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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.Collections.Generic;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Orders;
using QuantConnect.Interfaces;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Basic template framework algorithm uses framework components to define the algorithm.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="using quantconnect" />
/// <meta name="tag" content="trading and orders" />
public class BasicTemplateFrameworkAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
// Set requested data resolution
UniverseSettings.Resolution = Resolution.Minute;
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
// set algorithm framework models
SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
SetExecution(new ImmediateExecutionModel());
SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.01m));
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
if (orderEvent.Status.IsFill())
{
Debug($"Purchased Stock: {orderEvent.Symbol}");
}
}
/// <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 bool CanRunLocally { get; } = true;
/// <summary>
/// This is used by the regression test system to indicate which languages this algorithm is written in.
/// </summary>
public Language[] Languages { get; } = { Language.CSharp, Language.Python };
/// <summary>
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
/// </summary>
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Trades", "3"},
{"Average Win", "0%"},
{"Average Loss", "-1.03%"},
{"Compounding Annual Return", "217.805%"},
{"Drawdown", "2.300%"},
{"Expectancy", "-1"},
{"Net Profit", "1.597%"},
{"Sharpe Ratio", "3.856"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "0.566"},
{"Beta", "0.318"},
{"Annual Standard Deviation", "0.176"},
{"Annual Variance", "0.031"},
{"Information Ratio", "1.537"},
{"Tracking Error", "0.21"},
{"Treynor Ratio", "2.136"},
{"Total Fees", "$9.77"},
{"Fitness Score", "0.598"},
{"Kelly Criterion Estimate", "39.573"},
{"Kelly Criterion Probability Value", "0.226"},
{"Total Insights Generated", "100"},
{"Total Insights Closed", "99"},
{"Total Insights Analysis Completed", "99"},
{"Long Insight Count", "100"},
{"Short Insight Count", "0"},
{"Long/Short Ratio", "100%"},
{"Estimated Monthly Alpha Value", "$148197.8440"},
{"Total Accumulated Estimated Alpha Value", "$25522.9620"},
{"Mean Population Estimated Insight Value", "$257.8077"},
{"Mean Population Direction", "54.5455%"},
{"Mean Population Magnitude", "54.5455%"},
{"Rolling Averaged Population Direction", "59.8056%"},
{"Rolling Averaged Population Magnitude", "59.8056%"}
};
}
}
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