Gerardo Salazar
40c3062348
* Improves stability and fixes various bugs * Adds unit tests covering changes * Adds COVID-19 crisis plots * Adjusts styling of crisis plots for more pleasant viewing * Fixes bug where null BacktestResult caused application to crash * Order JSON bug fixes and stability improvements * MaxDrawdownReportElement now produces results for Live * Replaced Estimated Capacity w/ Days Live * Added Live marker to sharpe ratio * Added support for MOO and MOC orders in PortfolioLooper * Address review: adds new unit tests and cleans up code * Bug fix: use LastFillTime instead of Order.Time for MOO and MOC * Address review: Fixes tests and cleans up code
306 lines
15 KiB
HTML
306 lines
15 KiB
HTML
<!DOCTYPE html>
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<html xmlns="http://www.w3.org/1999/xhtml">
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<head>
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<meta charset="utf-8"/>
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<meta http-equiv="Content-Type" content="text/html; charset=utf-8"/>
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<meta property="og:title" content="QuantConnect Backtest Report: "/>
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<meta property="og:type" content="website"/>
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<meta property="og:site_name" content="QuantConnect.com"/>
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<meta property="og:description" content=""/>
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<meta property="og:url" content="https://www.quantconnect.com/terminal/reports/"/>
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<meta property="og:image" content="{{$PLOT-CUMULATIVE-RETURNS}}"/>
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<meta property="og:image" content="{{$PLOT-ANNUAL-RETURNS}}"/>
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<meta property="og:image" content="{{$PNG-AUTHOR-PHOTO}}"/>
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<link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/twitter-bootstrap/3.3.7/css/bootstrap.min.css">
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<link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/font-awesome/4.7.0/css/font-awesome.min.css">
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<link href="https://fonts.googleapis.com/css?family=Roboto|Titillium+Web:600&display=swap" rel="stylesheet">
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<style>
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{{$REPORT-STYLESHEET}}
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</style>
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</head>
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<body>
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<div class="page">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report: {{$TEXT-STRATEGY-NAME}} {{$TEXT-STRATEGY-VERSION}}</div>
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</div>
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<div class="content">
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<div class="container-row">
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<div class="col-xs-12">
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<table id="description-box" class="table compact no-margin align-top">
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<thead>
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<tr>
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<th>
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<p>
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<span>|</span> Strategy Description
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</p>
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</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td>
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<p id="strategy-description" class="text-justify">
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{{$TEXT-STRATEGY-DESCRIPTION}}
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</p>
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row first-row">
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<div class="col-xs-8">
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<table id="key-characteristics" class="table compact">
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<thead>
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<tr>
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<th class="title">Key Statistics</th><th class="kpi-live">Backtest</th><th class="kpi-live">Live</th><th class="title"></th><th class="kpi-live">Backtest</th><th class="kpi-live">Live</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td class="title">Days Live</td><td>{{$KPI-DAYS-LIVE}}</td><td class="kpi-live">{{$KPI-DAYS-LIVE}}</td>
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<td class="title">CAGR</td><td>{{$KPI-CAGR}}</td><td class="kpi-live">{{$KPI-LIVE-CAGR}}</td>
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</tr>
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<tr>
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<td class="title">Turnover</td><td>{{$KPI-TURNOVER}}</td><td class="kpi-live">{{$KPI-LIVE-TURNOVER}}</td>
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<td class="title">Drawdown</td><td>{{$KPI-DRAWDOWN}}</td><td class="kpi-live">{{$KPI-LIVE-DRAWDOWN}}</td>
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</tr>
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<tr>
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<td class="title">Kelly Estimate</td><td>{{$KPI-KELLY-ESTIMATE}}</td><td class="kpi-live">{{$KPI-LIVE-KELLY-ESTIMATE}}</td>
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<td class="title">{{$LIVE-MARKER}}Sharpe Ratio</td><td>{{$KPI-SHARPE}}</td><td class="kpi-live">{{$KPI-LIVE-SHARPE}}</td>
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</tr>
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<tr>
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<td class="title">Probabilistic SR</td><td>{{$KPI-PSR}}</td><td class="kpi-live">{{$KPI-LIVE-PSR}}</td>
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<td class="title">Information Ratio</td><td>{{$KPI-INFORMATION-RATIO}}</td><td class="kpi-live">{{$KPI-LIVE-INFORMATION-RATIO}}</td>
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</tr>
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<tr>
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<td class="title">Markets</td> <td class="kpi-backtest">{{$KPI-MARKETS}}</td><td class="kpi-live" colspan="2">{{$KPI-MARKETS}}</td>
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<td class="title">Trades Per Day</td><td>{{$KPI-TRADES-PER-DAY}}</td><td class="kpi-live">{{$KPI-LIVE-TRADES-PER-DAY}}</td>
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</tr>
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</tbody>
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</table>
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</div>
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<div class="col-xs-4">
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<table class="table compact">
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<thead>
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<tr>
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<th>Monthly Returns</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img id="monthly-returns-plot" src="{{$PLOT-MONTHLY-RETURNS}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Cumulative Returns</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-CUMULATIVE-RETURNS}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-4">
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<table class="table compact">
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<thead>
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<tr>
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<th>Annual Returns</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding:0;">
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<img src="{{$PLOT-ANNUAL-RETURNS}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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<div class="col-xs-4">
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<table class="table compact">
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<thead>
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<tr>
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<th>Returns Per Trade</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding:0;">
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<img src="{{$PLOT-RETURNS-PER-TRADE}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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<div class="col-xs-4">
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<table class="table compact">
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<thead>
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<tr>
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<th>Asset Allocation</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding:0;">
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<img src="{{$PLOT-ASSET-ALLOCATION}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Drawdown</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-DRAWDOWN}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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</div>
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</div>
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<div class="page" style="display: none;">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report Summary: {{$TEXT-STRATEGY-NAME}} {{$TEXT-STRATEGY-VERSION}}</div>
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</div>
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<div class="content">
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Daily Returns</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-DAILY-RETURNS}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Rolling Portfolio Beta to Equity</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-BETA}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Rolling Sharpe Ratio (6 Months)</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-SHARPE}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Leverage</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-LEVERAGE}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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<div class="container-row">
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<div class="col-xs-12">
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<table class="table compact">
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<thead>
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<tr>
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<th>Exposure</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td style="padding: 0;">
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<img src="{{$PLOT-EXPOSURE}}">
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</td>
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</tr>
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</tbody>
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</table>
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</div>
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</div>
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</div>
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</div>
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<div class="page" style="{{$CSS-CRISIS-PAGE-STYLE}}">
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<div class="header">
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<div class="header-left">
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<img src="https://cdn.quantconnect.com/web/i/logo.png">
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</div>
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<div class="header-right">Strategy Report Summary: {{$TEXT-STRATEGY-NAME}} {{$TEXT-STRATEGY-VERSION}}</div>
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</div>
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<div class="content">
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<div class="container-row">
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{{$HTML-CRISIS-PLOTS}}
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</div>
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</div>
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</div>
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</body>
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</html>
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