Strategy Capacity", "$5900000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "40.55%"},
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{"OrderListHash", "f25344c69f9b9476ae5a834616a65c82"}
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};
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}
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}
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