wehub-resource-sync
85 lines
3.2 KiB
C#
85 lines
3.2 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 QuantConnect.Algorithm.Framework.Alphas;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm to assert the behavior of <see cref="MacdAlphaModel"/>.
|
|
/// </summary>
|
|
public class MacdAlphaModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
base.Initialize();
|
|
SetAlpha(new MacdAlphaModel());
|
|
}
|
|
|
|
public override void OnEndOfAlgorithm()
|
|
{
|
|
const int expected = 4;
|
|
if (Insights.TotalCount != expected)
|
|
{
|
|
throw new RegressionTestException($"The total number of insights should be {expected}. Actual: {Insights.TotalCount}");
|
|
}
|
|
}
|
|
|
|
public override int AlgorithmHistoryDataPoints => 136;
|
|
|
|
/// <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 override Dictionary<string, string> ExpectedStatistics => new()
|
|
{
|
|
{"Total Orders", "29"},
|
|
{"Average Win", "0.36%"},
|
|
{"Average Loss", "-0.49%"},
|
|
{"Compounding Annual Return", "30.800%"},
|
|
{"Drawdown", "1.800%"},
|
|
{"Expectancy", "0.335"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "102206.31"},
|
|
{"Net Profit", "2.206%"},
|
|
{"Sharpe Ratio", "3.159"},
|
|
{"Sortino Ratio", "5.45"},
|
|
{"Probabilistic Sharpe Ratio", "74.078%"},
|
|
{"Loss Rate", "23%"},
|
|
{"Win Rate", "77%"},
|
|
{"Profit-Loss Ratio", "0.73"},
|
|
{"Alpha", "0.275"},
|
|
{"Beta", "-0.371"},
|
|
{"Annual Standard Deviation", "0.065"},
|
|
{"Annual Variance", "0.004"},
|
|
{"Information Ratio", "0.14"},
|
|
{"Tracking Error", "0.091"},
|
|
{"Treynor Ratio", "-0.55"},
|
|
{"Total Fees", "$65.88"},
|
|
{"Estimated Strategy Capacity", "$7500000.00"},
|
|
{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
|
|
{"Portfolio Turnover", "16.15%"},
|
|
{"Drawdown Recovery", "9"},
|
|
{"OrderListHash", "028da9558692fed9991723beeb8eeb23"}
|
|
};
|
|
}
|
|
}
|