Jhonathan Abreu
ed92e6653b
* Fix EMA indicator first value calculation As done by TALib and TradingView, the first EMA value after warmup is the SMA of the first period. * Update TSI indicator test data Data was exported from TradingView * Update TRIX indicator test data from TradingView * Update AccumulationDistributionOscillator indicator test data from TradingView * Update Double EMA indicator test data from TradingView * Update McClellanSummationIndex indicator test data * Update SchaffTrendCycle indicator test data * Update TripleExponentialMovingAverage indicator test data from TradingView * Update stats for algorithms using EMA * Update failing unit tests
70 lines
2.6 KiB
C#
70 lines
2.6 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 Trades", "56"},
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{"Average Win", "0.32%"},
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{"Average Loss", "-0.05%"},
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{"Compounding Annual Return", "53.636%"},
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{"Drawdown", "0.900%"},
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{"Expectancy", "2.605"},
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{"Net Profit", "3.592%"},
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{"Sharpe Ratio", "6.804"},
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{"Probabilistic Sharpe Ratio", "94.596%"},
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{"Loss Rate", "50%"},
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{"Win Rate", "50%"},
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{"Profit-Loss Ratio", "6.21"},
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{"Alpha", "0.282"},
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{"Beta", "0.395"},
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{"Annual Standard Deviation", "0.053"},
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{"Annual Variance", "0.003"},
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{"Information Ratio", "2.825"},
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{"Tracking Error", "0.057"},
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{"Treynor Ratio", "0.913"},
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{"Total Fees", "$98.36"},
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{"Estimated Strategy Capacity", "$8200000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "16.97%"},
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{"OrderListHash", "c15f396207f4f6e8074b29dd0e532da4"}
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};
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}
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}
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