forked from QuantConnect/Lean
-
Notifications
You must be signed in to change notification settings - Fork 0
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Merge branch 'master' of https://github.com/QuantConnect/Lean into fe…
…ature-3179-zig-zag-indicator
- Loading branch information
Showing
59 changed files
with
1,684 additions
and
203 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
|
|
@@ -7,7 +7,7 @@ on: | |
|
|
||
| jobs: | ||
| build: | ||
| runs-on: ubuntu-20.04 | ||
| runs-on: ubuntu-24.04 | ||
| steps: | ||
| - uses: actions/checkout@v2 | ||
| with: | ||
|
|
||
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
151 changes: 151 additions & 0 deletions
151
Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,151 @@ | ||
| /* | ||
| * 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.Data; | ||
| using QuantConnect.Indicators; | ||
| using QuantConnect.Interfaces; | ||
| using QuantConnect.Orders; | ||
| using QuantConnect.Brokerages; | ||
|
|
||
|
|
||
| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| /// <summary> | ||
| /// Regression test to explain how Beta indicator works | ||
| /// </summary> | ||
| public class AddBetaIndicatorNewAssetsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition | ||
| { | ||
| private Beta _beta; | ||
| private SimpleMovingAverage _sma; | ||
| private decimal _lastSMAValue; | ||
|
|
||
| public override void Initialize() | ||
| { | ||
| SetStartDate(2015, 05, 08); | ||
| SetEndDate(2017, 06, 15); | ||
| SetCash(10000); | ||
|
|
||
| AddCrypto("BTCUSD", Resolution.Daily); | ||
| AddEquity("SPY", Resolution.Daily); | ||
|
|
||
| EnableAutomaticIndicatorWarmUp = true; | ||
| _beta = B("BTCUSD", "SPY", 3, Resolution.Daily); | ||
| _sma = SMA("SPY", 3, Resolution.Daily); | ||
| _lastSMAValue = 0; | ||
|
|
||
| if (!_beta.IsReady) | ||
| { | ||
| throw new RegressionTestException("Beta indicator was expected to be ready"); | ||
| } | ||
| } | ||
|
|
||
| public override void OnData(Slice slice) | ||
| { | ||
| var price = Securities["BTCUSD"].Price; | ||
|
|
||
| if (!Portfolio.Invested) | ||
| { | ||
| var quantityToBuy = (int)(Portfolio.Cash * 0.05m / price); | ||
| Buy("BTCUSD", quantityToBuy); | ||
| } | ||
|
|
||
| if (Math.Abs(_beta.Current.Value) > 2) | ||
| { | ||
| Liquidate("BTCUSD"); | ||
| Log("Liquidated BTCUSD due to high Beta"); | ||
| } | ||
|
|
||
| Log($"Beta between BTCUSD and SPY is: {_beta.Current.Value}"); | ||
| } | ||
|
|
||
| public override void OnOrderEvent(OrderEvent orderEvent) | ||
| { | ||
| var order = Transactions.GetOrderById(orderEvent.OrderId); | ||
| var goUpwards = _lastSMAValue < _sma.Current.Value; | ||
| _lastSMAValue = _sma.Current.Value; | ||
|
|
||
| if (order.Status == OrderStatus.Filled) | ||
| { | ||
| if (order.Type == OrderType.Limit && Math.Abs(_beta.Current.Value - 1) < 0.2m && goUpwards) | ||
| { | ||
| Transactions.CancelOpenOrders(order.Symbol); | ||
| } | ||
| } | ||
|
|
||
| if (order.Status == OrderStatus.Canceled) | ||
| { | ||
| Log(orderEvent.ToString()); | ||
| } | ||
| } | ||
|
|
||
| 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 virtual List<Language> Languages { get; } = new() { Language.CSharp }; | ||
|
|
||
| /// <summary> | ||
| /// Data Points count of all timeslices of algorithm | ||
| /// </summary> | ||
| public long DataPoints => 5798; | ||
|
|
||
| /// <summary> | ||
| /// Data Points count of the algorithm history | ||
| /// </summary> | ||
| public int AlgorithmHistoryDataPoints => 77; | ||
|
|
||
| /// <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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string> | ||
| { | ||
| {"Total Orders", "436"}, | ||
| {"Average Win", "0.28%"}, | ||
| {"Average Loss", "-0.01%"}, | ||
| {"Compounding Annual Return", "1.926%"}, | ||
| {"Drawdown", "1.000%"}, | ||
| {"Expectancy", "1.650"}, | ||
| {"Start Equity", "10000.00"}, | ||
| {"End Equity", "10411.11"}, | ||
| {"Net Profit", "4.111%"}, | ||
| {"Sharpe Ratio", "0.332"}, | ||
| {"Sortino Ratio", "0.313"}, | ||
| {"Probabilistic Sharpe Ratio", "74.084%"}, | ||
| {"Loss Rate", "90%"}, | ||
| {"Win Rate", "10%"}, | ||
| {"Profit-Loss Ratio", "25.26"}, | ||
| {"Alpha", "0.003"}, | ||
| {"Beta", "0.001"}, | ||
| {"Annual Standard Deviation", "0.01"}, | ||
| {"Annual Variance", "0"}, | ||
| {"Information Ratio", "-0.495"}, | ||
| {"Tracking Error", "0.111"}, | ||
| {"Treynor Ratio", "2.716"}, | ||
| {"Total Fees", "$0.00"}, | ||
| {"Estimated Strategy Capacity", "$87000.00"}, | ||
| {"Lowest Capacity Asset", "BTCUSD 2XR"}, | ||
| {"Portfolio Turnover", "2.22%"}, | ||
| {"OrderListHash", "4fcffc45d82203bb6ded8a0e86070b4f"} | ||
| }; | ||
| } | ||
| } |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Oops, something went wrong.