GeezerVison is showing github.com — Lean/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs at master · QuantConnect/Lean

Expand file tree

BasicTemplateIndexAlgorithm.cs

Copy path

More file actions

Latest commit

History

177 lines (157 loc) · 6.07 KB

BasicTemplateIndexAlgorithm.cs

Copy path

File metadata and controls

177 lines (157 loc) · 6.07 KB

Raw

Copy raw file

Download raw file

Open symbols panel

Edit and raw actions

100

101

102

103

104

105

106

107

108

109

110

111

112

113

114

115

116

117

118

119

120

121

122

123

124

125

126

127

128

129

130

131

132

133

134

135

136

137

138

139

140

141

142

143

144

145

146

147

148

149

150

151

152

153

154

155

156

157

158

159

160

161

162

163

164

165

166

167

168

169

170

171

172

173

174

175

176

177

* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

* 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", "0.604%"},

{"Loss Rate", "0%"},

{"Win Rate", "100%"},

{"Profit-Loss Ratio", "0"},

{"Alpha", "-0.169"},

{"Beta", "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"}

};

}