wehub-resource-sync
75 lines
3.0 KiB
C#
75 lines
3.0 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.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Algorithm.Framework.Risk;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Show cases how to use the <see cref="TrailingStopRiskManagementModel"/>
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/// </summary>
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public class TrailingStopRiskFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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base.Initialize();
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SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA)));
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SetRiskManagement(new TrailingStopRiskManagementModel(0.01m));
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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 => 304;
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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 ()
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{
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{ "Total Orders", "2" },
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{ "Average Win", "0%" },
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{ "Average Loss", "-0.41%" },
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{ "Compounding Annual Return", "-4.899%" },
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{ "Drawdown", "1.100%" },
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{ "Expectancy", "-1" },
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{ "Net Profit", "-0.407%" },
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{ "Sharpe Ratio", "-3.521"},
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{ "Probabilistic Sharpe Ratio", "0.003%" },
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{ "Loss Rate", "100%" },
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{ "Win Rate", "0%" },
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{ "Profit-Loss Ratio", "0" },
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{ "Alpha", "-0.04" },
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{ "Beta", "-0.012" },
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{ "Annual Standard Deviation", "0.012" },
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{ "Annual Variance", "0" },
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{ "Information Ratio", "-4.647" },
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{ "Tracking Error", "0.05" },
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{ "Treynor Ratio", "3.644" },
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{ "Total Fees", "$2.00" },
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{ "Estimated Strategy Capacity", "$74000000.00" },
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{ "Lowest Capacity Asset", "AAPL R735QTJ8XC9X" },
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{ "Portfolio Turnover", "6.66%" },
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{ "OrderListHash", "ab2645a4eeb3bbd6b2862df5260d86b4" }
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};
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}
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}
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