wehub-resource-sync
122 lines
4.3 KiB
C#
122 lines
4.3 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.Linq;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Fundamental;
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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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/// Regression algorithm asserting that multiple universe selection functions are called
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/// in the order the universes were added to the algorithm
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/// </summary>
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public class MultipleUniverseSelectionOrderRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private int _selectionCallCount;
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public override void Initialize()
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{
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SetStartDate(2014, 3, 24);
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SetEndDate(2014, 3, 28);
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UniverseSettings.Resolution = Resolution.Daily;
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AddUniverse(SelectAssets1);
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AddUniverse(SelectAssets2);
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AddUniverse(SelectAssets3);
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}
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private IEnumerable<Symbol> SelectAssets1(IEnumerable<Fundamental> fundamentals)
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{
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ValidateSelectionOrder(1);
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return Enumerable.Empty<Symbol>();
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}
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private IEnumerable<Symbol> SelectAssets2(IEnumerable<Fundamental> fundamentals)
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{
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ValidateSelectionOrder(2);
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return Enumerable.Empty<Symbol>();
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}
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private IEnumerable<Symbol> SelectAssets3(IEnumerable<Fundamental> fundamentals)
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{
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ValidateSelectionOrder(3);
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return Enumerable.Empty<Symbol>();
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}
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private void ValidateSelectionOrder(int universeIndex)
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{
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var expectedPositionInCycle = universeIndex - 1;
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if (_selectionCallCount % 3 != expectedPositionInCycle)
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{
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throw new RegressionTestException($"Universes are not being selected in the order they were added. Expected universe {expectedPositionInCycle + 1} but got universe {universeIndex}.");
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}
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_selectionCallCount++;
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}
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public override void OnEndOfAlgorithm()
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{
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if (_selectionCallCount < 3)
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{
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throw new RegressionTestException($"Expected all 3 universes to be selected at least once, but got {_selectionCallCount} calls.");
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}
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}
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public bool CanRunLocally { get; } = true;
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public List<Language> Languages { get; } = new() { Language.CSharp };
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public long DataPoints => -1;
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public int AlgorithmHistoryDataPoints => 0;
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "0"},
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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", "-0.404"},
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{"Tracking Error", "0.094"},
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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", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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