wehub-resource-sync
118 lines
4.6 KiB
C#
118 lines
4.6 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.Collections.Generic;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Tests capacity by trading SPY (beast) alongside a small cap stock ABUS (penny)
|
|
/// </summary>
|
|
public class BeastVsPenny : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private Symbol _spy;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2020, 1, 1);
|
|
SetEndDate(2020, 3, 31);
|
|
SetCash(10000);
|
|
|
|
_spy = AddEquity("SPY", Resolution.Hour).Symbol;
|
|
var penny = AddEquity("ABUS", Resolution.Hour).Symbol;
|
|
|
|
Schedule.On(DateRules.EveryDay(_spy), TimeRules.AfterMarketOpen(_spy, 1, false), () =>
|
|
{
|
|
SetHoldings(_spy, 0.5m);
|
|
SetHoldings(penny, 0.5m);
|
|
});
|
|
}
|
|
|
|
/// <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; } = false;
|
|
|
|
/// <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 => 0;
|
|
|
|
/// </summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 0;
|
|
|
|
/// <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", "70"},
|
|
{"Average Win", "0.07%"},
|
|
{"Average Loss", "-0.51%"},
|
|
{"Compounding Annual Return", "-89.548%"},
|
|
{"Drawdown", "49.900%"},
|
|
{"Expectancy", "-0.514"},
|
|
{"Net Profit", "-42.920%"},
|
|
{"Sharpe Ratio", "-0.797"},
|
|
{"Probabilistic Sharpe Ratio", "9.019%"},
|
|
{"Loss Rate", "57%"},
|
|
{"Win Rate", "43%"},
|
|
{"Profit-Loss Ratio", "0.13"},
|
|
{"Alpha", "-0.24"},
|
|
{"Beta", "1.101"},
|
|
{"Annual Standard Deviation", "1.031"},
|
|
{"Annual Variance", "1.063"},
|
|
{"Information Ratio", "-0.351"},
|
|
{"Tracking Error", "0.836"},
|
|
{"Treynor Ratio", "-0.747"},
|
|
{"Total Fees", "$81.45"},
|
|
{"Estimated Strategy Capacity", "$21000.00"},
|
|
{"Fitness Score", "0.01"},
|
|
{"Kelly Criterion Estimate", "0"},
|
|
{"Kelly Criterion Probability Value", "0"},
|
|
{"Sortino Ratio", "-1.284"},
|
|
{"Return Over Maximum Drawdown", "-1.789"},
|
|
{"Portfolio Turnover", "0.038"},
|
|
{"Total Insights Generated", "0"},
|
|
{"Total Insights Closed", "0"},
|
|
{"Total Insights Analysis Completed", "0"},
|
|
{"Long Insight Count", "0"},
|
|
{"Short Insight Count", "0"},
|
|
{"Long/Short Ratio", "100%"},
|
|
{"Estimated Monthly Alpha Value", "$0"},
|
|
{"Total Accumulated Estimated Alpha Value", "$0"},
|
|
{"Mean Population Estimated Insight Value", "$0"},
|
|
{"Mean Population Direction", "0%"},
|
|
{"Mean Population Magnitude", "0%"},
|
|
{"Rolling Averaged Population Direction", "0%"},
|
|
{"Rolling Averaged Population Magnitude", "0%"},
|
|
{"OrderListHash", "67c9083f604ed16fb68481e7c26878dc"}
|
|
};
|
|
}
|
|
}
|