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BasicTemplateIndexAlgorithm.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System;
using QuantConnect.Data;
using System.Collections.Generic;
using QuantConnect.Indicators;
using QuantConnect.Interfaces;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// This example demonstrates how to add index asset types.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="benchmarks" />
/// <meta name="tag" content="indexes" />
public class BasicTemplateIndexAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
protected Symbol Spx { get; set; }
protected Symbol SpxOption { get; set; }
private ExponentialMovingAverage _emaSlow;
private ExponentialMovingAverage _emaFast;
protected virtual Resolution Resolution => Resolution.Minute;
protected virtual int StartDay => 4;
/// <summary>
/// Initialize your algorithm and add desired assets.
/// </summary>
public override void Initialize()
{
SetStartDate(2021, 1, StartDay);
SetEndDate(2021, 1, 18);
SetCash(1000000);
// Use indicator for signal; but it cannot be traded
Spx = AddIndex("SPX", Resolution).Symbol;
// Trade on SPX ITM calls
SpxOption = QuantConnect.Symbol.CreateOption(
Spx,
Market.USA,
OptionStyle.European,
OptionRight.Call,
3200m,
new DateTime(2021, 1, 15));
AddIndexOptionContract(SpxOption, Resolution);
_emaSlow = EMA(Spx, Resolution > Resolution.Minute ? 6 : 80);
_emaFast = EMA(Spx, Resolution > Resolution.Minute ? 2 : 200);
Settings.DailyPreciseEndTime = true;
}
/// <summary>
/// Index EMA Cross trading underlying.
/// </summary>
public override void OnData(Slice slice)
{
if (!slice.Bars.ContainsKey(Spx) || !slice.Bars.ContainsKey(SpxOption))
{
return;
}
// Warm up indicators
if (!_emaSlow.IsReady)
{
return;
}
if (_emaFast > _emaSlow)
{
SetHoldings(SpxOption, 1);
}
else
{
Liquidate();
}
}
/// <summary>
/// Asserts indicators are ready
/// </summary>
/// <exception cref="RegressionTestException"></exception>
protected void AssertIndicators()
{
if (!_emaSlow.IsReady || !_emaFast.IsReady)
{
throw new RegressionTestException("Indicators are not ready!");
}
}
public override void OnEndOfAlgorithm()
{
if (Portfolio[Spx].TotalSaleVolume > 0)
{
throw new RegressionTestException("Index is not tradable.");
}
AssertIndicators();
}
/// <summary>
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
/// </summary>
public virtual bool CanRunLocally { get; } = true;
/// <summary>
/// This is used by the regression test system to indicate which languages this algorithm is written in.
/// </summary>
public virtual List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
/// <summary>
/// Data Points count of all timeslices of algorithm
/// </summary>
public virtual long DataPoints => 16199;
/// <summary>
/// Data Points count of the algorithm history
/// </summary>
public virtual int AlgorithmHistoryDataPoints => 0;
/// <summary>
/// Final status of the algorithm
/// </summary>
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
/// <summary>
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
/// </summary>
public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Orders", "3"},
{"Average Win", "7.08%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "603.355%"},
{"Drawdown", "3.400%"},
{"Expectancy", "0"},
{"Start Equity", "1000000"},
{"End Equity", "1064395"},
{"Net Profit", "6.440%"},
{"Sharpe Ratio", "-4.563"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "0.781%"},
{"Loss Rate", "0%"},
{"Win Rate", "100%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "-0.169"},
{"Beta", &quo
3CFA
t;0.073"},
{"Annual Standard Deviation", "0.028"},
{"Annual Variance", "0.001"},
{"Information Ratio", "-6.684"},
{"Tracking Error", "0.099"},
{"Treynor Ratio", "-1.771"},
{"Total Fees", "$0.00"},
{"Estimated Strategy Capacity", "$3000.00"},
{"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
{"Portfolio Turnover", "23.97%"},
{"Drawdown Recovery", "9"},
{"OrderListHash", "4b560d2a8cfae510c3c8dc92603470fc"}
};
}
}