wehub-resource-sync
96 lines
3.6 KiB
C#
96 lines
3.6 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.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to validate Security.Session functionality.
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/// Verifies that daily session bars (Open, High, Low, Close, Volume) are correctly after resolution change
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/// </summary>
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public class SecuritySessionWithChangeOfResolutionRegressionAlgorithm : SecuritySessionRegressionAlgorithm
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{
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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if (changes.RemovedSecurities.Count > 0)
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{
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Security = AddEquity("SPY", Resolution.Minute);
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}
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}
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public override void OnEndOfDay(Symbol symbol)
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{
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if (UtcTime.Date == new DateTime(2013, 10, 7))
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{
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var session = Security.Session;
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// Check before removal
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if (session.Open != Open
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|| session.High != High
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|| session.Low != Low
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|| session.Close != Close
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|| session.Volume != Volume)
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{
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throw new RegressionTestException("Mismatch in current session bar (OHLCV)");
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}
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RemoveSecurity(symbol);
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SecurityWasRemoved = true;
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}
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}
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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 override long DataPoints => 3172;
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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 override 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", "-8.91"},
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{"Tracking Error", "0.223"},
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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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