wehub-resource-sync
84 lines
3.2 KiB
C#
84 lines
3.2 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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm tests Out of The Money (OTM) index option expiry for calls using daily resolution.
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/// </summary>
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public class IndexOptionCallOTMExpiryDailyRegressionAlgorithm : IndexOptionCallOTMExpiryRegressionAlgorithm
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{
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protected override Resolution Resolution => Resolution.Daily;
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public override void Initialize()
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{
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Settings.DailyPreciseEndTime = true;
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base.Initialize();
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}
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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 => 186;
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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 => 1;
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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", "2"},
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{"Average Win", "0%"},
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{"Average Loss", "-0.01%"},
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{"Compounding Annual Return", "-0.142%"},
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{"Drawdown", "0.000%"},
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{"Expectancy", "-1"},
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{"Start Equity", "100000"},
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{"End Equity", "99990"},
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{"Net Profit", "-0.010%"},
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{"Sharpe Ratio", "-15.959"},
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{"Sortino Ratio", "-124989.863"},
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{"Probabilistic Sharpe Ratio", "0%"},
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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", "-0.004"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-0.334"},
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{"Tracking Error", "0.138"},
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{"Treynor Ratio", "-32.969"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "SPX XL80P59H9OI6|SPX 31"},
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{"Portfolio Turnover", "0.00%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "c9b46cdc095c129d82c87864aba89cad"}
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};
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}
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}
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