wehub-resource-sync
252 lines
11 KiB
C#
252 lines
11 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 System.Linq;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// In this algorithm we show how you can easily use the universe selection feature to fetch symbols
|
|
/// to be traded using the BaseData custom data system in combination with the AddUniverse{T} method.
|
|
/// AddUniverse{T} requires a function that will return the symbols to be traded.
|
|
/// </summary>
|
|
/// <meta name="tag" content="using data" />
|
|
/// <meta name="tag" content="universes" />
|
|
/// <meta name="tag" content="custom universes" />
|
|
public class DropboxBaseDataUniverseSelectionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
// the changes from the previous universe selection
|
|
private SecurityChanges _changes = SecurityChanges.None;
|
|
|
|
/// <summary>
|
|
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
/// </summary>
|
|
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
|
|
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
|
|
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
|
|
public override void Initialize()
|
|
{
|
|
UniverseSettings.Resolution = Resolution.Daily;
|
|
|
|
// Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
|
|
// Commented so regression algorithm is more sensitive
|
|
//Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
|
|
|
|
SetStartDate(2017, 07, 06);
|
|
SetEndDate(2018, 07, 04);
|
|
|
|
var universe = AddUniverse<StockDataSource>(stockDataSource =>
|
|
{
|
|
return stockDataSource.OfType<StockDataSource>().SelectMany(x => x.Symbols);
|
|
});
|
|
|
|
var historicalSelectionData = History(universe, 3).ToList();
|
|
if (historicalSelectionData.Count != 3)
|
|
{
|
|
throw new RegressionTestException($"Unexpected universe data count {historicalSelectionData.Count}");
|
|
}
|
|
|
|
foreach (var universeData in historicalSelectionData)
|
|
{
|
|
var stockDataSource = (StockDataSource)universeData.Single();
|
|
if (stockDataSource.Symbols.Count != 5)
|
|
{
|
|
throw new RegressionTestException($"Unexpected universe data receieved");
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
|
|
/// </summary>
|
|
/// <code>
|
|
/// TradeBars bars = slice.Bars;
|
|
/// Ticks ticks = slice.Ticks;
|
|
/// TradeBar spy = slice["SPY"];
|
|
/// List{Tick} aaplTicks = slice["AAPL"]
|
|
/// Quandl oil = slice["OIL"]
|
|
/// dynamic anySymbol = slice[symbol];
|
|
/// DataDictionary{Quandl} allQuandlData = slice.Get{Quand}
|
|
/// Quandl oil = slice.Get{Quandl}("OIL")
|
|
/// </code>
|
|
/// <param name="slice">The current slice of data keyed by symbol string</param>
|
|
public override void OnData(Slice slice)
|
|
{
|
|
if (slice.Bars.Count == 0) return;
|
|
if (_changes == SecurityChanges.None) return;
|
|
|
|
// start fresh
|
|
|
|
Liquidate();
|
|
|
|
var percentage = 1m / slice.Bars.Count;
|
|
foreach (var tradeBar in slice.Bars.Values)
|
|
{
|
|
SetHoldings(tradeBar.Symbol, percentage);
|
|
}
|
|
|
|
// reset changes
|
|
_changes = SecurityChanges.None;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event fired each time the we add/remove securities from the data feed
|
|
/// </summary>
|
|
/// <param name="changes"></param>
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
// each time our securities change we'll be notified here
|
|
_changes = changes;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Our custom data type that defines where to get and how to read our backtest and live data.
|
|
/// </summary>
|
|
class StockDataSource : BaseDataCollection
|
|
{
|
|
private const string LiveUrl = @"https://www.dropbox.com/s/2l73mu97gcehmh7/daily-stock-picker-live.csv?dl=1";
|
|
private const string BacktestUrl = @"https://www.dropbox.com/s/ae1couew5ir3z9y/daily-stock-picker-backtest.csv?dl=1";
|
|
|
|
/// <summary>
|
|
/// The symbols to be selected
|
|
/// </summary>
|
|
public List<string> Symbols { get; set; }
|
|
|
|
/// <summary>
|
|
/// Required default constructor
|
|
/// </summary>
|
|
public StockDataSource()
|
|
{
|
|
// initialize our list to empty
|
|
Symbols = new List<string>();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Return the URL string source of the file. This will be converted to a stream
|
|
/// </summary>
|
|
/// <param name="config">Configuration object</param>
|
|
/// <param name="date">Date of this source file</param>
|
|
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
|
|
/// <returns>String URL of source file.</returns>
|
|
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
|
|
{
|
|
var url = isLiveMode ? LiveUrl : BacktestUrl;
|
|
return new SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile, FileFormat.FoldingCollection);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
|
|
/// each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.
|
|
/// </summary>
|
|
/// <param name="config">Subscription data config setup object</param>
|
|
/// <param name="line">Line of the source document</param>
|
|
/// <param name="date">Date of the requested data</param>
|
|
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
|
|
/// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
|
|
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
|
|
{
|
|
try
|
|
{
|
|
// create a new StockDataSource and set the symbol using config.Symbol
|
|
var stocks = new StockDataSource {Symbol = config.Symbol};
|
|
// break our line into csv pieces
|
|
var csv = line.ToCsv();
|
|
if (isLiveMode)
|
|
{
|
|
// our live mode format does not have a date in the first column, so use date parameter
|
|
stocks.Time = date;
|
|
stocks.Symbols.AddRange(csv);
|
|
}
|
|
else
|
|
{
|
|
// our backtest mode format has the first column as date, parse it
|
|
stocks.Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null);
|
|
// any following comma separated values are symbols, save them off
|
|
stocks.Symbols.AddRange(csv.Skip(1));
|
|
}
|
|
return stocks;
|
|
}
|
|
// return null if we encounter any errors
|
|
catch { return null; }
|
|
}
|
|
}
|
|
|
|
/// <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 => 5269;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 3;
|
|
|
|
/// <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", "6415"},
|
|
{"Average Win", "0.07%"},
|
|
{"Average Loss", "-0.07%"},
|
|
{"Compounding Annual Return", "15.655%"},
|
|
{"Drawdown", "10.500%"},
|
|
{"Expectancy", "0.071"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "115562.68"},
|
|
{"Net Profit", "15.563%"},
|
|
{"Sharpe Ratio", "0.844"},
|
|
{"Sortino Ratio", "0.788"},
|
|
{"Probabilistic Sharpe Ratio", "40.414%"},
|
|
{"Loss Rate", "46%"},
|
|
{"Win Rate", "54%"},
|
|
{"Profit-Loss Ratio", "0.98"},
|
|
{"Alpha", "0.008"},
|
|
{"Beta", "0.986"},
|
|
{"Annual Standard Deviation", "0.11"},
|
|
{"Annual Variance", "0.012"},
|
|
{"Information Ratio", "0.155"},
|
|
{"Tracking Error", "0.041"},
|
|
{"Treynor Ratio", "0.094"},
|
|
{"Total Fees", "$7460.54"},
|
|
{"Estimated Strategy Capacity", "$450000.00"},
|
|
{"Lowest Capacity Asset", "BNO UN3IMQ2JU1YD"},
|
|
{"Portfolio Turnover", "135.63%"},
|
|
{"Drawdown Recovery", "36"},
|
|
{"OrderListHash", "29c715831bd675f04226f9fd8855a52e"}
|
|
};
|
|
}
|
|
}
|