wehub-resource-sync
127 lines
4.8 KiB
C#
127 lines
4.8 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 QuantConnect.Data;
|
|
using QuantConnect.Indicators;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm to test the behaviour of ARMA versus AR models at the same order of differencing.
|
|
/// In particular, an ARIMA(1,1,1) and ARIMA(1,1,0) are instantiated while orders are placed if their difference
|
|
/// is sufficiently large (which would be due to the inclusion of the MA(1) term).
|
|
/// </summary>
|
|
public class AutoRegressiveIntegratedMovingAverageRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private AutoRegressiveIntegratedMovingAverage _arima;
|
|
private AutoRegressiveIntegratedMovingAverage _ar;
|
|
private decimal _last;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 1, 07);
|
|
SetEndDate(2013, 12, 11);
|
|
|
|
Settings.AutomaticIndicatorWarmUp = true;
|
|
AddEquity("SPY", Resolution.Daily);
|
|
_arima = ARIMA("SPY", 1, 1, 1, 50);
|
|
_ar = ARIMA("SPY", 1, 1, 0, 50);
|
|
}
|
|
|
|
public override void OnData(Slice slice)
|
|
{
|
|
if (_arima.IsReady)
|
|
{
|
|
if (Math.Abs(_ar.Current.Value - _arima.Current.Value) > 1) // Difference due to MA(1) being included.
|
|
{
|
|
if (_arima.Current.Value > _last)
|
|
{
|
|
MarketOrder("SPY", 1);
|
|
}
|
|
else
|
|
{
|
|
MarketOrder("SPY", -1);
|
|
}
|
|
}
|
|
|
|
_last = _arima.Current.Value;
|
|
}
|
|
}
|
|
|
|
/// <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 => 1893;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 100;
|
|
|
|
/// <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", "53"},
|
|
{"Average Win", "0.00%"},
|
|
{"Average Loss", "0.00%"},
|
|
{"Compounding Annual Return", "0.076%"},
|
|
{"Drawdown", "0.100%"},
|
|
{"Expectancy", "2.933"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "100070.90"},
|
|
{"Net Profit", "0.071%"},
|
|
{"Sharpe Ratio", "-9.164"},
|
|
{"Sortino Ratio", "-9.852"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "27%"},
|
|
{"Win Rate", "73%"},
|
|
{"Profit-Loss Ratio", "4.41"},
|
|
{"Alpha", "-0.008"},
|
|
{"Beta", "0.008"},
|
|
{"Annual Standard Deviation", "0.001"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "-1.961"},
|
|
{"Tracking Error", "0.092"},
|
|
{"Treynor Ratio", "-0.911"},
|
|
{"Total Fees", "$53.00"},
|
|
{"Estimated Strategy Capacity", "$16000000000.00"},
|
|
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
|
{"Portfolio Turnover", "0.02%"},
|
|
{"Drawdown Recovery", "50"},
|
|
{"OrderListHash", "685c37df6e4c49b75792c133be189094"}
|
|
};
|
|
}
|
|
}
|