wehub-resource-sync
82 lines
3.2 KiB
C#
82 lines
3.2 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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*/
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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 QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regressions tests the BasicTemplateFuturesDailyAlgorithm with hour data and extended market hours
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="benchmarks" />
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/// <meta name="tag" content="futures" />
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public class BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm : BasicTemplateFuturesHourlyAlgorithm
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{
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protected override bool ExtendedMarketHours => 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 override 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 override long DataPoints => 68170;
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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 Dictionary<string, string>
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{
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{"Total Orders", "170"},
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{"Average Win", "0.03%"},
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{"Average Loss", "-0.02%"},
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{"Compounding Annual Return", "-0.171%"},
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{"Drawdown", "0.800%"},
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{"Expectancy", "-0.100"},
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{"Start Equity", "1000000"},
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{"End Equity", "998281.54"},
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{"Net Profit", "-0.172%"},
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{"Sharpe Ratio", "-1.251"},
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{"Sortino Ratio", "-0.548"},
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{"Probabilistic Sharpe Ratio", "2.934%"},
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{"Loss Rate", "65%"},
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{"Win Rate", "35%"},
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{"Profit-Loss Ratio", "1.61"},
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{"Alpha", "-0.007"},
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{"Beta", "-0.005"},
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{"Annual Standard Deviation", "0.006"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-1.354"},
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{"Tracking Error", "0.089"},
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{"Treynor Ratio", "1.669"},
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{"Total Fees", "$383.46"},
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{"Estimated Strategy Capacity", "$4800000.00"},
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{"Lowest Capacity Asset", "ES VP274HSU1AF5"},
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{"Portfolio Turnover", "4.89%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "fce6e574beb20c50ccfb1191dfade7f2"}
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};
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}
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}
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