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
77 lines
3.1 KiB
C#
77 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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namespace QuantConnect.Statistics
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{
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/// <summary>
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/// The <see cref="AlgorithmPerformance"/> class is a wrapper for <see cref="TradeStatistics"/> and <see cref="PortfolioStatistics"/>
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/// </summary>
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public class AlgorithmPerformance
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{
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/// <summary>
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/// The algorithm statistics on closed trades
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/// </summary>
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public TradeStatistics TradeStatistics { get; set; }
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/// <summary>
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/// The algorithm statistics on portfolio
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/// </summary>
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public PortfolioStatistics PortfolioStatistics { get; set; }
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/// <summary>
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/// The list of closed trades
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/// </summary>
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public List<Trade> ClosedTrades { get; set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
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/// </summary>
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/// <param name="trades">The list of closed trades</param>
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/// <param name="profitLoss">Trade record of profits and losses</param>
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/// <param name="equity">The list of daily equity values</param>
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/// <param name="portfolioTurnover">The algorithm portfolio turnover</param>
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/// <param name="listPerformance">The list of algorithm performance values</param>
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/// <param name="listBenchmark">The list of benchmark values</param>
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/// <param name="startingCapital">The algorithm starting capital</param>
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public AlgorithmPerformance(
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List<Trade> trades,
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SortedDictionary<DateTime, decimal> profitLoss,
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SortedDictionary<DateTime, decimal> equity,
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SortedDictionary<DateTime, decimal> portfolioTurnover,
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List<double> listPerformance,
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List<double> listBenchmark,
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decimal startingCapital)
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{
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TradeStatistics = new TradeStatistics(trades);
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PortfolioStatistics = new PortfolioStatistics(profitLoss, equity, portfolioTurnover, listPerformance, listBenchmark, startingCapital);
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ClosedTrades = trades;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="AlgorithmPerformance"/> class
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/// </summary>
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public AlgorithmPerformance()
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{
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TradeStatistics = new TradeStatistics();
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PortfolioStatistics = new PortfolioStatistics();
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ClosedTrades = new List<Trade>();
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}
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}
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}
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