wehub-resource-sync
245 lines
9.5 KiB
C#
245 lines
9.5 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 System.Linq;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Orders;
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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 for testing <see cref="ScheduledUniverseSelectionModel"/> scheduling functions
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/// </summary>
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public class ScheduledUniverseSelectionModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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UniverseSettings.Resolution = Resolution.Hour;
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// Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
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// Commented so regression algorithm is more sensitive
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//Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
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SetStartDate(2017, 01, 01);
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SetEndDate(2017, 02, 01);
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// selection will run on mon/tues/thurs at 00:00/12:00
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SetUniverseSelection(new ScheduledUniverseSelectionModel(
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DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
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TimeRules.Every(TimeSpan.FromHours(12)),
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SelectSymbols
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));
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SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1)));
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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}
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private IEnumerable<Symbol> SelectSymbols(DateTime dateTime)
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{
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Log($"SelectSymbols() {Time}");
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if (dateTime.DayOfWeek == DayOfWeek.Monday || dateTime.DayOfWeek == DayOfWeek.Tuesday)
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{
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yield return QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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}
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else if (dateTime.DayOfWeek == DayOfWeek.Wednesday)
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{
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// given the date/time rules specified in Initialize, this symbol will never be selected (not invoked on wednesdays)
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yield return QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
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}
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else
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{
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yield return QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA);
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}
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if (dateTime.DayOfWeek == DayOfWeek.Tuesday || dateTime.DayOfWeek == DayOfWeek.Thursday)
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{
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yield return QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda);
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}
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else if (dateTime.DayOfWeek == DayOfWeek.Friday)
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{
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// given the date/time rules specified in Initialize, this symbol will never be selected (every 6 hours never lands on hour==1)
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yield return QuantConnect.Symbol.Create("EURGBP", SecurityType.Forex, Market.Oanda);
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}
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else
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{
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yield return QuantConnect.Symbol.Create("NZDUSD", SecurityType.Forex, Market.Oanda);
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}
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}
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// some days of the week have different behavior the first time -- less securities to remove
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private readonly HashSet<DayOfWeek> _seenDays = new HashSet<DayOfWeek>();
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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Console.WriteLine($"{Time}: {changes}");
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switch (Time.DayOfWeek)
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{
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case DayOfWeek.Monday:
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ExpectAdditions(changes, "SPY", "NZDUSD");
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if (_seenDays.Add(DayOfWeek.Monday))
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{
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ExpectRemovals(changes, null);
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}
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else
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{
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ExpectRemovals(changes, "EURUSD", "IBM");
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}
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break;
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case DayOfWeek.Tuesday:
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ExpectAdditions(changes, "EURUSD");
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if (_seenDays.Add(DayOfWeek.Tuesday))
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{
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ExpectRemovals(changes, "NZDUSD");
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}
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else
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{
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ExpectRemovals(changes, "NZDUSD");
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}
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break;
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case DayOfWeek.Wednesday:
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// selection function not invoked on wednesdays
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ExpectAdditions(changes, null);
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ExpectRemovals(changes, null);
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break;
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case DayOfWeek.Thursday:
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ExpectAdditions(changes, "IBM");
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ExpectRemovals(changes, "SPY");
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break;
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case DayOfWeek.Friday:
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// selection function not invoked on fridays
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ExpectAdditions(changes, null);
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ExpectRemovals(changes, null);
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break;
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug($"{Time}: {orderEvent}");
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}
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private void ExpectAdditions(SecurityChanges changes, params string[] tickers)
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{
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if (tickers == null && changes.AddedSecurities.Count > 0)
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{
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throw new RegressionTestException($"{Time}: Expected no additions: {Time.DayOfWeek}");
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}
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if (tickers == null)
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{
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return;
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}
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foreach (var ticker in tickers)
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{
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if (changes.AddedSecurities.All(s => s.Symbol.Value != ticker))
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{
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throw new RegressionTestException($"{Time}: Expected {ticker} to be added: {Time.DayOfWeek}");
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}
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}
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}
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private void ExpectRemovals(SecurityChanges changes, params string[] tickers)
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{
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if (tickers == null && changes.RemovedSecurities.Count > 0)
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{
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throw new RegressionTestException($"{Time}: Expected no removals: {Time.DayOfWeek}");
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}
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if (tickers == null)
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{
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return;
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}
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foreach (var ticker in tickers)
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{
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if (changes.RemovedSecurities.All(s => s.Symbol.Value != ticker))
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{
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throw new RegressionTestException($"{Time}: Expected {ticker} to be removed: {Time.DayOfWeek}");
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}
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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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 List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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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 long DataPoints => 987;
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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 int AlgorithmHistoryDataPoints => 10;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "59"},
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{"Average Win", "0.28%"},
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{"Average Loss", "-0.20%"},
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{"Compounding Annual Return", "75.392%"},
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{"Drawdown", "1.100%"},
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{"Expectancy", "0.749"},
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{"Start Equity", "100000"},
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{"End Equity", "105049.17"},
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{"Net Profit", "5.049%"},
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{"Sharpe Ratio", "7.229"},
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{"Sortino Ratio", "10.917"},
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{"Probabilistic Sharpe Ratio", "95.841%"},
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{"Loss Rate", "27%"},
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{"Win Rate", "73%"},
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{"Profit-Loss Ratio", "1.39"},
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{"Alpha", "0.477"},
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{"Beta", "0.042"},
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{"Annual Standard Deviation", "0.067"},
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{"Annual Variance", "0.004"},
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{"Information Ratio", "3.991"},
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{"Tracking Error", "0.084"},
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{"Treynor Ratio", "11.625"},
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{"Total Fees", "$35.53"},
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{"Estimated Strategy Capacity", "$2600000.00"},
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{"Lowest Capacity Asset", "EURUSD 8G"},
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{"Portfolio Turnover", "90.30%"},
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{"Drawdown Recovery", "3"},
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{"OrderListHash", "9af211e68f600642a2aaa58f3bec6380"}
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};
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}
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}
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