wehub-resource-sync
118 lines
4.9 KiB
C#
118 lines
4.9 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 Deedle;
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using QuantConnect.Data;
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using QuantConnect.Packets;
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using System;
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using System.Collections.Generic;
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using System.Globalization;
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using System.Linq;
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namespace QuantConnect.Report.ReportElements
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{
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/// <summary>
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/// Class for render the Sharpe Ratio statistic for a report
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/// </summary>
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public class SharpeRatioReportElement : ReportElement
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{
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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 double _tradingDaysPerYear;
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/// <summary>
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/// Live result object
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/// </summary>
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protected LiveResult LiveResult { get; }
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/// <summary>
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/// Backtest result object
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/// </summary>
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protected BacktestResult BacktestResult { get; }
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/// <summary>
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/// Sharpe Ratio from a backtest
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/// </summary>
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public virtual decimal? BacktestResultValue => BacktestResult?.TotalPerformance?.PortfolioStatistics?.SharpeRatio;
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/// <summary>
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/// Estimate the sharpe ratio 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 SharpeRatioReportElement(string name, string key, BacktestResult backtest, LiveResult live, int tradingDaysPerYear)
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{
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LiveResult = live;
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BacktestResult = backtest;
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Name = name;
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Key = key;
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_tradingDaysPerYear = Convert.ToDouble(tradingDaysPerYear, CultureInfo.InvariantCulture);
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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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if (LiveResult == null)
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{
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Result = BacktestResultValue;
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return BacktestResultValue?.ToString("F1") ?? "-";
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}
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var equityPoints = ResultsUtil.EquityPoints(LiveResult);
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var performance = DeedleUtil.PercentChange(new Series<DateTime, double>(equityPoints).ResampleEquivalence(date => date.Date, s => s.LastValue()));
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if (performance.ValueCount == 0)
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{
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return "-";
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}
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var sixMonthsAgo = performance.LastKey().AddDays(-180);
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var trailingSeries = performance.Where(series => series.Key >= sixMonthsAgo && series.Key.DayOfWeek != DayOfWeek.Saturday && series.Key.DayOfWeek != DayOfWeek.Sunday);
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var trailingPerformance = trailingSeries
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.Values
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.ToList();
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var annualStandardDeviation = trailingPerformance.Count < 7 ? 0 : GetAnnualStandardDeviation(trailingPerformance, _tradingDaysPerYear);
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if (annualStandardDeviation <= 0)
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{
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return "-";
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}
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// Use excess returns to stay consistent with the reported PSR and backtest Sharpe ratio
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var riskFreeRate = new InterestRateProvider().GetAverageRiskFreeRate(trailingSeries.Keys);
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var annualPerformance = Statistics.Statistics.AnnualPerformance(trailingPerformance, _tradingDaysPerYear);
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var liveResultValue = Statistics.Statistics.SharpeRatio(annualPerformance, annualStandardDeviation, (double)riskFreeRate);
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Result = liveResultValue;
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return liveResultValue.ToString("F2");
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}
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/// <summary>
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/// Get annual standard deviation
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/// </summary>
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/// <param name="trailingPerformance">The performance for the last period</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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/// <returns>Annual standard deviation.</returns>
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public virtual double GetAnnualStandardDeviation(List<double> trailingPerformance, double tradingDaysPerYear)
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{
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return Statistics.Statistics.AnnualStandardDeviation(trailingPerformance, tradingDaysPerYear);
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}
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}
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}
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