wehub-resource-sync
244 lines
10 KiB
C#
244 lines
10 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 QuantConnect.Data;
|
|
using QuantConnect.Interfaces;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Statistics;
|
|
using QuantConnect.Algorithm.Framework.Portfolio;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression test used for testing setting an account currency different than USD
|
|
/// and trading a Security in quote currency different than account currency.
|
|
/// Uses SecurityMarginModel as BuyingPowerModel.
|
|
/// </summary>
|
|
public class SetAccountCurrencySecurityMarginModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private Security _spy;
|
|
private int _step;
|
|
private decimal _expectedOrderQuantity;
|
|
private decimal _previousHoldingsFees;
|
|
private int _previousClosedTradesCount;
|
|
private decimal _initialCapital;
|
|
|
|
/// <summary>
|
|
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
/// </summary>
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 10, 07); //Set Start Date
|
|
SetEndDate(2013, 10, 15); //Set End Date
|
|
SetAccountCurrency("EUR"); // Change account currency
|
|
_initialCapital = Portfolio.CashBook["EUR"].Amount;
|
|
|
|
_spy = AddEquity("SPY", Resolution.Daily);
|
|
if (!(_spy.BuyingPowerModel is SecurityMarginModel))
|
|
{
|
|
throw new RegressionTestException("This regression algorithm is expected to test the SecurityMarginModel");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
/// </summary>
|
|
/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
|
|
public override void OnData(Slice slice)
|
|
{
|
|
Log($"OnData(): Current execution step: {_step}");
|
|
switch (_step)
|
|
{
|
|
case 0:
|
|
_step++;
|
|
UpdateExpectedOrderQuantity(0.5m);
|
|
SetHoldings(_spy.Symbol, 0.5);
|
|
break;
|
|
case 1:
|
|
_step++;
|
|
UpdateExpectedOrderQuantity(1);
|
|
SetHoldings(_spy.Symbol, 1);
|
|
break;
|
|
case 2:
|
|
_step++;
|
|
UpdateExpectedOrderQuantity(0);
|
|
SetHoldings(_spy.Symbol, 0);
|
|
break;
|
|
case 3:
|
|
_step++;
|
|
UpdateExpectedOrderQuantity(-0.5m);
|
|
SetHoldings(_spy.Symbol, -0.5);
|
|
break;
|
|
case 4:
|
|
_step++;
|
|
UpdateExpectedOrderQuantity(-1);
|
|
SetHoldings(_spy.Symbol, -1);
|
|
break;
|
|
case 5:
|
|
_step++;
|
|
UpdateExpectedOrderQuantity(0);
|
|
SetHoldings(_spy.Symbol, 0);
|
|
break;
|
|
}
|
|
}
|
|
|
|
private void UpdateExpectedOrderQuantity(decimal target)
|
|
{
|
|
_expectedOrderQuantity = (Portfolio.TotalPortfolioValueLessFreeBuffer * target - _spy.Holdings.HoldingsValue)
|
|
/ (_spy.Price * _spy.QuoteCurrency.ConversionRate);
|
|
_expectedOrderQuantity--; // minus 1 per fees
|
|
_expectedOrderQuantity -= _expectedOrderQuantity % _spy.SymbolProperties.LotSize;
|
|
_expectedOrderQuantity = _expectedOrderQuantity.Normalize();
|
|
}
|
|
|
|
public override void OnEndOfAlgorithm()
|
|
{
|
|
if (Portfolio.CashBook["EUR"].Amount != _initialCapital)
|
|
{
|
|
throw new RegressionTestException($"Unexpected EUR ending cash amount: {Portfolio.CashBook["EUR"].Amount}.");
|
|
}
|
|
var expectedAmount = Portfolio.CashBook.Convert(Portfolio.TotalProfit, "EUR", "USD")
|
|
- Portfolio.CashBook.Convert(Portfolio.TotalFees, "EUR", "USD");
|
|
var amount = Portfolio.CashBook["USD"].Amount;
|
|
// there could be a small difference due to conversion rates
|
|
// leave 1% for error
|
|
if (Math.Abs(expectedAmount - amount) > Math.Abs(expectedAmount) * 0.01m)
|
|
{
|
|
throw new RegressionTestException($"Unexpected USD ending cash amount: {amount}. Expected {expectedAmount}");
|
|
}
|
|
}
|
|
|
|
public override void OnOrderEvent(OrderEvent orderEvent)
|
|
{
|
|
if (orderEvent.Status == OrderStatus.Filled)
|
|
{
|
|
Log($"OnOrderEvent(): New filled order event: {orderEvent}");
|
|
// leave 1 unit as error in expected value
|
|
if (Math.Abs(orderEvent.FillQuantity - _expectedOrderQuantity) > 2)
|
|
{
|
|
throw new RegressionTestException($"Unexpected order event fill quantity: {orderEvent.FillQuantity}. " +
|
|
$"Expected {_expectedOrderQuantity}");
|
|
}
|
|
|
|
var orderFeeInAccountCurrency = Portfolio.CashBook.ConvertToAccountCurrency(orderEvent.OrderFee.Value).Amount;
|
|
var expectedOrderFee = _spy.Holdings.TotalFees - _previousHoldingsFees;
|
|
if (orderEvent.OrderFee.Value.Currency == AccountCurrency
|
|
// leave 0.00001m as error in expected fee value
|
|
|| Math.Abs(expectedOrderFee - orderFeeInAccountCurrency) > 0.00001m)
|
|
{
|
|
throw new RegressionTestException($"Unexpected order fee: {orderFeeInAccountCurrency}. " +
|
|
$"Expected {expectedOrderFee}");
|
|
}
|
|
|
|
if (!TradeBuilder.HasOpenPosition(_spy.Symbol))
|
|
{
|
|
var lastTrade = TradeBuilder.ClosedTrades.Last();
|
|
|
|
var expectedProfitLoss = (lastTrade.ExitPrice - lastTrade.EntryPrice)
|
|
* lastTrade.Quantity
|
|
* _spy.QuoteCurrency.ConversionRate
|
|
* (lastTrade.Direction == TradeDirection.Long ? 1 : -1);
|
|
|
|
if (Math.Abs(expectedProfitLoss - lastTrade.ProfitLoss) > 1)
|
|
{
|
|
throw new RegressionTestException($"Unexpected last trade ProfitLoss: {lastTrade.ProfitLoss}. " +
|
|
$"Expected {expectedProfitLoss}");
|
|
}
|
|
|
|
// There is a difference in what does Holdings and TradeBuilder consider LastTrade
|
|
if (TradeBuilder.ClosedTrades.Count - _previousClosedTradesCount > 1)
|
|
{
|
|
var trade = TradeBuilder.ClosedTrades[_previousClosedTradesCount];
|
|
expectedProfitLoss += trade.ProfitLoss;
|
|
}
|
|
|
|
if (Math.Abs(_spy.Holdings.LastTradeProfit - expectedProfitLoss) > 1)
|
|
{
|
|
throw new RegressionTestException($"Unexpected Holdings.NetProfit: {_spy.Holdings.LastTradeProfit}. " +
|
|
$"Expected {expectedProfitLoss}");
|
|
}
|
|
}
|
|
|
|
_previousHoldingsFees = _spy.Holdings.TotalFees;
|
|
_previousClosedTradesCount = TradeBuilder.ClosedTrades.Count;
|
|
}
|
|
}
|
|
|
|
/// <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 };
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public long DataPoints => 73;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 5;
|
|
|
|
/// <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", "6"},
|
|
{"Average Win", "0.41%"},
|
|
{"Average Loss", "-0.85%"},
|
|
{"Compounding Annual Return", "-15.354%"},
|
|
{"Drawdown", "1.200%"},
|
|
{"Expectancy", "-0.260"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "99551.92"},
|
|
{"Net Profit", "-0.448%"},
|
|
{"Sharpe Ratio", "-1.459"},
|
|
{"Sortino Ratio", "-2.624"},
|
|
{"Probabilistic Sharpe Ratio", "33.216%"},
|
|
{"Loss Rate", "50%"},
|
|
{"Win Rate", "50%"},
|
|
{"Profit-Loss Ratio", "0.48"},
|
|
{"Alpha", "-0.349"},
|
|
{"Beta", "0.34"},
|
|
{"Annual Standard Deviation", "0.084"},
|
|
{"Annual Variance", "0.007"},
|
|
{"Information Ratio", "-6.601"},
|
|
{"Tracking Error", "0.119"},
|
|
{"Treynor Ratio", "-0.361"},
|
|
{"Total Fees", "€13.70"},
|
|
{"Estimated Strategy Capacity", "€790000000.00"},
|
|
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
|
{"Portfolio Turnover", "40.00%"},
|
|
{"Drawdown Recovery", "2"},
|
|
{"OrderListHash", "a267868d506c93c1ff229e485d7744ba"}
|
|
};
|
|
}
|
|
}
|