chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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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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using System.Linq;
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using System.Text;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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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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/// In this algorithm we show how you can easily use the universe selection feature to fetch symbols
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/// to be traded using the AddUniverse method. This method accepts a function that will return the
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/// desired current set of symbols. Return Universe.Unchanged if no universe changes should be made
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="universes" />
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/// <meta name="tag" content="custom universes" />
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public class DropboxUniverseSelectionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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// the changes from the previous universe selection
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private SecurityChanges _changes = SecurityChanges.None;
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// only used in backtest for caching the file results
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private readonly Dictionary<DateTime, List<string>> _backtestSymbolsPerDay = new Dictionary<DateTime, List<string>>();
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
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/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
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/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
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public override void Initialize()
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{
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// this sets the resolution for data subscriptions added by our universe
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UniverseSettings.Resolution = Resolution.Daily;
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// Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
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// Commented so regression algorithm is more sensitive
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//Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
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// set our start and end for backtest mode
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SetStartDate(2017, 07, 04);
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SetEndDate(2018, 07, 04);
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// define a new custom universe that will trigger each day at midnight
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AddUniverse("my-dropbox-universe", Resolution.Daily, dateTime =>
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{
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// handle live mode file format
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if (LiveMode)
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{
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// fetch the file from dropbox
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var file = Download(@"https://www.dropbox.com/s/2l73mu97gcehmh7/daily-stock-picker-live.csv?dl=1");
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// if we have a file for today, break apart by commas and return symbols
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if (file.Length > 0) return file.ToCsv();
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// no symbol today, leave universe unchanged
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return Universe.Unchanged;
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}
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// backtest - first cache the entire file
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if (_backtestSymbolsPerDay.Count == 0)
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{
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// No need for headers for authorization with dropbox, these two lines are for example purposes
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var byteKey = Encoding.ASCII.GetBytes($"UserName:Password");
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// The headers must be passed to the Download method as list of key/value pair.
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var headers = new List<KeyValuePair<string, string>>
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{
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new KeyValuePair<string, string>("Authorization", $"Basic ({Convert.ToBase64String(byteKey)})")
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};
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var file = Download(@"https://www.dropbox.com/s/ae1couew5ir3z9y/daily-stock-picker-backtest.csv?dl=1", headers);
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// split the file into lines and add to our cache
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foreach (var line in file.Split(new[] { '\n', '\r' }, StringSplitOptions.RemoveEmptyEntries))
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{
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var csv = line.ToCsv();
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var date = DateTime.ParseExact(csv[0], "yyyyMMdd", null);
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var symbols = csv.Skip(1).ToList();
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_backtestSymbolsPerDay[date] = symbols;
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}
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}
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// if we have symbols for this date return them, else specify Universe.Unchanged
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List<string> result;
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if (_backtestSymbolsPerDay.TryGetValue(dateTime.Date, out result))
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{
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return result;
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}
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return Universe.Unchanged;
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});
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <code>
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/// TradeBars bars = slice.Bars;
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/// Ticks ticks = slice.Ticks;
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/// TradeBar spy = slice["SPY"];
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/// List{Tick} aaplTicks = slice["AAPL"]
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/// Quandl oil = slice["OIL"]
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/// dynamic anySymbol = slice[symbol];
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/// DataDictionary{Quandl} allQuandlData = slice.Get{Quand}
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/// Quandl oil = slice.Get{Quandl}("OIL")
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/// </code>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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if (slice.Bars.Count == 0) return;
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if (_changes == SecurityChanges.None) return;
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// start fresh
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Liquidate();
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var percentage = 1m/slice.Bars.Count;
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foreach (var tradeBar in slice.Bars.Values)
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{
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SetHoldings(tradeBar.Symbol, percentage);
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}
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// reset changes
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_changes = SecurityChanges.None;
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="changes"></param>
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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// each time our securities change we'll be notified here
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_changes = changes;
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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 List<Language> Languages { get; } = new() { 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 => 5278;
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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 => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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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 Orders", "5059"},
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{"Average Win", "0.08%"},
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{"Average Loss", "-0.07%"},
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{"Compounding Annual Return", "16.423%"},
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{"Drawdown", "10.500%"},
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{"Expectancy", "0.081"},
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{"Start Equity", "100000"},
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{"End Equity", "116400.57"},
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{"Net Profit", "16.401%"},
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{"Sharpe Ratio", "0.891"},
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{"Sortino Ratio", "0.831"},
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{"Probabilistic Sharpe Ratio", "42.279%"},
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{"Loss Rate", "47%"},
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{"Win Rate", "53%"},
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{"Profit-Loss Ratio", "1.03"},
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{"Alpha", "0.018"},
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{"Beta", "0.984"},
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{"Annual Standard Deviation", "0.11"},
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{"Annual Variance", "0.012"},
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{"Information Ratio", "0.416"},
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{"Tracking Error", "0.041"},
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{"Treynor Ratio", "0.099"},
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{"Total Fees", "$5848.25"},
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{"Estimated Strategy Capacity", "$510000.00"},
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{"Lowest Capacity Asset", "BNO UN3IMQ2JU1YD"},
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{"Portfolio Turnover", "106.75%"},
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{"Drawdown Recovery", "36"},
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{"OrderListHash", "5499e61404d453274cee78904d4c0e92"}
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};
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}
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}
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