wehub-resource-sync
78 lines
3.2 KiB
C#
78 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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using System.Linq;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp.RegressionTests
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{
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/// <summary>
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/// A regression test algorithm that uses SetHoldings to liquidate the portfolio by setting holdings to zero.
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/// </summary>
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public class LiquidateUsingSetHoldingsRegressionAlgorithm : LiquidateRegressionAlgorithm
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{
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public override void PerformLiquidation()
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{
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var properties = new OrderProperties { TimeInForce = TimeInForce.GoodTilCanceled };
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OrderTickets.AddRange(SetHoldings(new List<PortfolioTarget>(), true, tag: "LiquidatedTest", orderProperties: properties));
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var orders = Transactions.GetOrders().ToList();
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var orderTags = orders.Where(e => e.Tag == "LiquidatedTest").ToList();
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if (orderTags.Count != orders.Count)
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{
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throw new RegressionTestException("The tag was not set on all orders");
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}
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var orderProperties = orders.Where(e => e.Properties.TimeInForce == TimeInForce.GoodTilCanceled).ToList();
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if (orderProperties.Count != orders.Count)
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{
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throw new RegressionTestException("The properties were not set on all orders");
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}
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}
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "6"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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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", "-10.398"},
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{"Tracking Error", "0.045"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "2cdbee112f22755f26f640c97c305aae"}
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};
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}
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}
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