wehub-resource-sync
74 lines
2.8 KiB
C#
74 lines
2.8 KiB
C#
using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression for running an Index algorithm with Hourly data
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/// </summary>
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public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorithm
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{
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protected override Resolution Resolution => Resolution.Hour;
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protected override int ExpectedBarCount => base.ExpectedBarCount * 8;
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public override bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public override List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 401;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "19"},
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{"Average Win", "0%"},
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{"Average Loss", "-0.11%"},
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{"Compounding Annual Return", "-18.082%"},
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{"Drawdown", "0.800%"},
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{"Expectancy", "-1"},
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{"Start Equity", "1000000"},
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{"End Equity", "991995"},
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{"Net Profit", "-0.800%"},
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{"Sharpe Ratio", "-5.01"},
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{"Sortino Ratio", "-2.603"},
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{"Probabilistic Sharpe Ratio", "0.018%"},
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{"Loss Rate", "100%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.151"},
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{"Beta", "0.149"},
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{"Annual Standard Deviation", "0.027"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-2.39"},
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{"Tracking Error", "0.097"},
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{"Treynor Ratio", "-0.917"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$1800000.00"},
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{"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
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{"Portfolio Turnover", "5.58%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "1c7d841e0280e91b2297410fe2dbbc89"}
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};
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}
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}
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