wehub-resource-sync
111 lines
3.9 KiB
C#
111 lines
3.9 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;
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Selection;
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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 OnWarmupFinished fires at StartDate (midnight)
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/// when using a ScheduledUniverseSelectionModel that triggers at 8 AM, skipping midnight entirely.
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/// </summary>
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public class OnWarmupFinishedScheduledUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private bool _onWarmupFinishedCalled;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 08);
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SetEndDate(2013, 10, 11);
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SetCash(100000);
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UniverseSettings.Resolution = Resolution.Minute;
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SetWarmup(TimeSpan.FromDays(1));
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// Universe triggers at 8 AM
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SetUniverseSelection(new ScheduledUniverseSelectionModel(
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DateRules.EveryDay(),
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TimeRules.At(8, 0),
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_ => new[] { QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA) }
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));
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}
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public override void OnWarmupFinished()
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{
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_onWarmupFinishedCalled = true;
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if (Time != StartDate)
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{
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throw new RegressionTestException(
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$"Expected OnWarmupFinished to fire at StartDate ({StartDate:yyyy-MM-dd HH:mm:ss}), " +
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$"but fired at {Time:yyyy-MM-dd HH:mm:ss}");
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_onWarmupFinishedCalled)
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{
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throw new RegressionTestException("OnWarmupFinished was never called");
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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 => 3947;
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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", "-57.739"},
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{"Tracking Error", "0.178"},
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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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