wehub-resource-sync
80 lines
3.1 KiB
C#
80 lines
3.1 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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*/
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting the futures daily cash settlement behavior taking short positions
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/// </summary>
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public class FuturesDailySettlementShortRegressionAlgorithm : FuturesDailySettlementLongRegressionAlgorithm
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{
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/// <summary>
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/// Expected cash balance for each day
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/// </summary>
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protected override Dictionary<DateTime, decimal> ExpectedCash { get; } = new()
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{
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{ new DateTime(2013, 10, 07), 100000 },
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{ new DateTime(2013, 10, 08), 96701.95m },
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{ new DateTime(2013, 10, 09), 98718.55m },
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{ new DateTime(2013, 10, 10), 97937.10m },
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{ new DateTime(2013, 10, 10, 17, 0, 0), 98943.15m }
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};
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/// <summary>
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/// Order side factor
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/// </summary>
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protected override int OrderSide => -1;
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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", "6"},
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{"Average Win", "0.83%"},
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{"Average Loss", "-0.94%"},
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{"Compounding Annual Return", "-64.858%"},
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{"Drawdown", "47.200%"},
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{"Expectancy", "-0.373"},
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{"Start Equity", "100000"},
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{"End Equity", "98943.15"},
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{"Net Profit", "-1.057%"},
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{"Sharpe Ratio", "26.42"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "67%"},
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{"Win Rate", "33%"},
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{"Profit-Loss Ratio", "0.88"},
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{"Alpha", "6.391"},
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{"Beta", "-0.176"},
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{"Annual Standard Deviation", "0.232"},
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{"Annual Variance", "0.054"},
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{"Information Ratio", "11.718"},
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{"Tracking Error", "0.392"},
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{"Treynor Ratio", "-34.751"},
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{"Total Fees", "$19.35"},
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{"Estimated Strategy Capacity", "$100000000.00"},
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{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
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{"Portfolio Turnover", "190.82%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "0e022e93654b97f28728151455889a88"}
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};
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}
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}
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