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BasicTemplateIndexDailyAlgorithm.cs
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156 lines (141 loc) · 5.81 KB
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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 System.Linq;
using QuantConnect.Data;
using System.Collections.Generic;
using QuantConnect.Data.Market;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Regression for running an Index algorithm with Daily data
/// </summary>
public class BasicTemplateIndexDailyAlgorithm : BasicTemplateIndexAlgorithm
{
protected override Resolution Resolution => Resolution.Daily;
protected override int StartDay => 1;
// two complete weeks starting from the 5th. The 18th bar is not included since it is a holiday
protected virtual int ExpectedBarCount => 2 * 5;
protected int BarCounter { get; set; }
/// <summary>
/// Purchase a contract when we are not invested, liquidate otherwise
/// </summary>
public override void OnData(Slice slice)
{
if (!Portfolio.Invested)
{
// SPX Index is not tradable, but we can trade an option
MarketOrder(SpxOption, 1);
}
else
{
Liquidate();
}
// Count how many slices we receive with SPX data in it to assert later
if (slice.ContainsKey(Spx))
{
BarCounter++;
}
}
public override void OnEndOfAlgorithm()
{
if (BarCounter != ExpectedBarCount)
{
throw new ArgumentException($"Bar Count {BarCounter} is not expected count of {ExpectedBarCount}");
}
AssertIndicators();
if (Resolution != Resolution.Daily)
{
return;
}
var openInterest = Securities[SpxOption].Cache.GetAll<OpenInterest>();
if (openInterest.Single().EndTime != new DateTime(2021, 1, 15, 15, 15, 0))
{
throw new ArgumentException($"Unexpected open interest time: {openInterest.Single().EndTime}");
}
foreach (var symbol in new[] { SpxOption, Spx })
{
var history = History(symbol, 10).ToList();
if (history.Count != 10)
{
throw new RegressionTestException($"Unexpected history count: {history.Count}");
}
if (history.Any(x => x.Time.TimeOfDay != new TimeSpan(8, 30, 0)))
{
throw new RegressionTestException($"Unexpected history data start time");
}
if (history.Any(x => x.EndTime.TimeOfDay != new TimeSpan(15, 15, 0)))
{
throw new RegressionTestException($"Unexpected history data end time");
}
}
}
/// <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 override bool CanRunLocally { get; } = true;
/// <summary>
/// This is used by the regression test system to indicate which languages this algorithm is written in.
/// </summary>
public override List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
/// <summary>
/// Data Points count of all timeslices of algorithm
/// </summary>
public override long DataPoints => 122;
/// <summary>
/// Data Points count of the algorithm history
/// </summary>
public override int AlgorithmHistoryDataPoints => 30;
/// <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 override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Orders", "11"},
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "653.545%"},
{"Drawdown", "0%"},
{"Expectancy", "0"},
{"Start Equity", "1000000"},
{"End Equity", "1084600"},
{"Net Profit", "8.460%"},
{"Sharpe Ratio", "9.923"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "93.682%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "3.61"},
{"Beta", "-0.513"},
{"Annual Standard Deviation", "0.359"},
{"Annual Variance", "0.129"},
{"Information Ratio", "8.836"},
{"Tracking Error", "0.392"},
{"Treynor Ratio", "-6.937"},
{"Total Fees", "$0.00"},
{"Estimated Strategy Capacity", "$0"},
{"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
{"Portfolio Turnover", "2.42%"},
{"Drawdown Recovery", "0"},
{"OrderListHash", "ce421d0aeb7bde3bc92a6b87c09c510e"}
};
}
}