wehub-resource-sync
101 lines
4.0 KiB
C#
101 lines
4.0 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.Linq;
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using Deedle;
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using QuantConnect.Data;
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using QuantConnect.Packets;
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namespace QuantConnect.Report.ReportElements
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{
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internal sealed class PSRReportElement : ReportElement
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{
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private LiveResult _live;
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private BacktestResult _backtest;
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/// <summary>
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/// The number of trading days per year to get better result of statistics
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/// </summary>
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private int _tradingDaysPerYear;
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/// <summary>
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/// Estimate the PSR of the strategy.
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/// </summary>
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/// <param name="name">Name of the widget</param>
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/// <param name="key">Location of injection</param>
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/// <param name="backtest">Backtest result object</param>
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/// <param name="live">Live result object</param>
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/// <param name="tradingDaysPerYear">The number of trading days per year to get better result of statistics</param>
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public PSRReportElement(string name, string key, BacktestResult backtest, LiveResult live, int tradingDaysPerYear)
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{
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_live = live;
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_backtest = backtest;
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Name = name;
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Key = key;
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_tradingDaysPerYear = tradingDaysPerYear;
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}
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/// <summary>
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/// The generated output string to be injected
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/// </summary>
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public override string Render()
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{
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decimal? psr;
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if (_live == null)
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{
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psr = _backtest?.TotalPerformance?.PortfolioStatistics?.ProbabilisticSharpeRatio;
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Result = psr;
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if (psr == null)
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{
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return "-";
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}
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return $"{psr:P0}";
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}
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var equityCurvePerformance = DrawdownCollection.NormalizeResults(_backtest, _live)
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.ResampleEquivalence(date => date.Date, s => s.LastValue())
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.PercentChange();
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if (equityCurvePerformance.IsEmpty || equityCurvePerformance.KeyCount < 180)
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{
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return "-";
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}
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var sixMonthsBefore = equityCurvePerformance.LastKey() - TimeSpan.FromDays(180);
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// Skip weekends so we stay on a trading-day basis. The risk-free rate below is deannualized by
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// tradingDaysPerYear, so leaving calendar days in would deduct it over ~365 days a year and over-deduct the rate
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var lastSixMonthsPerformance = equityCurvePerformance.Where(kvp => kvp.Key >= sixMonthsBefore
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&& kvp.Key.DayOfWeek != DayOfWeek.Saturday
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&& kvp.Key.DayOfWeek != DayOfWeek.Sunday);
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var benchmarkSharpeRatio = 1.0d / Math.Sqrt(_tradingDaysPerYear);
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// Use the same excess-return basis as the reported PSR by subtracting the deannualized risk-free rate
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var riskFreeRate = new InterestRateProvider().GetAverageRiskFreeRate(lastSixMonthsPerformance.Keys);
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psr = Statistics.Statistics.ProbabilisticSharpeRatio(
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lastSixMonthsPerformance
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.Values
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.ToList(),
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benchmarkSharpeRatio,
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(double)riskFreeRate / _tradingDaysPerYear)
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.SafeDecimalCast();
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Result = psr;
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return $"{psr:P0}";
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}
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}
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}
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