wehub-resource-sync
114 lines
5.0 KiB
C#
114 lines
5.0 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.Orders;
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namespace QuantConnect.Algorithm.CSharp.RegressionTests
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{
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/// <summary>
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/// Tests liquidating all portfolio holdings except a specific symbol, verifying canceled orders and correct tags.
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/// </summary>
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public class LiquidateAllExceptSpecifiedSymbolRegressionAlgorithm : LiquidateRegressionAlgorithm
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{
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public override void Rebalance()
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{
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// Place a MarketOrder
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MarketOrder(Ibm, 10);
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// Place a LimitOrder to sell 1 share at a price below the current market price
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LimitOrder(Ibm, 1, Securities[Ibm].Price - 5);
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// Liquidate the remaining symbols in the portfolio, except for SPY
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var orderProperties = new OrderProperties { TimeInForce = TimeInForce.GoodTilCanceled };
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OrderTickets.AddRange(SetHoldings(Spy, 1, true, tag: "LiquidatedTest", orderProperties: orderProperties));
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}
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public override void OnEndOfAlgorithm()
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{
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// Retrieve all orders from the Transactions for analysis
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var orders = Transactions.GetOrders().ToList();
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// Count orders that were canceled
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var canceledOrdersCount = orders.Where(order => order.Status == OrderStatus.Canceled).Count();
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// Expectation 1: There should be exactly 4 canceled orders.
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// This occurs because Rebalance is called twice, and each call to Rebalance
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// (e.g., LimitOrder or MarketOrder) that get canceled due to the Liquidate call in SetHoldings.
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if (canceledOrdersCount != 4)
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{
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throw new RegressionTestException($"Expected 4 canceled orders, but found {canceledOrdersCount}.");
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}
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// Count orders that were not canceled
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var nonCanceledOrdersCount = orders.Where(order => order.Status != OrderStatus.Canceled).Count();
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// Expectation 2: There should be exactly 1 non-canceled order after the Liquidate call.
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// This occurs because all holdings except SPY are liquidated, and a new order is placed for SPY.
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if (nonCanceledOrdersCount != 1)
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{
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throw new RegressionTestException($"Expected 1 non-canceled order, but found {nonCanceledOrdersCount}.");
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}
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if (nonCanceledOrdersCount != OrderTickets.Count)
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{
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throw new RegressionTestException($"Expected {OrderTickets.Count} non-canceled orders, but found {nonCanceledOrdersCount}.");
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}
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// Verify all tags are "LiquidatedTest"
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var invalidTags = orders.Where(order => order.Tag != "LiquidatedTest").ToList();
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if (invalidTags.Count != 0)
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{
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var invalidTagsDetails = string.Join(", ", invalidTags.Select(order => $"OrderID {order.Id}, Tag: {order.Tag}"));
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throw new RegressionTestException($"All orders should have the tag 'LiquidatedTest', but found invalid tags: {invalidTagsDetails}.");
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}
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}
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "5"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "36.497%"},
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{"Drawdown", "0.200%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100569.90"},
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{"Net Profit", "0.570%"},
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{"Sharpe Ratio", "9.031"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "84.014%"},
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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", "-0.003"},
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{"Beta", "0.559"},
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{"Annual Standard Deviation", "0.028"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-8.867"},
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{"Tracking Error", "0.023"},
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{"Treynor Ratio", "0.447"},
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{"Total Fees", "$1.95"},
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{"Estimated Strategy Capacity", "$850000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "14.23%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "611f320cf76c36e8cdcb1938e4154682"}
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};
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}
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}
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