wehub-resource-sync
134 lines
5.2 KiB
C#
134 lines
5.2 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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/// Scalps TRYJPY using an EMA cross strategy at minute resolution.
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/// This tests FOREX strategies that trade at a higher frequency, which
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/// should have a reduced capacity estimate as a result. This tests that
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/// currency conversions are applied properly to the capacity estimate calculation.
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/// </summary>
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public class IntradayMinuteScalpingTRYJPY : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _tryjpy;
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private ExponentialMovingAverage _fast;
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private ExponentialMovingAverage _slow;
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public override void Initialize()
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{
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SetStartDate(2021, 1, 1);
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SetEndDate(2021, 1, 30);
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SetCash(100000);
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SetWarmup(100);
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_tryjpy = AddForex("TRYJPY", Resolution.Minute, Market.Oanda).Symbol;
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_fast = EMA(_tryjpy, 20);
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_slow = EMA(_tryjpy, 40);
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}
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public override void OnData(Slice slice)
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{
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if (Portfolio[_tryjpy].Quantity <= 0 && _fast > _slow)
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{
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SetHoldings(_tryjpy, 1);
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}
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else if (Portfolio[_tryjpy].Quantity >= 0 && _fast < _slow)
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{
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SetHoldings(_tryjpy, -1);
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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", "603"},
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{"Average Win", "0.20%"},
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{"Average Loss", "-0.26%"},
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{"Compounding Annual Return", "-100.000%"},
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{"Drawdown", "73.200%"},
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{"Expectancy", "-0.849"},
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{"Net Profit", "-73.118%"},
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{"Sharpe Ratio", "-2.046"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "91%"},
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{"Win Rate", "9%"},
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{"Profit-Loss Ratio", "0.75"},
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{"Alpha", "-0.95"},
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{"Beta", "0.541"},
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{"Annual Standard Deviation", "0.489"},
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{"Annual Variance", "0.239"},
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{"Information Ratio", "-1.863"},
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{"Tracking Error", "0.487"},
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{"Treynor Ratio", "-1.849"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$4400000.00"},
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{"Fitness Score", "0.259"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "-2.135"},
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{"Return Over Maximum Drawdown", "-1.389"},
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{"Portfolio Turnover", "49.501"},
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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", "4eb4d703a9f200b6bb3d8b0ebbc9db7f"}
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};
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}
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}
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