wehub-resource-sync
212 lines
8.6 KiB
C#
212 lines
8.6 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;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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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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/// This algorithm tests the behavior of indicators with different update mechanisms based on resolution and time span.
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/// </summary>
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public class DailyResolutionVsTimeSpanRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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protected Symbol Spy { get; set; }
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protected RelativeStrengthIndex RelativeStrengthIndex1 { get; set; }
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protected RelativeStrengthIndex RelativeStrengthIndex2 { get; set; }
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protected virtual bool DailyPreciseEndTime => true;
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public override void Initialize()
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{
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InitializeBaseSettings();
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Settings.DailyPreciseEndTime = DailyPreciseEndTime;
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// First RSI: Updates at market close (4 PM) by default
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// If DailyPreciseEndTime is false, updates at midnight (12:00 AM)
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RelativeStrengthIndex1 = new RelativeStrengthIndex(14, MovingAverageType.Wilders);
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RegisterIndicator(Spy, RelativeStrengthIndex1, Resolution.Daily);
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// Second RSI: Updates every 24 hours (from 12:00 AM to 12:00 AM) using a time span
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RelativeStrengthIndex2 = new RelativeStrengthIndex(14, MovingAverageType.Wilders);
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RegisterIndicator(Spy, RelativeStrengthIndex2, TimeSpan.FromDays(1));
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// Warm up indicators with historical data
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var history = History<TradeBar>(Spy, 20, Resolution.Daily).ToList();
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foreach (var bar in history)
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{
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RelativeStrengthIndex1.Update(bar.EndTime, bar.Close);
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RelativeStrengthIndex2.Update(bar.EndTime, bar.Close);
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}
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if (!RelativeStrengthIndex1.IsReady || !RelativeStrengthIndex2.IsReady)
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{
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throw new RegressionTestException("Indicators not ready.");
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}
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SetupFirstIndicatorUpdatedHandler();
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SetupSecondIndicatorUpdatedHandler();
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}
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protected virtual void InitializeBaseSettings()
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{
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SetStartDate(2013, 01, 01);
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SetEndDate(2013, 01, 05);
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Spy = AddEquity("SPY", Resolution.Hour).Symbol;
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}
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/// <summary>
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/// Event handler for the first RSI indicator
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/// Validates update timing and sample consistency
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/// </summary>
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protected virtual void SetupFirstIndicatorUpdatedHandler()
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{
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RelativeStrengthIndex1.Updated += (sender, data) =>
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{
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var updatedTime = Time;
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// Ensure RSI1 updates exactly at market close (4 PM)
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if (updatedTime.TimeOfDay != new TimeSpan(16, 0, 0))
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{
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throw new RegressionTestException($"RSI1 must have updated at 4 PM, but it updated at {updatedTime}.");
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}
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// Since RSI1 updates before RSI2, it should have one extra sample
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if (RelativeStrengthIndex1.Samples - 1 != RelativeStrengthIndex2.Samples)
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{
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throw new RegressionTestException("First RSI indicator should have exactly one more sample than the second indicator.");
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}
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// RSI1's previous value should match RSI2's current value, ensuring consistency
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if (RelativeStrengthIndex1.Previous.Value != RelativeStrengthIndex2.Current.Value)
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{
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throw new RegressionTestException("RSI1 and RSI2 must have same value");
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}
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// RSI1's and RSI2's current values should be different
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if (RelativeStrengthIndex1.Current.Value == RelativeStrengthIndex2.Current.Value)
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{
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throw new RegressionTestException("RSI1 and RSI2 must have different values");
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}
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};
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}
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/// <summary>
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/// Event handler for the second RSI indicator
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/// Validates update timing and sample consistency
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/// </summary>
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protected virtual void SetupSecondIndicatorUpdatedHandler()
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{
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RelativeStrengthIndex2.Updated += (sender, data) =>
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{
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var updatedTime = Time;
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// RSI2 updates at midnight, ensure the update time is correct
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if (updatedTime.TimeOfDay != new TimeSpan(0, 0, 0))
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{
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throw new RegressionTestException($"RSI2 must have updated at midnight, but it was updated at {updatedTime}");
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}
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// Since RSI2 updates later, it must now have the same number of samples as RSI1
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if (RelativeStrengthIndex1.Samples != RelativeStrengthIndex2.Samples)
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{
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throw new RegressionTestException("RSI1 must have same number of samples as RSI2");
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}
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// At this point, RSI1 and RSI2 should have the same value
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if (RelativeStrengthIndex1.Current.Value != RelativeStrengthIndex2.Current.Value)
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{
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throw new RegressionTestException("RSI1 and RSI2 must have same value");
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}
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};
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}
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public override void OnEndOfAlgorithm()
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{
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if (RelativeStrengthIndex1.Samples <= 20)
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{
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throw new RegressionTestException("The number of samples must be greater than 20");
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}
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if (RelativeStrengthIndex1.Samples <= 20)
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{
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throw new RegressionTestException("The number of samples must be greater than 20");
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}
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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 };
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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 virtual long DataPoints => 50;
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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 => 20;
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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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-38.725"},
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{"Tracking Error", "0.232"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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