wehub-resource-sync
247 lines
14 KiB
C#
247 lines
14 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.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Indicators;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Tests a wide variety of liquid and illiquid stocks together, with bins
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/// of 20 ranging from micro-cap to mega-cap stocks.
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/// </summary>
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public class EmaPortfolioRebalance100 : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private List<SymbolData> _data;
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public override void Initialize()
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{
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SetStartDate(2020, 1, 1);
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SetEndDate(2020, 2, 5);
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SetWarmup(1000);
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SetCash(100000);
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_data = new List<SymbolData> {
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new SymbolData(this, AddEquity("AADR", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AAMC", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AAU", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ABDC", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ABIO", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ABUS", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AC", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACER", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACES", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACGLO", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACH", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACHV", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACIO", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACIU", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACNB", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACRS", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACSI", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACT", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACT", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACTG", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZYNE", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZYME", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZUO", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZUMZ", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZTR", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZSL", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZSAN", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZROZ", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZLAB", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZIXI", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZIV", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZIOP", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZGNX", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZG", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZEUS", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZAGG", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("YYY", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("YRD", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("YRCW", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("YPF", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AA", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AAN", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AAP", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AAXN", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ABB", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ABC", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACAD", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACC", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACGL", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACIW", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACM", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACWV", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ACWX", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ADM", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ADPT", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ADS", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ADUS", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AEM", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AEO", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AEP", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ZTS", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("YUM", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XLY", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XLV", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XLRE", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XLP", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XLNX", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XLF", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XLC", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XLB", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XEL", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("XBI", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("X", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("WYNN", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("WW", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("WORK", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("WMB", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("WM", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("WELL", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("WEC", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AAPL", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("ADBE", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AGG", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AMD", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("AMZN", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("BA", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("BABA", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("BAC", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("BMY", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("C", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("CMCSA", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("CRM", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("CSCO", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("DIS", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("EEM", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("EFA", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("FB", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("GDX", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("GE", Resolution.Minute).Symbol),
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new SymbolData(this, AddEquity("SPY", Resolution.Minute).Symbol)
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};
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}
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public override void OnData(Slice slice)
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{
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var fastFactor = 0.005m;
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foreach (var sd in _data)
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{
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if (!Portfolio.Invested && sd.Fast * (1 + fastFactor) > sd.Slow)
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{
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SetHoldings(sd.Symbol, 0.01);
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}
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else if (Portfolio.Invested && sd.Fast * (1 - fastFactor) < sd.Slow)
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{
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Liquidate(sd.Symbol);
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}
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}
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}
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public class SymbolData
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{
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public Symbol Symbol { get; set; }
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public ExponentialMovingAverage Fast { get; set; }
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public ExponentialMovingAverage Slow { get; set; }
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public bool IsCrossed => Fast > Slow;
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public SymbolData(QCAlgorithm algorithm, Symbol symbol) {
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Symbol = symbol;
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Fast = algorithm.EMA(symbol, 20);
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Slow = algorithm.EMA(symbol, 300);
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}
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}
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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 bool CanRunLocally { get; } = false;
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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 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 long DataPoints => 0;
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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 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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "1015"},
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{"Average Win", "0.01%"},
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{"Average Loss", "0.00%"},
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{"Compounding Annual Return", "-12.674%"},
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{"Drawdown", "1.400%"},
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{"Expectancy", "-0.761"},
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{"Net Profit", "-1.328%"},
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{"Sharpe Ratio", "-12.258"},
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{"Probabilistic Sharpe Ratio", "0.000%"},
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{"Loss Rate", "95%"},
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{"Win Rate", "5%"},
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{"Profit-Loss Ratio", "3.67"},
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{"Alpha", "-0.142"},
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{"Beta", "0.038"},
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{"Annual Standard Deviation", "0.01"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-4.389"},
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{"Tracking Error", "0.123"},
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{"Treynor Ratio", "-3.359"},
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{"Total Fees", "$1125.52"},
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{"Estimated Strategy Capacity", "$300.00"},
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{"Fitness Score", "0.007"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "-14.315"},
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{"Return Over Maximum Drawdown", "-9.589"},
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{"Portfolio Turnover", "0.406"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "4c165e8d648d54a85bb7b564050a6f85"}
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};
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}
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}
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