wehub-resource-sync
210 lines
9.0 KiB
C#
210 lines
9.0 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using System.Collections.Generic;
|
|
using System.Linq;
|
|
using System.Text;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// In this algorithm we show how you can easily use the universe selection feature to fetch symbols
|
|
/// to be traded using the AddUniverse method. This method accepts a function that will return the
|
|
/// desired current set of symbols. Return Universe.Unchanged if no universe changes should be made
|
|
/// </summary>
|
|
/// <meta name="tag" content="using data" />
|
|
/// <meta name="tag" content="universes" />
|
|
/// <meta name="tag" content="custom universes" />
|
|
public class DropboxUniverseSelectionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
// the changes from the previous universe selection
|
|
private SecurityChanges _changes = SecurityChanges.None;
|
|
// only used in backtest for caching the file results
|
|
private readonly Dictionary<DateTime, List<string>> _backtestSymbolsPerDay = new Dictionary<DateTime, List<string>>();
|
|
|
|
/// <summary>
|
|
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
/// </summary>
|
|
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
|
|
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
|
|
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
|
|
public override void Initialize()
|
|
{
|
|
// this sets the resolution for data subscriptions added by our universe
|
|
UniverseSettings.Resolution = Resolution.Daily;
|
|
|
|
// Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
|
|
// Commented so regression algorithm is more sensitive
|
|
//Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
|
|
|
|
// set our start and end for backtest mode
|
|
SetStartDate(2017, 07, 04);
|
|
SetEndDate(2018, 07, 04);
|
|
|
|
// define a new custom universe that will trigger each day at midnight
|
|
AddUniverse("my-dropbox-universe", Resolution.Daily, dateTime =>
|
|
{
|
|
// handle live mode file format
|
|
if (LiveMode)
|
|
{
|
|
// fetch the file from dropbox
|
|
var file = Download(@"https://www.dropbox.com/s/2l73mu97gcehmh7/daily-stock-picker-live.csv?dl=1");
|
|
// if we have a file for today, break apart by commas and return symbols
|
|
if (file.Length > 0) return file.ToCsv();
|
|
// no symbol today, leave universe unchanged
|
|
return Universe.Unchanged;
|
|
}
|
|
|
|
// backtest - first cache the entire file
|
|
if (_backtestSymbolsPerDay.Count == 0)
|
|
{
|
|
// No need for headers for authorization with dropbox, these two lines are for example purposes
|
|
var byteKey = Encoding.ASCII.GetBytes($"UserName:Password");
|
|
// The headers must be passed to the Download method as list of key/value pair.
|
|
var headers = new List<KeyValuePair<string, string>>
|
|
{
|
|
new KeyValuePair<string, string>("Authorization", $"Basic ({Convert.ToBase64String(byteKey)})")
|
|
};
|
|
|
|
var file = Download(@"https://www.dropbox.com/s/ae1couew5ir3z9y/daily-stock-picker-backtest.csv?dl=1", headers);
|
|
|
|
// split the file into lines and add to our cache
|
|
foreach (var line in file.Split(new[] { '\n', '\r' }, StringSplitOptions.RemoveEmptyEntries))
|
|
{
|
|
var csv = line.ToCsv();
|
|
var date = DateTime.ParseExact(csv[0], "yyyyMMdd", null);
|
|
var symbols = csv.Skip(1).ToList();
|
|
_backtestSymbolsPerDay[date] = symbols;
|
|
}
|
|
}
|
|
|
|
// if we have symbols for this date return them, else specify Universe.Unchanged
|
|
List<string> result;
|
|
if (_backtestSymbolsPerDay.TryGetValue(dateTime.Date, out result))
|
|
{
|
|
return result;
|
|
}
|
|
return Universe.Unchanged;
|
|
});
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
|
|
/// </summary>
|
|
/// <code>
|
|
/// TradeBars bars = slice.Bars;
|
|
/// Ticks ticks = slice.Ticks;
|
|
/// TradeBar spy = slice["SPY"];
|
|
/// List{Tick} aaplTicks = slice["AAPL"]
|
|
/// Quandl oil = slice["OIL"]
|
|
/// dynamic anySymbol = slice[symbol];
|
|
/// DataDictionary{Quandl} allQuandlData = slice.Get{Quand}
|
|
/// Quandl oil = slice.Get{Quandl}("OIL")
|
|
/// </code>
|
|
/// <param name="slice">The current slice of data keyed by symbol string</param>
|
|
public override void OnData(Slice slice)
|
|
{
|
|
if (slice.Bars.Count == 0) return;
|
|
if (_changes == SecurityChanges.None) return;
|
|
|
|
// start fresh
|
|
Liquidate();
|
|
|
|
var percentage = 1m/slice.Bars.Count;
|
|
foreach (var tradeBar in slice.Bars.Values)
|
|
{
|
|
SetHoldings(tradeBar.Symbol, percentage);
|
|
}
|
|
|
|
// reset changes
|
|
_changes = SecurityChanges.None;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event fired each time the we add/remove securities from the data feed
|
|
/// </summary>
|
|
/// <param name="changes"></param>
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
// each time our securities change we'll be notified here
|
|
_changes = changes;
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public long DataPoints => 5278;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 0;
|
|
|
|
/// <summary>
|
|
/// Final status of the algorithm
|
|
/// </summary>
|
|
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Orders", "5059"},
|
|
{"Average Win", "0.08%"},
|
|
{"Average Loss", "-0.07%"},
|
|
{"Compounding Annual Return", "16.423%"},
|
|
{"Drawdown", "10.500%"},
|
|
{"Expectancy", "0.081"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "116400.57"},
|
|
{"Net Profit", "16.401%"},
|
|
{"Sharpe Ratio", "0.891"},
|
|
{"Sortino Ratio", "0.831"},
|
|
{"Probabilistic Sharpe Ratio", "42.279%"},
|
|
{"Loss Rate", "47%"},
|
|
{"Win Rate", "53%"},
|
|
{"Profit-Loss Ratio", "1.03"},
|
|
{"Alpha", "0.018"},
|
|
{"Beta", "0.984"},
|
|
{"Annual Standard Deviation", "0.11"},
|
|
{"Annual Variance", "0.012"},
|
|
{"Information Ratio", "0.416"},
|
|
{"Tracking Error", "0.041"},
|
|
{"Treynor Ratio", "0.099"},
|
|
{"Total Fees", "$5848.25"},
|
|
{"Estimated Strategy Capacity", "$510000.00"},
|
|
{"Lowest Capacity Asset", "BNO UN3IMQ2JU1YD"},
|
|
{"Portfolio Turnover", "106.75%"},
|
|
{"Drawdown Recovery", "36"},
|
|
{"OrderListHash", "5499e61404d453274cee78904d4c0e92"}
|
|
};
|
|
}
|
|
}
|