add regression tests

QuantConnect · Jun 17, 2024 · a499f30 · a499f30
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diff --git a/Algorithm.CSharp/OptionEquityJellyRollRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityJellyRollRegressionAlgorithm.cs
@@ -0,0 +1,133 @@
+/*
+ * 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 QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Option;
+using QuantConnect.Securities.Option.StrategyMatcher;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm exercising an equity Jelly Roll option strategy and asserting it's being detected by Lean and works as expected
+    /// </summary>
+    public class OptionEquityJellyRollRegressionAlgorithm : OptionEquityBaseStrategyRegressionAlgorithm
+    {
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var contracts = chain.GroupBy(x => x.Strike)
+                        .First()
+                        .OrderBy(x => x.Expiry)
+                        .ToList();
+
+                    var nearPut = contracts.First(contract => contract.Right == OptionRight.Put);
+
+                    var farPut = contracts.First(contract => contract.Right == OptionRight.Put
+                        && contract.Expiry > nearPut.Expiry
+                        && contract.Strike == nearPut.Strike);
+
+                    var nearCall = contracts.Single(contract => contract.Right == OptionRight.Call
+                        && contract.Expiry == nearPut.Expiry
+                        && contract.Strike == nearPut.Strike);
+
+                    var farCall = contracts.Single(contract => contract.Right == OptionRight.Call
+                        && contract.Expiry == farPut.Expiry
+                        && contract.Strike == nearPut.Strike);
+
+                    var initialMargin = Portfolio.MarginRemaining;
+                    MarketOrder(nearPut.Symbol, +1);
+                    MarketOrder(nearCall.Symbol, -1);
+
+                    MarketOrder(farPut.Symbol, -1);
+                    MarketOrder(farCall.Symbol, +1);
+
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.JellyRoll.Name, 1);
+
+                    var freeMarginPostTrade = Portfolio.MarginRemaining;
+                    var undPrice = farPut.UnderlyingLastPrice;
+                    var expectedMarginUsage = 17646.8m;
+                    if (expectedMarginUsage != Portfolio.TotalMarginUsed)
+                    {
+                        throw new Exception("Unexpect margin used!");
+                    }
+
+                    // we payed the ask and value using the assets price
+                    var priceSpreadDifference = GetPriceSpreadDifference(nearPut.Symbol, nearCall.Symbol, farPut.Symbol, farCall.Symbol);
+                    if (initialMargin != (freeMarginPostTrade + expectedMarginUsage + _paidFees - priceSpreadDifference))
+                    {
+                        throw new Exception("Unexpect margin remaining!");
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 471135;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <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", "4"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "199731"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$4.00"},
+            {"Estimated Strategy Capacity", "$160000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "4.70%"},
+            {"OrderListHash", "34f1fe90151a1fc5dff43cd7b1205861"}
+        };
+    }
+}
diff --git a/Algorithm.CSharp/OptionEquityShortJellyRollRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortJellyRollRegressionAlgorithm.cs
@@ -0,0 +1,133 @@
+/*
+ * 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 QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Option;
+using QuantConnect.Securities.Option.StrategyMatcher;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm exercising an equity Short Jelly Roll option strategy and asserting it's being detected by Lean and works as expected
+    /// </summary>
+    public class OptionEquityShortJellyRollRegressionAlgorithm : OptionEquityBaseStrategyRegressionAlgorithm
+    {
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var contracts = chain.GroupBy(x => x.Strike)
+                        .First()
+                        .OrderBy(x => x.Expiry)
+                        .ToList();
+
+                    var nearPut = contracts.First(contract => contract.Right == OptionRight.Put);
+
+                    var farPut = contracts.First(contract => contract.Right == OptionRight.Put
+                        && contract.Expiry > nearPut.Expiry
+                        && contract.Strike == nearPut.Strike);
+
+                    var nearCall = contracts.Single(contract => contract.Right == OptionRight.Call
+                        && contract.Expiry == nearPut.Expiry
+                        && contract.Strike == nearPut.Strike);
+
+                    var farCall = contracts.Single(contract => contract.Right == OptionRight.Call
+                        && contract.Expiry == farPut.Expiry
+                        && contract.Strike == nearPut.Strike);
+
+                    var initialMargin = Portfolio.MarginRemaining;
+                    MarketOrder(nearPut.Symbol, -1);
+                    MarketOrder(nearCall.Symbol, +1);
+
+                    MarketOrder(farPut.Symbol, +1);
+                    MarketOrder(farCall.Symbol, -1);
+
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ShortJellyRoll.Name, 1);
+
+                    var freeMarginPostTrade = Portfolio.MarginRemaining;
+                    var undPrice = farPut.UnderlyingLastPrice;
+                    var expectedMarginUsage = 18530.8m;
+                    if (expectedMarginUsage != Portfolio.TotalMarginUsed)
+                    {
+                        throw new Exception($"Unexpect margin used!:{Portfolio.TotalMarginUsed}");
+                    }
+
+                    // we payed the ask and value using the assets price
+                    var priceSpreadDifference = GetPriceSpreadDifference(nearPut.Symbol, nearCall.Symbol, farPut.Symbol, farCall.Symbol);
+                    if (initialMargin != (freeMarginPostTrade + expectedMarginUsage + _paidFees - priceSpreadDifference))
+                    {
+                        throw new Exception("Unexpect margin remaining!");
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 471135;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <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", "4"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "199741"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$4.00"},
+            {"Estimated Strategy Capacity", "$110000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "4.70%"},
+            {"OrderListHash", "e2eab12be821aad91d9760a50ef9eab9"}
+        };
+    }
+}