Compare commits
16 Commits
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9ba15b23e3 |
@@ -77,44 +77,44 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "199"},
|
||||
{"Average Win", "0.00%"},
|
||||
{"Average Loss", "0.00%"},
|
||||
{"Compounding Annual Return", "-12.472%"},
|
||||
{"Compounding Annual Return", "-12.392%"},
|
||||
{"Drawdown", "0.200%"},
|
||||
{"Expectancy", "-0.586"},
|
||||
{"Net Profit", "-0.170%"},
|
||||
{"Sharpe Ratio", "-9.693"},
|
||||
{"Probabilistic Sharpe Ratio", "12.704%"},
|
||||
{"Net Profit", "-0.169%"},
|
||||
{"Sharpe Ratio", "-9.597"},
|
||||
{"Probabilistic Sharpe Ratio", "13.309%"},
|
||||
{"Loss Rate", "79%"},
|
||||
{"Win Rate", "21%"},
|
||||
{"Profit-Loss Ratio", "0.95"},
|
||||
{"Alpha", "-0.149"},
|
||||
{"Beta", "0.037"},
|
||||
{"Beta", "0.036"},
|
||||
{"Annual Standard Deviation", "0.008"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-9.471"},
|
||||
{"Tracking Error", "0.212"},
|
||||
{"Treynor Ratio", "-2.13"},
|
||||
{"Information Ratio", "-9.605"},
|
||||
{"Tracking Error", "0.214"},
|
||||
{"Treynor Ratio", "-2.136"},
|
||||
{"Total Fees", "$199.00"},
|
||||
{"Estimated Strategy Capacity", "$23000000.00"},
|
||||
{"Estimated Strategy Capacity", "$22000000.00"},
|
||||
{"Fitness Score", "0.002"},
|
||||
{"Kelly Criterion Estimate", "38.64"},
|
||||
{"Kelly Criterion Probability Value", "0.229"},
|
||||
{"Sortino Ratio", "-21.545"},
|
||||
{"Return Over Maximum Drawdown", "-77.972"},
|
||||
{"Portfolio Turnover", "1.135"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "-21.623"},
|
||||
{"Return Over Maximum Drawdown", "-77.986"},
|
||||
{"Portfolio Turnover", "1.154"},
|
||||
{"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", "$126657.6305"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$20405.9516"},
|
||||
{"Mean Population Estimated Insight Value", "$206.1207"},
|
||||
{"Mean Population Direction", "54.5455%"},
|
||||
{"Mean Population Magnitude", "54.5455%"},
|
||||
{"Rolling Averaged Population Direction", "59.8056%"},
|
||||
{"Rolling Averaged Population Magnitude", "59.8056%"},
|
||||
{"OrderListHash", "0a28eedf6304023f5002ef672b489b88"}
|
||||
{"Estimated Monthly Alpha Value", "$117277.2200"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$18894.6632"},
|
||||
{"Mean Population Estimated Insight Value", "$190.8552"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "7baad0d75f652da1b801ec2fc368e710"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -113,29 +113,29 @@ namespace QuantConnect.Algorithm.CSharp
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||||
{"Total Trades", "9"},
|
||||
{"Average Win", "0.89%"},
|
||||
{"Average Loss", "-0.27%"},
|
||||
{"Compounding Annual Return", "196.104%"},
|
||||
{"Compounding Annual Return", "196.304%"},
|
||||
{"Drawdown", "1.700%"},
|
||||
{"Expectancy", "1.853"},
|
||||
{"Net Profit", "1.498%"},
|
||||
{"Sharpe Ratio", "4.275"},
|
||||
{"Probabilistic Sharpe Ratio", "60.462%"},
|
||||
{"Expectancy", "1.854"},
|
||||
{"Net Profit", "1.499%"},
|
||||
{"Sharpe Ratio", "4.265"},
|
||||
{"Probabilistic Sharpe Ratio", "60.408%"},
|
||||
{"Loss Rate", "33%"},
|
||||
{"Win Rate", "67%"},
|
||||
{"Profit-Loss Ratio", "3.28"},
|
||||
{"Alpha", "1.574"},
|
||||
{"Beta", "-0.289"},
|
||||
{"Annual Standard Deviation", "0.276"},
|
||||
{"Annual Variance", "0.076"},
|
||||
{"Information Ratio", "-0.495"},
|
||||
{"Tracking Error", "0.367"},
|
||||
{"Treynor Ratio", "-4.079"},
|
||||
{"Total Fees", "$14.33"},
|
||||
{"Alpha", "1.579"},
|
||||
{"Beta", "-0.284"},
|
||||
{"Annual Standard Deviation", "0.277"},
|
||||
{"Annual Variance", "0.077"},
|
||||
{"Information Ratio", "-0.586"},
|
||||
{"Tracking Error", "0.369"},
|
||||
{"Treynor Ratio", "-4.159"},
|
||||
{"Total Fees", "$14.46"},
|
||||
{"Estimated Strategy Capacity", "$38000000.00"},
|
||||
{"Fitness Score", "0.408"},
|
||||
{"Kelly Criterion Estimate", "16.447"},
|
||||
{"Kelly Criterion Probability Value", "0.315"},
|
||||
{"Sortino Ratio", "13.611"},
|
||||
{"Return Over Maximum Drawdown", "117.635"},
|
||||
{"Kelly Criterion Estimate", "16.438"},
|
||||
{"Kelly Criterion Probability Value", "0.314"},
|
||||
{"Sortino Ratio", "13.495"},
|
||||
{"Return Over Maximum Drawdown", "117.2"},
|
||||
{"Portfolio Turnover", "0.411"},
|
||||
{"Total Insights Generated", "3"},
|
||||
{"Total Insights Closed", "3"},
|
||||
@@ -143,14 +143,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "3"},
|
||||
{"Long/Short Ratio", "0%"},
|
||||
{"Estimated Monthly Alpha Value", "$19868365.6628"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$3421774.0864"},
|
||||
{"Mean Population Estimated Insight Value", "$1140591.3621"},
|
||||
{"Estimated Monthly Alpha Value", "$19348842.7070"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$3332300.6884"},
|
||||
{"Mean Population Estimated Insight Value", "$1110766.8961"},
|
||||
{"Mean Population Direction", "100%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "100%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "506e9fe18984ba6e569b2e327030de3a"}
|
||||
{"OrderListHash", "4e0e07a4b92e6d23d681220125617e62"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -132,12 +132,12 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "0.92"},
|
||||
{"Alpha", "-0.021"},
|
||||
{"Beta", "-0.01"},
|
||||
{"Beta", "-0.011"},
|
||||
{"Annual Standard Deviation", "0.006"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-3.374"},
|
||||
{"Information Ratio", "-3.385"},
|
||||
{"Tracking Error", "0.058"},
|
||||
{"Treynor Ratio", "2.133"},
|
||||
{"Treynor Ratio", "2.117"},
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$45000000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -183,13 +183,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.027"},
|
||||
{"Beta", "-0.174"},
|
||||
{"Alpha", "0.024"},
|
||||
{"Beta", "-0.171"},
|
||||
{"Annual Standard Deviation", "0.006"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-11.586"},
|
||||
{"Tracking Error", "0.042"},
|
||||
{"Treynor Ratio", "0.286"},
|
||||
{"Information Ratio", "-11.082"},
|
||||
{"Tracking Error", "0.043"},
|
||||
{"Treynor Ratio", "0.291"},
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$2800000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -250,7 +250,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "cf8f76fa441c2a5e3b2dbbabcab32cd2"}
|
||||
{"OrderListHash", "1e7b3e90918777b9dbf46353a96f3329"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -114,29 +114,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "5"},
|
||||
{"Average Win", "0.47%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "293.067%"},
|
||||
{"Compounding Annual Return", "297.013%"},
|
||||
{"Drawdown", "1.400%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.765%"},
|
||||
{"Sharpe Ratio", "13.11"},
|
||||
{"Probabilistic Sharpe Ratio", "80.231%"},
|
||||
{"Net Profit", "1.778%"},
|
||||
{"Sharpe Ratio", "13.156"},
|
||||
{"Probabilistic Sharpe Ratio", "80.461%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.705"},
|
||||
{"Alpha", "0.697"},
|
||||
{"Beta", "0.7"},
|
||||
{"Annual Standard Deviation", "0.157"},
|
||||
{"Annual Standard Deviation", "0.158"},
|
||||
{"Annual Variance", "0.025"},
|
||||
{"Information Ratio", "1.76"},
|
||||
{"Tracking Error", "0.072"},
|
||||
{"Treynor Ratio", "2.933"},
|
||||
{"Total Fees", "$26.39"},
|
||||
{"Information Ratio", "1.405"},
|
||||
{"Tracking Error", "0.073"},
|
||||
{"Treynor Ratio", "2.978"},
|
||||
{"Total Fees", "$26.48"},
|
||||
{"Estimated Strategy Capacity", "$4400000.00"},
|
||||
{"Fitness Score", "0.374"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "373.973"},
|
||||
{"Return Over Maximum Drawdown", "373.688"},
|
||||
{"Portfolio Turnover", "0.374"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -151,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "5f7ba8b5defb310a2eaf98b11abd3b74"}
|
||||
{"OrderListHash", "7d0e013e09d9d5f831d24720686fd724"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -67,29 +67,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "1.02%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "289.119%"},
|
||||
{"Compounding Annual Return", "296.066%"},
|
||||
{"Drawdown", "2.200%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.752%"},
|
||||
{"Sharpe Ratio", "9.235"},
|
||||
{"Probabilistic Sharpe Ratio", "68.013%"},
|
||||
{"Net Profit", "1.775%"},
|
||||
{"Sharpe Ratio", "9.373"},
|
||||
{"Probabilistic Sharpe Ratio", "68.302%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.105"},
|
||||
{"Beta", "1.022"},
|
||||
{"Annual Standard Deviation", "0.224"},
|
||||
{"Annual Variance", "0.05"},
|
||||
{"Information Ratio", "24.59"},
|
||||
{"Beta", "1.021"},
|
||||
{"Annual Standard Deviation", "0.227"},
|
||||
{"Annual Variance", "0.052"},
|
||||
{"Information Ratio", "25.083"},
|
||||
{"Tracking Error", "0.006"},
|
||||
{"Treynor Ratio", "2.029"},
|
||||
{"Total Fees", "$9.77"},
|
||||
{"Estimated Strategy Capacity", "$37000000.00"},
|
||||
{"Treynor Ratio", "2.086"},
|
||||
{"Total Fees", "$10.33"},
|
||||
{"Estimated Strategy Capacity", "$32000000.00"},
|
||||
{"Fitness Score", "0.747"},
|
||||
{"Kelly Criterion Estimate", "38.64"},
|
||||
{"Kelly Criterion Probability Value", "0.229"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "107.109"},
|
||||
{"Return Over Maximum Drawdown", "107.013"},
|
||||
{"Portfolio Turnover", "0.747"},
|
||||
{"Total Insights Generated", "100"},
|
||||
{"Total Insights Closed", "99"},
|
||||
@@ -97,14 +97,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$126657.6305"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$20405.9516"},
|
||||
{"Mean Population Estimated Insight Value", "$206.1207"},
|
||||
{"Mean Population Direction", "54.5455%"},
|
||||
{"Mean Population Magnitude", "54.5455%"},
|
||||
{"Rolling Averaged Population Direction", "59.8056%"},
|
||||
{"Rolling Averaged Population Magnitude", "59.8056%"},
|
||||
{"OrderListHash", "0b8cbbafdb77bae2f7abe3cf5e05ac5c"}
|
||||
{"Estimated Monthly Alpha Value", "$117277.2200"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$18894.6632"},
|
||||
{"Mean Population Estimated Insight Value", "$190.8552"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "af3a9c98c190d1b6b36fad184e796b0b"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -86,29 +86,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "10"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-0.01%"},
|
||||
{"Compounding Annual Return", "-14.333%"},
|
||||
{"Compounding Annual Return", "-14.502%"},
|
||||
{"Drawdown", "3.300%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "-0.169%"},
|
||||
{"Sharpe Ratio", "-0.131"},
|
||||
{"Probabilistic Sharpe Ratio", "45.057%"},
|
||||
{"Net Profit", "-0.172%"},
|
||||
{"Sharpe Ratio", "-0.133"},
|
||||
{"Probabilistic Sharpe Ratio", "45.048%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-3.068"},
|
||||
{"Beta", "0.595"},
|
||||
{"Annual Standard Deviation", "0.382"},
|
||||
{"Annual Variance", "0.146"},
|
||||
{"Information Ratio", "-13.618"},
|
||||
{"Tracking Error", "0.376"},
|
||||
{"Treynor Ratio", "-0.084"},
|
||||
{"Total Fees", "$13.98"},
|
||||
{"Alpha", "-2.956"},
|
||||
{"Beta", "0.563"},
|
||||
{"Annual Standard Deviation", "0.384"},
|
||||
{"Annual Variance", "0.147"},
|
||||
{"Information Ratio", "-13.74"},
|
||||
{"Tracking Error", "0.38"},
|
||||
{"Treynor Ratio", "-0.091"},
|
||||
{"Total Fees", "$14.04"},
|
||||
{"Estimated Strategy Capacity", "$61000000.00"},
|
||||
{"Fitness Score", "0.146"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "1"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-4.398"},
|
||||
{"Return Over Maximum Drawdown", "-4.436"},
|
||||
{"Portfolio Turnover", "0.268"},
|
||||
{"Total Insights Generated", "15"},
|
||||
{"Total Insights Closed", "12"},
|
||||
@@ -123,7 +123,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "8971c92ba163cec8526379865d9b9ee4"}
|
||||
{"OrderListHash", "32f5f657f91216b1583e8ed89a511550"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -91,31 +91,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "23"},
|
||||
{"Average Win", "0.00%"},
|
||||
{"Average Win", "0.01%"},
|
||||
{"Average Loss", "-0.01%"},
|
||||
{"Compounding Annual Return", "-75.307%"},
|
||||
{"Compounding Annual Return", "-75.293%"},
|
||||
{"Drawdown", "5.800%"},
|
||||
{"Expectancy", "-0.859"},
|
||||
{"Net Profit", "-5.586%"},
|
||||
{"Sharpe Ratio", "-3.257"},
|
||||
{"Probabilistic Sharpe Ratio", "5.931%"},
|
||||
{"Expectancy", "-0.822"},
|
||||
{"Net Profit", "-5.584%"},
|
||||
{"Sharpe Ratio", "-3.264"},
|
||||
{"Probabilistic Sharpe Ratio", "5.887%"},
|
||||
{"Loss Rate", "92%"},
|
||||
{"Win Rate", "8%"},
|
||||
{"Profit-Loss Ratio", "0.70"},
|
||||
{"Profit-Loss Ratio", "1.13"},
|
||||
{"Alpha", "-0.593"},
|
||||
{"Beta", "0.692"},
|
||||
{"Beta", "0.711"},
|
||||
{"Annual Standard Deviation", "0.204"},
|
||||
{"Annual Variance", "0.042"},
|
||||
{"Information Ratio", "-2.884"},
|
||||
{"Tracking Error", "0.194"},
|
||||
{"Treynor Ratio", "-0.962"},
|
||||
{"Total Fees", "$25.92"},
|
||||
{"Information Ratio", "-2.924"},
|
||||
{"Tracking Error", "0.193"},
|
||||
{"Treynor Ratio", "-0.935"},
|
||||
{"Total Fees", "$25.95"},
|
||||
{"Estimated Strategy Capacity", "$69000000.00"},
|
||||
{"Fitness Score", "0.004"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "1"},
|
||||
{"Sortino Ratio", "-4.462"},
|
||||
{"Return Over Maximum Drawdown", "-13.032"},
|
||||
{"Sortino Ratio", "-4.452"},
|
||||
{"Return Over Maximum Drawdown", "-13.058"},
|
||||
{"Portfolio Turnover", "0.083"},
|
||||
{"Total Insights Generated", "33"},
|
||||
{"Total Insights Closed", "30"},
|
||||
@@ -130,7 +130,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "ce59e51c8e404b5dbbc02911473aed1c"}
|
||||
{"OrderListHash", "be3b0d8b0e2cb312aae1b043e1bef9aa"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -101,7 +101,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
return;
|
||||
}
|
||||
|
||||
foreach (var symbol in ActiveSecurities.Keys)
|
||||
foreach (var symbol in ActiveSecurities.Keys.OrderBy(symbol => symbol))
|
||||
{
|
||||
if (!Portfolio.ContainsKey(symbol) || !Portfolio[symbol].Invested)
|
||||
{
|
||||
@@ -194,22 +194,22 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "5"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "36.294%"},
|
||||
{"Compounding Annual Return", "36.239%"},
|
||||
{"Drawdown", "0%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "0.340%"},
|
||||
{"Sharpe Ratio", "21.2"},
|
||||
{"Probabilistic Sharpe Ratio", "99.990%"},
|
||||
{"Net Profit", "0.339%"},
|
||||
{"Sharpe Ratio", "21.173"},
|
||||
{"Probabilistic Sharpe Ratio", "99.997%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.274"},
|
||||
{"Alpha", "0.271"},
|
||||
{"Beta", "0.138"},
|
||||
{"Annual Standard Deviation", "0.011"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "7.202"},
|
||||
{"Tracking Error", "0.068"},
|
||||
{"Treynor Ratio", "1.722"},
|
||||
{"Information Ratio", "6.894"},
|
||||
{"Tracking Error", "0.069"},
|
||||
{"Treynor Ratio", "1.727"},
|
||||
{"Total Fees", "$307.50"},
|
||||
{"Estimated Strategy Capacity", "$2800000.00"},
|
||||
{"Fitness Score", "0.173"},
|
||||
@@ -231,7 +231,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "6b1b205e5a6461ffd5bed645099714cd"}
|
||||
{"OrderListHash", "5ce14f87f21733ec686385da7404484c"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -78,32 +78,32 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
/// </summary>
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "65"},
|
||||
{"Total Trades", "52"},
|
||||
{"Average Win", "0.00%"},
|
||||
{"Average Loss", "0.00%"},
|
||||
{"Compounding Annual Return", "0.145%"},
|
||||
{"Compounding Annual Return", "0.096%"},
|
||||
{"Drawdown", "0.100%"},
|
||||
{"Expectancy", "2.190"},
|
||||
{"Net Profit", "0.134%"},
|
||||
{"Sharpe Ratio", "0.993"},
|
||||
{"Probabilistic Sharpe Ratio", "49.669%"},
|
||||
{"Loss Rate", "29%"},
|
||||
{"Win Rate", "71%"},
|
||||
{"Profit-Loss Ratio", "3.50"},
|
||||
{"Expectancy", "3.321"},
|
||||
{"Net Profit", "0.089%"},
|
||||
{"Sharpe Ratio", "0.868"},
|
||||
{"Probabilistic Sharpe Ratio", "44.482%"},
|
||||
{"Loss Rate", "24%"},
|
||||
{"Win Rate", "76%"},
|
||||
{"Profit-Loss Ratio", "4.67"},
|
||||
{"Alpha", "0.001"},
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0.001"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-2.168"},
|
||||
{"Tracking Error", "0.099"},
|
||||
{"Treynor Ratio", "-5.187"},
|
||||
{"Total Fees", "$65.00"},
|
||||
{"Estimated Strategy Capacity", "$16000000000.00"},
|
||||
{"Information Ratio", "-2.148"},
|
||||
{"Tracking Error", "0.101"},
|
||||
{"Treynor Ratio", "-4.168"},
|
||||
{"Total Fees", "$52.00"},
|
||||
{"Estimated Strategy Capacity", "$27000000000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "1.51"},
|
||||
{"Return Over Maximum Drawdown", "1.819"},
|
||||
{"Sortino Ratio", "1.266"},
|
||||
{"Return Over Maximum Drawdown", "1.622"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "c4c9c272037cfd8f6887052b8d739466"}
|
||||
{"OrderListHash", "cf43585a8d1781f04b53a4f1ee3380cb"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -160,13 +160,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "5.579"},
|
||||
{"Beta", "-63.972"},
|
||||
{"Alpha", "5.56"},
|
||||
{"Beta", "-71.105"},
|
||||
{"Annual Standard Deviation", "0.434"},
|
||||
{"Annual Variance", "0.188"},
|
||||
{"Information Ratio", "0.996"},
|
||||
{"Tracking Error", "0.441"},
|
||||
{"Treynor Ratio", "-0.008"},
|
||||
{"Information Ratio", "1.016"},
|
||||
{"Tracking Error", "0.44"},
|
||||
{"Treynor Ratio", "-0.007"},
|
||||
{"Total Fees", "$20.35"},
|
||||
{"Estimated Strategy Capacity", "$19000000.00"},
|
||||
{"Fitness Score", "0.138"},
|
||||
|
||||
@@ -113,29 +113,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "264.819%"},
|
||||
{"Compounding Annual Return", "271.453%"},
|
||||
{"Drawdown", "2.200%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.668%"},
|
||||
{"Sharpe Ratio", "8.749"},
|
||||
{"Probabilistic Sharpe Ratio", "67.311%"},
|
||||
{"Net Profit", "1.692%"},
|
||||
{"Sharpe Ratio", "8.888"},
|
||||
{"Probabilistic Sharpe Ratio", "67.609%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.005"},
|
||||
{"Beta", "0.996"},
|
||||
{"Annual Standard Deviation", "0.219"},
|
||||
{"Annual Variance", "0.048"},
|
||||
{"Information Ratio", "-14.189"},
|
||||
{"Annual Standard Deviation", "0.222"},
|
||||
{"Annual Variance", "0.049"},
|
||||
{"Information Ratio", "-14.565"},
|
||||
{"Tracking Error", "0.001"},
|
||||
{"Treynor Ratio", "1.922"},
|
||||
{"Total Fees", "$3.26"},
|
||||
{"Estimated Strategy Capacity", "$58000000.00"},
|
||||
{"Treynor Ratio", "1.978"},
|
||||
{"Total Fees", "$3.44"},
|
||||
{"Estimated Strategy Capacity", "$48000000.00"},
|
||||
{"Fitness Score", "0.248"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "93.761"},
|
||||
{"Return Over Maximum Drawdown", "93.728"},
|
||||
{"Portfolio Turnover", "0.248"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -150,7 +150,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "25885f979ca8c7b44f5d0f7daf00b241"}
|
||||
{"OrderListHash", "9e4bfd2eb0b81ee5bc1b197a87ccedbe"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -76,9 +76,11 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
|
||||
public override void OnData(Slice data)
|
||||
{
|
||||
if (!_equityBought && data.ContainsKey(_spy)) {
|
||||
//Buy our Equity
|
||||
var quantity = CalculateOrderQuantity(_spy, .1m);
|
||||
if (!_equityBought && data.ContainsKey(_spy))
|
||||
{
|
||||
//Buy our Equity.
|
||||
//Quantity is rounded down to an even number since it will be split in two equal halves
|
||||
var quantity = Math.Floor(CalculateOrderQuantity(_spy, .1m) / 2) * 2;
|
||||
_equityBuy = MarketOrder(_spy, quantity, asynchronous: true);
|
||||
_equityBought = true;
|
||||
}
|
||||
@@ -119,7 +121,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
var order = Transactions.GetOrderById(orderEvent.OrderId);
|
||||
|
||||
// Based on the type verify the order
|
||||
switch(order.Type)
|
||||
switch (order.Type)
|
||||
{
|
||||
case OrderType.Market:
|
||||
VerifyMarketOrder(order, orderEvent);
|
||||
@@ -140,7 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
/// <param name="order">Order object to analyze</param>
|
||||
public void VerifyMarketOrder(Order order, OrderEvent orderEvent)
|
||||
{
|
||||
switch(order.Status)
|
||||
switch (order.Status)
|
||||
{
|
||||
case OrderStatus.Submitted:
|
||||
break;
|
||||
@@ -152,7 +154,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
throw new Exception("LastFillTime should not be null");
|
||||
}
|
||||
|
||||
if (order.Quantity/2 != orderEvent.FillQuantity)
|
||||
if (order.Quantity / 2 != orderEvent.FillQuantity)
|
||||
{
|
||||
throw new Exception("Order size should be half");
|
||||
}
|
||||
@@ -215,9 +217,9 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
}
|
||||
|
||||
//Check equity holding, should be invested, profit should be
|
||||
//Quantity should be 50, AveragePrice should be ticket AverageFillPrice
|
||||
//Quantity should be 52, AveragePrice should be ticket AverageFillPrice
|
||||
var equityHolding = Portfolio[_equityBuy.Symbol];
|
||||
if (!equityHolding.Invested || equityHolding.Quantity != 50 || equityHolding.AveragePrice != _equityBuy.AverageFillPrice)
|
||||
if (!equityHolding.Invested || equityHolding.Quantity != 52 || equityHolding.AveragePrice != _equityBuy.AverageFillPrice)
|
||||
{
|
||||
throw new Exception("Equity holding does not match expected outcome");
|
||||
}
|
||||
@@ -299,30 +301,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-0.40%"},
|
||||
{"Compounding Annual Return", "-22.335%"},
|
||||
{"Compounding Annual Return", "-22.231%"},
|
||||
{"Drawdown", "0.400%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "-0.323%"},
|
||||
{"Sharpe Ratio", "-11.098"},
|
||||
{"Net Profit", "-0.321%"},
|
||||
{"Sharpe Ratio", "-11.083"},
|
||||
{"Probabilistic Sharpe Ratio", "0%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.002"},
|
||||
{"Beta", "0.099"},
|
||||
{"Alpha", "-0.003"},
|
||||
{"Beta", "0.097"},
|
||||
{"Annual Standard Deviation", "0.002"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "9.899"},
|
||||
{"Tracking Error", "0.019"},
|
||||
{"Treynor Ratio", "-0.23"},
|
||||
{"Information Ratio", "9.742"},
|
||||
{"Tracking Error", "0.021"},
|
||||
{"Treynor Ratio", "-0.26"},
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0.213"},
|
||||
{"Fitness Score", "0.212"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-73.456"},
|
||||
{"Portfolio Turnover", "0.426"},
|
||||
{"Return Over Maximum Drawdown", "-73.565"},
|
||||
{"Portfolio Turnover", "0.425"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -336,7 +338,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "72a6ced0ed0c2da7136f3be652eb4744"}
|
||||
{"OrderListHash", "7f99e1a8ce4675a1e8bbe1ba45967ccd"}
|
||||
};
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -80,29 +80,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "264.819%"},
|
||||
{"Compounding Annual Return", "271.453%"},
|
||||
{"Drawdown", "2.200%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.668%"},
|
||||
{"Sharpe Ratio", "8.749"},
|
||||
{"Probabilistic Sharpe Ratio", "67.311%"},
|
||||
{"Net Profit", "1.692%"},
|
||||
{"Sharpe Ratio", "8.888"},
|
||||
{"Probabilistic Sharpe Ratio", "67.609%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.005"},
|
||||
{"Beta", "0.996"},
|
||||
{"Annual Standard Deviation", "0.219"},
|
||||
{"Annual Variance", "0.048"},
|
||||
{"Information Ratio", "-14.189"},
|
||||
{"Annual Standard Deviation", "0.222"},
|
||||
{"Annual Variance", "0.049"},
|
||||
{"Information Ratio", "-14.565"},
|
||||
{"Tracking Error", "0.001"},
|
||||
{"Treynor Ratio", "1.922"},
|
||||
{"Total Fees", "$3.26"},
|
||||
{"Estimated Strategy Capacity", "$58000000.00"},
|
||||
{"Treynor Ratio", "1.978"},
|
||||
{"Total Fees", "$3.44"},
|
||||
{"Estimated Strategy Capacity", "$48000000.00"},
|
||||
{"Fitness Score", "0.248"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "93.761"},
|
||||
{"Return Over Maximum Drawdown", "93.728"},
|
||||
{"Portfolio Turnover", "0.248"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -117,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "25885f979ca8c7b44f5d0f7daf00b241"}
|
||||
{"OrderListHash", "9e4bfd2eb0b81ee5bc1b197a87ccedbe"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -71,30 +71,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "246.000%"},
|
||||
{"Drawdown", "1.100%"},
|
||||
{"Compounding Annual Return", "246.546%"},
|
||||
{"Drawdown", "1.200%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "3.459%"},
|
||||
{"Sharpe Ratio", "10.11"},
|
||||
{"Probabilistic Sharpe Ratio", "83.150%"},
|
||||
{"Net Profit", "3.464%"},
|
||||
{"Sharpe Ratio", "9.933"},
|
||||
{"Probabilistic Sharpe Ratio", "82.470%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "1.935"},
|
||||
{"Beta", "-0.119"},
|
||||
{"Annual Standard Deviation", "0.16"},
|
||||
{"Annual Variance", "0.026"},
|
||||
{"Information Ratio", "-4.556"},
|
||||
{"Tracking Error", "0.221"},
|
||||
{"Treynor Ratio", "-13.568"},
|
||||
{"Total Fees", "$3.26"},
|
||||
{"Estimated Strategy Capacity", "$890000000.00"},
|
||||
{"Fitness Score", "0.111"},
|
||||
{"Alpha", "1.957"},
|
||||
{"Beta", "-0.125"},
|
||||
{"Annual Standard Deviation", "0.164"},
|
||||
{"Annual Variance", "0.027"},
|
||||
{"Information Ratio", "-4.577"},
|
||||
{"Tracking Error", "0.225"},
|
||||
{"Treynor Ratio", "-13.006"},
|
||||
{"Total Fees", "$3.45"},
|
||||
{"Estimated Strategy Capacity", "$840000000.00"},
|
||||
{"Fitness Score", "0.112"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "52.533"},
|
||||
{"Return Over Maximum Drawdown", "214.75"},
|
||||
{"Portfolio Turnover", "0.111"},
|
||||
{"Sortino Ratio", "53.951"},
|
||||
{"Return Over Maximum Drawdown", "209.464"},
|
||||
{"Portfolio Turnover", "0.112"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -108,7 +108,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "82fee25cd17100c53bb173834ab5f0b2"}
|
||||
{"OrderListHash", "33d01821923c397f999cfb2e5b5928ad"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -92,29 +92,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-1.01%"},
|
||||
{"Compounding Annual Return", "254.782%"},
|
||||
{"Compounding Annual Return", "261.134%"},
|
||||
{"Drawdown", "2.200%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "1.632%"},
|
||||
{"Sharpe Ratio", "8.371"},
|
||||
{"Probabilistic Sharpe Ratio", "66.555%"},
|
||||
{"Net Profit", "1.655%"},
|
||||
{"Sharpe Ratio", "8.505"},
|
||||
{"Probabilistic Sharpe Ratio", "66.840%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.088"},
|
||||
{"Alpha", "-0.091"},
|
||||
{"Beta", "1.006"},
|
||||
{"Annual Standard Deviation", "0.221"},
|
||||
{"Annual Variance", "0.049"},
|
||||
{"Information Ratio", "-32.586"},
|
||||
{"Annual Standard Deviation", "0.224"},
|
||||
{"Annual Variance", "0.05"},
|
||||
{"Information Ratio", "-33.445"},
|
||||
{"Tracking Error", "0.002"},
|
||||
{"Treynor Ratio", "1.839"},
|
||||
{"Total Fees", "$9.77"},
|
||||
{"Estimated Strategy Capacity", "$27000000.00"},
|
||||
{"Treynor Ratio", "1.893"},
|
||||
{"Total Fees", "$10.32"},
|
||||
{"Estimated Strategy Capacity", "$23000000.00"},
|
||||
{"Fitness Score", "0.747"},
|
||||
{"Kelly Criterion Estimate", "38.64"},
|
||||
{"Kelly Criterion Probability Value", "0.229"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "85.209"},
|
||||
{"Return Over Maximum Drawdown", "85.095"},
|
||||
{"Portfolio Turnover", "0.747"},
|
||||
{"Total Insights Generated", "100"},
|
||||
{"Total Insights Closed", "99"},
|
||||
@@ -122,14 +122,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$126657.6305"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$20405.9516"},
|
||||
{"Mean Population Estimated Insight Value", "$206.1207"},
|
||||
{"Mean Population Direction", "54.5455%"},
|
||||
{"Mean Population Magnitude", "54.5455%"},
|
||||
{"Rolling Averaged Population Direction", "59.8056%"},
|
||||
{"Rolling Averaged Population Magnitude", "59.8056%"},
|
||||
{"OrderListHash", "17e29d58e5dabd93569da752c4552c70"}
|
||||
{"Estimated Monthly Alpha Value", "$117277.2200"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$18894.6632"},
|
||||
{"Mean Population Estimated Insight Value", "$190.8552"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "ad2216297c759d8e5aef48ff065f8919"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -139,13 +139,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "89%"},
|
||||
{"Win Rate", "11%"},
|
||||
{"Profit-Loss Ratio", "0.69"},
|
||||
{"Alpha", "4.398"},
|
||||
{"Beta", "-0.989"},
|
||||
{"Alpha", "4.469"},
|
||||
{"Beta", "-0.961"},
|
||||
{"Annual Standard Deviation", "0.373"},
|
||||
{"Annual Variance", "0.139"},
|
||||
{"Information Ratio", "-12.816"},
|
||||
{"Tracking Error", "0.504"},
|
||||
{"Treynor Ratio", "1.011"},
|
||||
{"Information Ratio", "-13.191"},
|
||||
{"Tracking Error", "0.507"},
|
||||
{"Treynor Ratio", "1.04"},
|
||||
{"Total Fees", "$15207.00"},
|
||||
{"Estimated Strategy Capacity", "$7700.00"},
|
||||
{"Fitness Score", "0.033"},
|
||||
|
||||
@@ -147,13 +147,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-1.347"},
|
||||
{"Alpha", "-1.362"},
|
||||
{"Beta", "0.257"},
|
||||
{"Annual Standard Deviation", "0.109"},
|
||||
{"Annual Variance", "0.012"},
|
||||
{"Information Ratio", "-14.763"},
|
||||
{"Tracking Error", "0.188"},
|
||||
{"Treynor Ratio", "-3.318"},
|
||||
{"Information Ratio", "-14.947"},
|
||||
{"Tracking Error", "0.19"},
|
||||
{"Treynor Ratio", "-3.309"},
|
||||
{"Total Fees", "$3.70"},
|
||||
{"Estimated Strategy Capacity", "$52000000.00"},
|
||||
{"Fitness Score", "0.009"},
|
||||
|
||||
@@ -123,13 +123,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "-0.908"},
|
||||
{"Beta", "0.468"},
|
||||
{"Annual Standard Deviation", "0.139"},
|
||||
{"Annual Variance", "0.019"},
|
||||
{"Information Ratio", "-4.217"},
|
||||
{"Tracking Error", "0.139"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "-9.003"},
|
||||
{"Tracking Error", "0.142"},
|
||||
{"Treynor Ratio", "-1.251"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$14000000.00"},
|
||||
{"Fitness Score", "0.044"},
|
||||
|
||||
@@ -74,32 +74,32 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
/// </summary>
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "18"},
|
||||
{"Total Trades", "19"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-0.16%"},
|
||||
{"Compounding Annual Return", "72.164%"},
|
||||
{"Compounding Annual Return", "71.962%"},
|
||||
{"Drawdown", "1.100%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "0.747%"},
|
||||
{"Sharpe Ratio", "4.086"},
|
||||
{"Probabilistic Sharpe Ratio", "61.091%"},
|
||||
{"Net Profit", "0.745%"},
|
||||
{"Sharpe Ratio", "4.072"},
|
||||
{"Probabilistic Sharpe Ratio", "61.045%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.305"},
|
||||
{"Beta", "0.564"},
|
||||
{"Alpha", "-0.314"},
|
||||
{"Beta", "0.554"},
|
||||
{"Annual Standard Deviation", "0.113"},
|
||||
{"Annual Variance", "0.013"},
|
||||
{"Information Ratio", "-10.007"},
|
||||
{"Tracking Error", "0.09"},
|
||||
{"Treynor Ratio", "0.82"},
|
||||
{"Total Fees", "$41.70"},
|
||||
{"Information Ratio", "-10.043"},
|
||||
{"Tracking Error", "0.093"},
|
||||
{"Treynor Ratio", "0.832"},
|
||||
{"Total Fees", "$42.71"},
|
||||
{"Estimated Strategy Capacity", "$3000000.00"},
|
||||
{"Fitness Score", "0.634"},
|
||||
{"Kelly Criterion Estimate", "13.656"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "80.05"},
|
||||
{"Return Over Maximum Drawdown", "79.683"},
|
||||
{"Portfolio Turnover", "0.634"},
|
||||
{"Total Insights Generated", "17"},
|
||||
{"Total Insights Closed", "14"},
|
||||
@@ -107,14 +107,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "6"},
|
||||
{"Short Insight Count", "7"},
|
||||
{"Long/Short Ratio", "85.71%"},
|
||||
{"Estimated Monthly Alpha Value", "$72447.6813"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$12477.1007"},
|
||||
{"Mean Population Estimated Insight Value", "$891.2215"},
|
||||
{"Estimated Monthly Alpha Value", "$44645.2887"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$7688.9108"},
|
||||
{"Mean Population Estimated Insight Value", "$549.2079"},
|
||||
{"Mean Population Direction", "50%"},
|
||||
{"Mean Population Magnitude", "50%"},
|
||||
{"Rolling Averaged Population Direction", "12.6429%"},
|
||||
{"Rolling Averaged Population Magnitude", "12.6429%"},
|
||||
{"OrderListHash", "3edd51956c7c97af4863aa6059c11f1a"}
|
||||
{"OrderListHash", "b1dc004bd5163b865e17a429d402a9c5"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -151,9 +151,9 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-7.067"},
|
||||
{"Tracking Error", "0.193"},
|
||||
{"Treynor Ratio", "7.887"},
|
||||
{"Information Ratio", "-7.163"},
|
||||
{"Tracking Error", "0.195"},
|
||||
{"Treynor Ratio", "8.093"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -173,13 +173,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.237"},
|
||||
{"Beta", "-0.182"},
|
||||
{"Alpha", "0.238"},
|
||||
{"Beta", "-0.183"},
|
||||
{"Annual Standard Deviation", "0.09"},
|
||||
{"Annual Variance", "0.008"},
|
||||
{"Information Ratio", "2.425"},
|
||||
{"Tracking Error", "0.149"},
|
||||
{"Treynor Ratio", "-1.405"},
|
||||
{"Information Ratio", "2.41"},
|
||||
{"Tracking Error", "0.148"},
|
||||
{"Treynor Ratio", "-1.399"},
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$42000000.00"},
|
||||
{"Fitness Score", "0.076"},
|
||||
|
||||
@@ -157,12 +157,12 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Win Rate", "17%"},
|
||||
{"Profit-Loss Ratio", "13.36"},
|
||||
{"Alpha", "2.59468989671647E+16"},
|
||||
{"Beta", "67.661"},
|
||||
{"Beta", "66.241"},
|
||||
{"Annual Standard Deviation", "3.633"},
|
||||
{"Annual Variance", "13.196"},
|
||||
{"Information Ratio", "7.24987266907741E+15"},
|
||||
{"Tracking Error", "3.579"},
|
||||
{"Treynor Ratio", "383485597312030"},
|
||||
{"Information Ratio", "7.25220453625048E+15"},
|
||||
{"Tracking Error", "3.578"},
|
||||
{"Treynor Ratio", "391705233723350"},
|
||||
{"Total Fees", "$13.00"},
|
||||
{"Estimated Strategy Capacity", "$3000000.00"},
|
||||
{"Fitness Score", "0.232"},
|
||||
|
||||
@@ -119,29 +119,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "11"},
|
||||
{"Average Win", "0.51%"},
|
||||
{"Average Loss", "-0.33%"},
|
||||
{"Compounding Annual Return", "-31.082%"},
|
||||
{"Drawdown", "2.700%"},
|
||||
{"Compounding Annual Return", "-31.050%"},
|
||||
{"Drawdown", "2.600%"},
|
||||
{"Expectancy", "0.263"},
|
||||
{"Net Profit", "-1.518%"},
|
||||
{"Sharpe Ratio", "-2.118"},
|
||||
{"Probabilistic Sharpe Ratio", "23.259%"},
|
||||
{"Net Profit", "-1.516%"},
|
||||
{"Sharpe Ratio", "-2.123"},
|
||||
{"Probabilistic Sharpe Ratio", "23.232%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "1.53"},
|
||||
{"Alpha", "-0.208"},
|
||||
{"Beta", "0.415"},
|
||||
{"Annual Standard Deviation", "0.119"},
|
||||
{"Alpha", "-0.21"},
|
||||
{"Beta", "0.416"},
|
||||
{"Annual Standard Deviation", "0.118"},
|
||||
{"Annual Variance", "0.014"},
|
||||
{"Information Ratio", "-1.167"},
|
||||
{"Tracking Error", "0.126"},
|
||||
{"Treynor Ratio", "-0.607"},
|
||||
{"Information Ratio", "-1.2"},
|
||||
{"Tracking Error", "0.125"},
|
||||
{"Treynor Ratio", "-0.605"},
|
||||
{"Total Fees", "$11.63"},
|
||||
{"Estimated Strategy Capacity", "$46000000.00"},
|
||||
{"Fitness Score", "0.013"},
|
||||
{"Fitness Score", "0.012"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-5.1"},
|
||||
{"Return Over Maximum Drawdown", "-11.717"},
|
||||
{"Sortino Ratio", "-5.19"},
|
||||
{"Return Over Maximum Drawdown", "-11.761"},
|
||||
{"Portfolio Turnover", "0.282"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -156,7 +156,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "3d1ae61492b34c39115b76757510c058"}
|
||||
{"OrderListHash", "d2412df9590523bc33e97ffa7683ce96"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -103,29 +103,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "58.336%"},
|
||||
{"Drawdown", "0.900%"},
|
||||
{"Compounding Annual Return", "57.657%"},
|
||||
{"Drawdown", "1.000%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.012%"},
|
||||
{"Sharpe Ratio", "5.09"},
|
||||
{"Probabilistic Sharpe Ratio", "68.472%"},
|
||||
{"Net Profit", "1.003%"},
|
||||
{"Sharpe Ratio", "5.024"},
|
||||
{"Probabilistic Sharpe Ratio", "68.421%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.322"},
|
||||
{"Beta", "0.265"},
|
||||
{"Alpha", "0.312"},
|
||||
{"Beta", "0.27"},
|
||||
{"Annual Standard Deviation", "0.087"},
|
||||
{"Annual Variance", "0.008"},
|
||||
{"Information Ratio", "-0.088"},
|
||||
{"Information Ratio", "-0.242"},
|
||||
{"Tracking Error", "0.105"},
|
||||
{"Treynor Ratio", "1.667"},
|
||||
{"Total Fees", "$2.91"},
|
||||
{"Estimated Strategy Capacity", "$670000000.00"},
|
||||
{"Treynor Ratio", "1.616"},
|
||||
{"Total Fees", "$3.08"},
|
||||
{"Estimated Strategy Capacity", "$630000000.00"},
|
||||
{"Fitness Score", "0.141"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "9.731"},
|
||||
{"Return Over Maximum Drawdown", "61.515"},
|
||||
{"Sortino Ratio", "10.385"},
|
||||
{"Return Over Maximum Drawdown", "58.709"},
|
||||
{"Portfolio Turnover", "0.143"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -140,7 +140,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "718d73fbddccb63aeacbf4659938b4b8"}
|
||||
{"OrderListHash", "50145c3c1d58b09f38ec1b77cfe69eae"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -83,13 +83,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "33%"},
|
||||
{"Win Rate", "67%"},
|
||||
{"Profit-Loss Ratio", "0.02"},
|
||||
{"Alpha", "4.314"},
|
||||
{"Beta", "1.239"},
|
||||
{"Alpha", "4.267"},
|
||||
{"Beta", "1.227"},
|
||||
{"Annual Standard Deviation", "0.285"},
|
||||
{"Annual Variance", "0.081"},
|
||||
{"Information Ratio", "47.452"},
|
||||
{"Tracking Error", "0.101"},
|
||||
{"Treynor Ratio", "5.409"},
|
||||
{"Information Ratio", "48.639"},
|
||||
{"Tracking Error", "0.097"},
|
||||
{"Treynor Ratio", "5.459"},
|
||||
{"Total Fees", "$67.00"},
|
||||
{"Estimated Strategy Capacity", "$3200000.00"},
|
||||
{"Fitness Score", "0.501"},
|
||||
|
||||
@@ -66,31 +66,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "7"},
|
||||
{"Average Win", "1.02%"},
|
||||
{"Average Win", "1.01%"},
|
||||
{"Average Loss", "-1.01%"},
|
||||
{"Compounding Annual Return", "205.606%"},
|
||||
{"Compounding Annual Return", "210.936%"},
|
||||
{"Drawdown", "2.200%"},
|
||||
{"Expectancy", "0.339"},
|
||||
{"Net Profit", "1.439%"},
|
||||
{"Sharpe Ratio", "7.166"},
|
||||
{"Probabilistic Sharpe Ratio", "64.794%"},
|
||||
{"Net Profit", "1.461%"},
|
||||
{"Sharpe Ratio", "7.289"},
|
||||
{"Probabilistic Sharpe Ratio", "65.077%"},
|
||||
{"Loss Rate", "33%"},
|
||||
{"Win Rate", "67%"},
|
||||
{"Profit-Loss Ratio", "1.01"},
|
||||
{"Alpha", "-0.341"},
|
||||
{"Alpha", "-0.349"},
|
||||
{"Beta", "0.968"},
|
||||
{"Annual Standard Deviation", "0.213"},
|
||||
{"Annual Variance", "0.045"},
|
||||
{"Information Ratio", "-46.719"},
|
||||
{"Annual Standard Deviation", "0.216"},
|
||||
{"Annual Variance", "0.046"},
|
||||
{"Information Ratio", "-47.59"},
|
||||
{"Tracking Error", "0.009"},
|
||||
{"Treynor Ratio", "1.575"},
|
||||
{"Total Fees", "$22.77"},
|
||||
{"Estimated Strategy Capacity", "$22000000.00"},
|
||||
{"Treynor Ratio", "1.623"},
|
||||
{"Total Fees", "$24.07"},
|
||||
{"Estimated Strategy Capacity", "$20000000.00"},
|
||||
{"Fitness Score", "0.999"},
|
||||
{"Kelly Criterion Estimate", "38.64"},
|
||||
{"Kelly Criterion Probability Value", "0.229"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "69.159"},
|
||||
{"Return Over Maximum Drawdown", "69.017"},
|
||||
{"Portfolio Turnover", "1.242"},
|
||||
{"Total Insights Generated", "100"},
|
||||
{"Total Insights Closed", "99"},
|
||||
@@ -98,14 +98,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$126657.6305"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$20405.9516"},
|
||||
{"Mean Population Estimated Insight Value", "$206.1207"},
|
||||
{"Mean Population Direction", "54.5455%"},
|
||||
{"Mean Population Magnitude", "54.5455%"},
|
||||
{"Rolling Averaged Population Direction", "59.8056%"},
|
||||
{"Rolling Averaged Population Magnitude", "59.8056%"},
|
||||
{"OrderListHash", "e0f388bf9e88b34388c866150b292573"}
|
||||
{"Estimated Monthly Alpha Value", "$117277.2200"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$18894.6632"},
|
||||
{"Mean Population Estimated Insight Value", "$190.8552"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "d8d556bcf963ba50f85cea387c55922b"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -75,31 +75,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "6"},
|
||||
{"Average Win", "0.00%"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0.00%"},
|
||||
{"Compounding Annual Return", "38.059%"},
|
||||
{"Compounding Annual Return", "38.832%"},
|
||||
{"Drawdown", "0.600%"},
|
||||
{"Expectancy", "-0.502"},
|
||||
{"Net Profit", "0.413%"},
|
||||
{"Sharpe Ratio", "5.518"},
|
||||
{"Probabilistic Sharpe Ratio", "66.933%"},
|
||||
{"Loss Rate", "67%"},
|
||||
{"Win Rate", "33%"},
|
||||
{"Profit-Loss Ratio", "0.50"},
|
||||
{"Alpha", "-0.178"},
|
||||
{"Beta", "0.249"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "0.420%"},
|
||||
{"Sharpe Ratio", "5.579"},
|
||||
{"Probabilistic Sharpe Ratio", "67.318%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.184"},
|
||||
{"Beta", "0.248"},
|
||||
{"Annual Standard Deviation", "0.055"},
|
||||
{"Annual Variance", "0.003"},
|
||||
{"Information Ratio", "-9.844"},
|
||||
{"Tracking Error", "0.165"},
|
||||
{"Treynor Ratio", "1.212"},
|
||||
{"Information Ratio", "-10.012"},
|
||||
{"Tracking Error", "0.167"},
|
||||
{"Treynor Ratio", "1.241"},
|
||||
{"Total Fees", "$6.00"},
|
||||
{"Estimated Strategy Capacity", "$42000000.00"},
|
||||
{"Estimated Strategy Capacity", "$33000000.00"},
|
||||
{"Fitness Score", "0.063"},
|
||||
{"Kelly Criterion Estimate", "38.64"},
|
||||
{"Kelly Criterion Probability Value", "0.229"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "70.188"},
|
||||
{"Return Over Maximum Drawdown", "70.89"},
|
||||
{"Portfolio Turnover", "0.063"},
|
||||
{"Total Insights Generated", "100"},
|
||||
{"Total Insights Closed", "99"},
|
||||
@@ -107,14 +107,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$126657.6305"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$20405.9516"},
|
||||
{"Mean Population Estimated Insight Value", "$206.1207"},
|
||||
{"Mean Population Direction", "54.5455%"},
|
||||
{"Mean Population Magnitude", "54.5455%"},
|
||||
{"Rolling Averaged Population Direction", "59.8056%"},
|
||||
{"Rolling Averaged Population Magnitude", "59.8056%"},
|
||||
{"OrderListHash", "07eb3e2c199575b547459a534057eb5e"}
|
||||
{"Estimated Monthly Alpha Value", "$117277.2200"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$18894.6632"},
|
||||
{"Mean Population Estimated Insight Value", "$190.8552"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "21e4704a124ba562d042e1e9962f4316"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -156,13 +156,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "5.579"},
|
||||
{"Beta", "-63.972"},
|
||||
{"Alpha", "5.56"},
|
||||
{"Beta", "-71.105"},
|
||||
{"Annual Standard Deviation", "0.434"},
|
||||
{"Annual Variance", "0.188"},
|
||||
{"Information Ratio", "0.996"},
|
||||
{"Tracking Error", "0.441"},
|
||||
{"Treynor Ratio", "-0.008"},
|
||||
{"Information Ratio", "1.016"},
|
||||
{"Tracking Error", "0.44"},
|
||||
{"Treynor Ratio", "-0.007"},
|
||||
{"Total Fees", "$20.35"},
|
||||
{"Estimated Strategy Capacity", "$19000000.00"},
|
||||
{"Fitness Score", "0.138"},
|
||||
|
||||
@@ -182,13 +182,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.443"},
|
||||
{"Alpha", "-0.449"},
|
||||
{"Beta", "0.157"},
|
||||
{"Annual Standard Deviation", "0.074"},
|
||||
{"Annual Variance", "0.005"},
|
||||
{"Information Ratio", "-9.046"},
|
||||
{"Tracking Error", "0.176"},
|
||||
{"Treynor Ratio", "-1.46"},
|
||||
{"Information Ratio", "-9.158"},
|
||||
{"Tracking Error", "0.178"},
|
||||
{"Treynor Ratio", "-1.456"},
|
||||
{"Total Fees", "$7.82"},
|
||||
{"Estimated Strategy Capacity", "$12000000.00"},
|
||||
{"Fitness Score", "0.1"},
|
||||
|
||||
@@ -128,29 +128,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
{"Total Trades", "85"},
|
||||
{"Average Win", "4.85%"},
|
||||
{"Average Loss", "-4.21%"},
|
||||
{"Compounding Annual Return", "-3.100%"},
|
||||
{"Drawdown", "52.900%"},
|
||||
{"Expectancy", "-0.052"},
|
||||
{"Net Profit", "-29.298%"},
|
||||
{"Sharpe Ratio", "-0.076"},
|
||||
{"Average Loss", "-4.22%"},
|
||||
{"Compounding Annual Return", "-3.124%"},
|
||||
{"Drawdown", "53.000%"},
|
||||
{"Expectancy", "-0.053"},
|
||||
{"Net Profit", "-29.486%"},
|
||||
{"Sharpe Ratio", "-0.078"},
|
||||
{"Probabilistic Sharpe Ratio", "0.004%"},
|
||||
{"Loss Rate", "56%"},
|
||||
{"Win Rate", "44%"},
|
||||
{"Profit-Loss Ratio", "1.15"},
|
||||
{"Alpha", "-0.013"},
|
||||
{"Beta", "0.009"},
|
||||
{"Annual Standard Deviation", "0.164"},
|
||||
{"Beta", "0.007"},
|
||||
{"Annual Standard Deviation", "0.163"},
|
||||
{"Annual Variance", "0.027"},
|
||||
{"Information Ratio", "-0.391"},
|
||||
{"Tracking Error", "0.239"},
|
||||
{"Treynor Ratio", "-1.435"},
|
||||
{"Total Fees", "$755.29"},
|
||||
{"Estimated Strategy Capacity", "$1100000000.00"},
|
||||
{"Information Ratio", "-0.393"},
|
||||
{"Tracking Error", "0.238"},
|
||||
{"Treynor Ratio", "-1.72"},
|
||||
{"Total Fees", "$796.82"},
|
||||
{"Estimated Strategy Capacity", "$1000000000.00"},
|
||||
{"Fitness Score", "0.024"},
|
||||
{"Kelly Criterion Estimate", "-0.84"},
|
||||
{"Kelly Criterion Probability Value", "0.53"},
|
||||
{"Sortino Ratio", "-0.224"},
|
||||
{"Kelly Criterion Estimate", "-0.9"},
|
||||
{"Kelly Criterion Probability Value", "0.532"},
|
||||
{"Sortino Ratio", "-0.228"},
|
||||
{"Return Over Maximum Drawdown", "-0.058"},
|
||||
{"Portfolio Turnover", "0.05"},
|
||||
{"Total Insights Generated", "85"},
|
||||
@@ -159,14 +159,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "42"},
|
||||
{"Short Insight Count", "43"},
|
||||
{"Long/Short Ratio", "97.67%"},
|
||||
{"Estimated Monthly Alpha Value", "$-617339.2"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$-82686580"},
|
||||
{"Mean Population Estimated Insight Value", "$-972783.3"},
|
||||
{"Estimated Monthly Alpha Value", "$-579527.4"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$-77622060"},
|
||||
{"Mean Population Estimated Insight Value", "$-913200.7"},
|
||||
{"Mean Population Direction", "51.7647%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "48.2217%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "95f34359f25a7a7a2725f0343a75a105"}
|
||||
{"OrderListHash", "177fb7f308a252864365442a30dd9eeb"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -82,29 +82,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "264.819%"},
|
||||
{"Compounding Annual Return", "272.157%"},
|
||||
{"Drawdown", "2.200%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.668%"},
|
||||
{"Sharpe Ratio", "8.749"},
|
||||
{"Probabilistic Sharpe Ratio", "67.311%"},
|
||||
{"Net Profit", "1.694%"},
|
||||
{"Sharpe Ratio", "8.897"},
|
||||
{"Probabilistic Sharpe Ratio", "67.609%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "1.119"},
|
||||
{"Alpha", "1.178"},
|
||||
{"Beta", "0.805"},
|
||||
{"Annual Standard Deviation", "0.219"},
|
||||
{"Annual Variance", "0.048"},
|
||||
{"Information Ratio", "5.494"},
|
||||
{"Tracking Error", "0.168"},
|
||||
{"Treynor Ratio", "2.38"},
|
||||
{"Total Fees", "$3.26"},
|
||||
{"Estimated Strategy Capacity", "$300000000.00"},
|
||||
{"Fitness Score", "0.245"},
|
||||
{"Annual Standard Deviation", "0.222"},
|
||||
{"Annual Variance", "0.049"},
|
||||
{"Information Ratio", "5.718"},
|
||||
{"Tracking Error", "0.172"},
|
||||
{"Treynor Ratio", "2.453"},
|
||||
{"Total Fees", "$3.45"},
|
||||
{"Estimated Strategy Capacity", "$270000000.00"},
|
||||
{"Fitness Score", "0.246"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "9.606"},
|
||||
{"Return Over Maximum Drawdown", "105.85"},
|
||||
{"Sortino Ratio", "9.761"},
|
||||
{"Return Over Maximum Drawdown", "107.509"},
|
||||
{"Portfolio Turnover", "0.249"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -119,7 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "9cd604d2c1e3c273697e2ff2cc7faef1"}
|
||||
{"OrderListHash", "e10039d74166b161f3ea2851a5e85843"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -96,30 +96,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "5672.520%"},
|
||||
{"Drawdown", "22.500%"},
|
||||
{"Compounding Annual Return", "4775.196%"},
|
||||
{"Drawdown", "21.600%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "40.601%"},
|
||||
{"Sharpe Ratio", "40.201"},
|
||||
{"Probabilistic Sharpe Ratio", "77.339%"},
|
||||
{"Net Profit", "38.619%"},
|
||||
{"Sharpe Ratio", "33.779"},
|
||||
{"Probabilistic Sharpe Ratio", "77.029%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "41.848"},
|
||||
{"Beta", "9.224"},
|
||||
{"Annual Standard Deviation", "1.164"},
|
||||
{"Annual Variance", "1.355"},
|
||||
{"Information Ratio", "44.459"},
|
||||
{"Tracking Error", "1.04"},
|
||||
{"Treynor Ratio", "5.073"},
|
||||
{"Alpha", "32.812"},
|
||||
{"Beta", "8.756"},
|
||||
{"Annual Standard Deviation", "1.11"},
|
||||
{"Annual Variance", "1.231"},
|
||||
{"Information Ratio", "37.501"},
|
||||
{"Tracking Error", "0.985"},
|
||||
{"Treynor Ratio", "4.281"},
|
||||
{"Total Fees", "$30.00"},
|
||||
{"Estimated Strategy Capacity", "$20000000.00"},
|
||||
{"Fitness Score", "0.418"},
|
||||
{"Estimated Strategy Capacity", "$19000000.00"},
|
||||
{"Fitness Score", "0.395"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "113.05"},
|
||||
{"Return Over Maximum Drawdown", "442.81"},
|
||||
{"Portfolio Turnover", "0.418"},
|
||||
{"Sortino Ratio", "98.148"},
|
||||
{"Return Over Maximum Drawdown", "384.626"},
|
||||
{"Portfolio Turnover", "0.395"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -133,7 +133,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "b88362c462e9ab2942cbcb8dfddc6ce0"}
|
||||
{"OrderListHash", "3df007afa8125770e8f1a49263af90a2"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -112,12 +112,12 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.273"},
|
||||
{"Beta", "0.045"},
|
||||
{"Beta", "0.047"},
|
||||
{"Annual Standard Deviation", "0.057"},
|
||||
{"Annual Variance", "0.003"},
|
||||
{"Information Ratio", "-1.537"},
|
||||
{"Information Ratio", "-1.581"},
|
||||
{"Tracking Error", "0.112"},
|
||||
{"Treynor Ratio", "-6.121"},
|
||||
{"Treynor Ratio", "-5.872"},
|
||||
{"Total Fees", "$3.50"},
|
||||
{"Estimated Strategy Capacity", "$48000000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -117,12 +117,12 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.273"},
|
||||
{"Beta", "0.045"},
|
||||
{"Beta", "0.047"},
|
||||
{"Annual Standard Deviation", "0.057"},
|
||||
{"Annual Variance", "0.003"},
|
||||
{"Information Ratio", "-1.537"},
|
||||
{"Information Ratio", "-1.581"},
|
||||
{"Tracking Error", "0.112"},
|
||||
{"Treynor Ratio", "-6.121"},
|
||||
{"Treynor Ratio", "-5.872"},
|
||||
{"Total Fees", "$3.50"},
|
||||
{"Estimated Strategy Capacity", "$48000000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -124,12 +124,12 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.079"},
|
||||
{"Beta", "0.099"},
|
||||
{"Beta", "0.095"},
|
||||
{"Annual Standard Deviation", "0.079"},
|
||||
{"Annual Variance", "0.006"},
|
||||
{"Information Ratio", "-6.058"},
|
||||
{"Tracking Error", "0.19"},
|
||||
{"Treynor Ratio", "2.159"},
|
||||
{"Information Ratio", "-6.162"},
|
||||
{"Tracking Error", "0.192"},
|
||||
{"Treynor Ratio", "2.232"},
|
||||
{"Total Fees", "$1.00"},
|
||||
{"Estimated Strategy Capacity", "$58000000.00"},
|
||||
{"Fitness Score", "0.1"},
|
||||
|
||||
@@ -124,12 +124,12 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "1.736"},
|
||||
{"Beta", "0.136"},
|
||||
{"Beta", "0.142"},
|
||||
{"Annual Standard Deviation", "0.84"},
|
||||
{"Annual Variance", "0.706"},
|
||||
{"Information Ratio", "1.925"},
|
||||
{"Tracking Error", "0.846"},
|
||||
{"Treynor Ratio", "12.904"},
|
||||
{"Treynor Ratio", "12.334"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -94,12 +94,12 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "1.736"},
|
||||
{"Beta", "0.136"},
|
||||
{"Beta", "0.142"},
|
||||
{"Annual Standard Deviation", "0.84"},
|
||||
{"Annual Variance", "0.706"},
|
||||
{"Information Ratio", "1.925"},
|
||||
{"Tracking Error", "0.846"},
|
||||
{"Treynor Ratio", "12.903"},
|
||||
{"Treynor Ratio", "12.333"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -133,13 +133,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.898"},
|
||||
{"Beta", "-7.027"},
|
||||
{"Alpha", "-0.909"},
|
||||
{"Beta", "-5.676"},
|
||||
{"Annual Standard Deviation", "0.651"},
|
||||
{"Annual Variance", "0.424"},
|
||||
{"Information Ratio", "-1.396"},
|
||||
{"Tracking Error", "0.726"},
|
||||
{"Treynor Ratio", "0.142"},
|
||||
{"Information Ratio", "-1.362"},
|
||||
{"Tracking Error", "0.745"},
|
||||
{"Treynor Ratio", "0.176"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0.127"},
|
||||
|
||||
@@ -193,31 +193,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "62"},
|
||||
{"Average Win", "0.10%"},
|
||||
{"Average Win", "0.11%"},
|
||||
{"Average Loss", "-0.06%"},
|
||||
{"Compounding Annual Return", "-7.727%"},
|
||||
{"Compounding Annual Return", "-7.236%"},
|
||||
{"Drawdown", "2.400%"},
|
||||
{"Expectancy", "-0.197"},
|
||||
{"Net Profit", "-0.673%"},
|
||||
{"Sharpe Ratio", "-1.565"},
|
||||
{"Probabilistic Sharpe Ratio", "22.763%"},
|
||||
{"Expectancy", "-0.187"},
|
||||
{"Net Profit", "-0.629%"},
|
||||
{"Sharpe Ratio", "-1.475"},
|
||||
{"Probabilistic Sharpe Ratio", "23.597%"},
|
||||
{"Loss Rate", "70%"},
|
||||
{"Win Rate", "30%"},
|
||||
{"Profit-Loss Ratio", "1.70"},
|
||||
{"Alpha", "-0.14"},
|
||||
{"Beta", "0.124"},
|
||||
{"Profit-Loss Ratio", "1.73"},
|
||||
{"Alpha", "-0.136"},
|
||||
{"Beta", "0.126"},
|
||||
{"Annual Standard Deviation", "0.047"},
|
||||
{"Annual Variance", "0.002"},
|
||||
{"Information Ratio", "-5.163"},
|
||||
{"Information Ratio", "-5.094"},
|
||||
{"Tracking Error", "0.118"},
|
||||
{"Treynor Ratio", "-0.591"},
|
||||
{"Total Fees", "$62.24"},
|
||||
{"Estimated Strategy Capacity", "$49000000.00"},
|
||||
{"Fitness Score", "0.147"},
|
||||
{"Treynor Ratio", "-0.547"},
|
||||
{"Total Fees", "$62.25"},
|
||||
{"Estimated Strategy Capacity", "$45000000.00"},
|
||||
{"Fitness Score", "0.16"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-2.792"},
|
||||
{"Return Over Maximum Drawdown", "-3.569"},
|
||||
{"Sortino Ratio", "-2.59"},
|
||||
{"Return Over Maximum Drawdown", "-3.337"},
|
||||
{"Portfolio Turnover", "2.562"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -232,7 +232,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "71c17655bd0731eb25433727526e95ba"}
|
||||
{"OrderListHash", "1118fb362bfe261323a6b496d50bddde"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -86,29 +86,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "241.885%"},
|
||||
{"Drawdown", "1.100%"},
|
||||
{"Compounding Annual Return", "240.939%"},
|
||||
{"Drawdown", "1.200%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.698%"},
|
||||
{"Sharpe Ratio", "7.17"},
|
||||
{"Probabilistic Sharpe Ratio", "68.718%"},
|
||||
{"Net Profit", "1.694%"},
|
||||
{"Sharpe Ratio", "6.988"},
|
||||
{"Probabilistic Sharpe Ratio", "68.188%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "1.171"},
|
||||
{"Beta", "0.147"},
|
||||
{"Annual Standard Deviation", "0.191"},
|
||||
{"Annual Variance", "0.037"},
|
||||
{"Information Ratio", "0.035"},
|
||||
{"Tracking Error", "0.251"},
|
||||
{"Treynor Ratio", "9.323"},
|
||||
{"Total Fees", "$3.26"},
|
||||
{"Estimated Strategy Capacity", "$890000000.00"},
|
||||
{"Alpha", "1.172"},
|
||||
{"Beta", "0.14"},
|
||||
{"Annual Standard Deviation", "0.196"},
|
||||
{"Annual Variance", "0.038"},
|
||||
{"Information Ratio", "-0.118"},
|
||||
{"Tracking Error", "0.256"},
|
||||
{"Treynor Ratio", "9.783"},
|
||||
{"Total Fees", "$3.45"},
|
||||
{"Estimated Strategy Capacity", "$840000000.00"},
|
||||
{"Fitness Score", "0.201"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "211.158"},
|
||||
{"Return Over Maximum Drawdown", "204.701"},
|
||||
{"Portfolio Turnover", "0.201"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -123,7 +123,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "82fee25cd17100c53bb173834ab5f0b2"}
|
||||
{"OrderListHash", "33d01821923c397f999cfb2e5b5928ad"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -189,8 +189,8 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-2.53"},
|
||||
{"Tracking Error", "0.211"},
|
||||
{"Information Ratio", "-2.564"},
|
||||
{"Tracking Error", "0.214"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
|
||||
@@ -114,8 +114,8 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-0.084"},
|
||||
{"Tracking Error", "0.183"},
|
||||
{"Information Ratio", "-0.098"},
|
||||
{"Tracking Error", "0.179"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
|
||||
@@ -114,8 +114,8 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-0.096"},
|
||||
{"Tracking Error", "0.212"},
|
||||
{"Information Ratio", "-0.111"},
|
||||
{"Tracking Error", "0.207"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
|
||||
@@ -106,12 +106,12 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.006"},
|
||||
{"Beta", "0.158"},
|
||||
{"Beta", "0.157"},
|
||||
{"Annual Standard Deviation", "0.033"},
|
||||
{"Annual Variance", "0.001"},
|
||||
{"Information Ratio", "-4.942"},
|
||||
{"Tracking Error", "0.08"},
|
||||
{"Treynor Ratio", "0.517"},
|
||||
{"Information Ratio", "-4.901"},
|
||||
{"Tracking Error", "0.081"},
|
||||
{"Treynor Ratio", "0.519"},
|
||||
{"Total Fees", "$3.70"},
|
||||
{"Estimated Strategy Capacity", "$270000000.00"},
|
||||
{"Fitness Score", "0.019"},
|
||||
|
||||
@@ -119,9 +119,9 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "-0.001"},
|
||||
{"Annual Standard Deviation", "0.001"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-1.187"},
|
||||
{"Tracking Error", "0.115"},
|
||||
{"Treynor Ratio", "1.545"},
|
||||
{"Information Ratio", "-1.182"},
|
||||
{"Tracking Error", "0.117"},
|
||||
{"Treynor Ratio", "1.617"},
|
||||
{"Total Fees", "$37.00"},
|
||||
{"Estimated Strategy Capacity", "$400000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -167,31 +167,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "7"},
|
||||
{"Average Win", "19.16%"},
|
||||
{"Average Win", "19.18%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "16.727%"},
|
||||
{"Drawdown", "12.200%"},
|
||||
{"Compounding Annual Return", "16.740%"},
|
||||
{"Drawdown", "12.400%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "153.058%"},
|
||||
{"Sharpe Ratio", "1.239"},
|
||||
{"Probabilistic Sharpe Ratio", "66.414%"},
|
||||
{"Net Profit", "153.224%"},
|
||||
{"Sharpe Ratio", "1.233"},
|
||||
{"Probabilistic Sharpe Ratio", "65.906%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.146"},
|
||||
{"Beta", "-0.018"},
|
||||
{"Annual Standard Deviation", "0.116"},
|
||||
{"Annual Variance", "0.013"},
|
||||
{"Information Ratio", "-0.053"},
|
||||
{"Beta", "-0.016"},
|
||||
{"Annual Standard Deviation", "0.117"},
|
||||
{"Annual Variance", "0.014"},
|
||||
{"Information Ratio", "-0.052"},
|
||||
{"Tracking Error", "0.204"},
|
||||
{"Treynor Ratio", "-8.165"},
|
||||
{"Total Fees", "$46.75"},
|
||||
{"Estimated Strategy Capacity", "$670000000.00"},
|
||||
{"Treynor Ratio", "-8.847"},
|
||||
{"Total Fees", "$49.43"},
|
||||
{"Estimated Strategy Capacity", "$630000000.00"},
|
||||
{"Fitness Score", "0.002"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "1.607"},
|
||||
{"Return Over Maximum Drawdown", "1.366"},
|
||||
{"Sortino Ratio", "1.609"},
|
||||
{"Return Over Maximum Drawdown", "1.351"},
|
||||
{"Portfolio Turnover", "0.003"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -206,7 +206,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "7c4fcd79dd817a9cd3bf44525eaed96c"}
|
||||
{"OrderListHash", "44481c3d7eeb5acd5e3bccfec501a132"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -187,30 +187,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "6441"},
|
||||
{"Average Win", "0.07%"},
|
||||
{"Average Loss", "-0.07%"},
|
||||
{"Compounding Annual Return", "13.331%"},
|
||||
{"Compounding Annual Return", "13.366%"},
|
||||
{"Drawdown", "10.700%"},
|
||||
{"Expectancy", "0.061"},
|
||||
{"Net Profit", "13.331%"},
|
||||
{"Sharpe Ratio", "0.963"},
|
||||
{"Probabilistic Sharpe Ratio", "46.232%"},
|
||||
{"Expectancy", "0.062"},
|
||||
{"Net Profit", "13.366%"},
|
||||
{"Sharpe Ratio", "0.966"},
|
||||
{"Probabilistic Sharpe Ratio", "46.330%"},
|
||||
{"Loss Rate", "46%"},
|
||||
{"Win Rate", "54%"},
|
||||
{"Profit-Loss Ratio", "0.97"},
|
||||
{"Alpha", "0.124"},
|
||||
{"Beta", "-0.066"},
|
||||
{"Alpha", "0.125"},
|
||||
{"Beta", "-0.067"},
|
||||
{"Annual Standard Deviation", "0.121"},
|
||||
{"Annual Variance", "0.015"},
|
||||
{"Information Ratio", "0.006"},
|
||||
{"Information Ratio", "-0.021"},
|
||||
{"Tracking Error", "0.171"},
|
||||
{"Treynor Ratio", "-1.761"},
|
||||
{"Total Fees", "$8669.41"},
|
||||
{"Treynor Ratio", "-1.747"},
|
||||
{"Total Fees", "$8669.28"},
|
||||
{"Estimated Strategy Capacity", "$320000.00"},
|
||||
{"Fitness Score", "0.675"},
|
||||
{"Fitness Score", "0.676"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "1.127"},
|
||||
{"Return Over Maximum Drawdown", "1.246"},
|
||||
{"Portfolio Turnover", "1.64"},
|
||||
{"Sortino Ratio", "1.13"},
|
||||
{"Return Over Maximum Drawdown", "1.251"},
|
||||
{"Portfolio Turnover", "1.639"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -224,7 +224,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "0b6746b5759ecd45ab21360fd40858bb"}
|
||||
{"OrderListHash", "a5b4f8473c39a7e9d62659fa9f6a4e2f"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -160,30 +160,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "5059"},
|
||||
{"Average Win", "0.08%"},
|
||||
{"Average Loss", "-0.08%"},
|
||||
{"Compounding Annual Return", "14.950%"},
|
||||
{"Compounding Annual Return", "14.983%"},
|
||||
{"Drawdown", "10.600%"},
|
||||
{"Expectancy", "0.075"},
|
||||
{"Net Profit", "14.950%"},
|
||||
{"Sharpe Ratio", "1.072"},
|
||||
{"Probabilistic Sharpe Ratio", "50.327%"},
|
||||
{"Loss Rate", "45%"},
|
||||
{"Win Rate", "55%"},
|
||||
{"Net Profit", "14.983%"},
|
||||
{"Sharpe Ratio", "1.075"},
|
||||
{"Probabilistic Sharpe Ratio", "50.443%"},
|
||||
{"Loss Rate", "46%"},
|
||||
{"Win Rate", "54%"},
|
||||
{"Profit-Loss Ratio", "0.97"},
|
||||
{"Alpha", "0.137"},
|
||||
{"Beta", "-0.066"},
|
||||
{"Alpha", "0.138"},
|
||||
{"Beta", "-0.067"},
|
||||
{"Annual Standard Deviation", "0.121"},
|
||||
{"Annual Variance", "0.015"},
|
||||
{"Information Ratio", "0.083"},
|
||||
{"Information Ratio", "0.056"},
|
||||
{"Tracking Error", "0.171"},
|
||||
{"Treynor Ratio", "-1.971"},
|
||||
{"Total Fees", "$6806.67"},
|
||||
{"Treynor Ratio", "-1.948"},
|
||||
{"Total Fees", "$6806.62"},
|
||||
{"Estimated Strategy Capacity", "$320000.00"},
|
||||
{"Fitness Score", "0.694"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "1.265"},
|
||||
{"Return Over Maximum Drawdown", "1.409"},
|
||||
{"Portfolio Turnover", "1.296"},
|
||||
{"Sortino Ratio", "1.268"},
|
||||
{"Return Over Maximum Drawdown", "1.411"},
|
||||
{"Portfolio Turnover", "1.295"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -197,7 +197,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "a7a893a17a5afa7c2f73a444a7aea507"}
|
||||
{"OrderListHash", "5e8e2426162c22b45935db2175c4bbfd"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -106,8 +106,8 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-7.068"},
|
||||
{"Tracking Error", "0.193"},
|
||||
{"Information Ratio", "-7.163"},
|
||||
{"Tracking Error", "0.195"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
|
||||
@@ -114,30 +114,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "5"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-0.02%"},
|
||||
{"Compounding Annual Return", "-72.415%"},
|
||||
{"Drawdown", "2.800%"},
|
||||
{"Compounding Annual Return", "-72.266%"},
|
||||
{"Drawdown", "2.900%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "-1.749%"},
|
||||
{"Sharpe Ratio", "-3.059"},
|
||||
{"Probabilistic Sharpe Ratio", "21.811%"},
|
||||
{"Net Profit", "-1.742%"},
|
||||
{"Sharpe Ratio", "-2.983"},
|
||||
{"Probabilistic Sharpe Ratio", "22.301%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.385"},
|
||||
{"Beta", "-0.146"},
|
||||
{"Annual Standard Deviation", "0.191"},
|
||||
{"Annual Variance", "0.036"},
|
||||
{"Information Ratio", "-6.701"},
|
||||
{"Tracking Error", "0.29"},
|
||||
{"Treynor Ratio", "4.005"},
|
||||
{"Total Fees", "$18.28"},
|
||||
{"Estimated Strategy Capacity", "$500000000.00"},
|
||||
{"Fitness Score", "0.052"},
|
||||
{"Alpha", "-0.388"},
|
||||
{"Beta", "-0.138"},
|
||||
{"Annual Standard Deviation", "0.195"},
|
||||
{"Annual Variance", "0.038"},
|
||||
{"Information Ratio", "-6.727"},
|
||||
{"Tracking Error", "0.294"},
|
||||
{"Treynor Ratio", "4.204"},
|
||||
{"Total Fees", "$19.23"},
|
||||
{"Estimated Strategy Capacity", "$470000000.00"},
|
||||
{"Fitness Score", "0.054"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-4.187"},
|
||||
{"Return Over Maximum Drawdown", "-25.473"},
|
||||
{"Portfolio Turnover", "0.998"},
|
||||
{"Sortino Ratio", "-4.06"},
|
||||
{"Return Over Maximum Drawdown", "-25.225"},
|
||||
{"Portfolio Turnover", "0.999"},
|
||||
{"Total Insights Generated", "1"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -151,7 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "17245c38f1b192d2041ca1f3e88250be"}
|
||||
{"OrderListHash", "39c512346541c1d40c04a514d605b723"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -108,46 +108,46 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "4"},
|
||||
{"Average Win", "0.96%"},
|
||||
{"Average Loss", "-0.95%"},
|
||||
{"Compounding Annual Return", "-44.357%"},
|
||||
{"Drawdown", "1.100%"},
|
||||
{"Expectancy", "0.005"},
|
||||
{"Net Profit", "-0.800%"},
|
||||
{"Sharpe Ratio", "-2.218"},
|
||||
{"Probabilistic Sharpe Ratio", "32.508%"},
|
||||
{"Average Win", "0.94%"},
|
||||
{"Average Loss", "-0.98%"},
|
||||
{"Compounding Annual Return", "-47.257%"},
|
||||
{"Drawdown", "1.200%"},
|
||||
{"Expectancy", "-0.021"},
|
||||
{"Net Profit", "-0.873%"},
|
||||
{"Sharpe Ratio", "-2.308"},
|
||||
{"Probabilistic Sharpe Ratio", "31.792%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "1.01"},
|
||||
{"Alpha", "-0.64"},
|
||||
{"Beta", "0.23"},
|
||||
{"Annual Standard Deviation", "0.147"},
|
||||
{"Annual Variance", "0.022"},
|
||||
{"Information Ratio", "-8.259"},
|
||||
{"Tracking Error", "0.204"},
|
||||
{"Treynor Ratio", "-1.424"},
|
||||
{"Total Fees", "$16.26"},
|
||||
{"Estimated Strategy Capacity", "$590000000.00"},
|
||||
{"Fitness Score", "0.003"},
|
||||
{"Kelly Criterion Estimate", "12.539"},
|
||||
{"Kelly Criterion Probability Value", "0.367"},
|
||||
{"Sortino Ratio", "-22.336"},
|
||||
{"Return Over Maximum Drawdown", "-38.722"},
|
||||
{"Portfolio Turnover", "1.003"},
|
||||
{"Profit-Loss Ratio", "0.96"},
|
||||
{"Alpha", "-0.675"},
|
||||
{"Beta", "0.232"},
|
||||
{"Annual Standard Deviation", "0.152"},
|
||||
{"Annual Variance", "0.023"},
|
||||
{"Information Ratio", "-8.38"},
|
||||
{"Tracking Error", "0.209"},
|
||||
{"Treynor Ratio", "-1.514"},
|
||||
{"Total Fees", "$17.19"},
|
||||
{"Estimated Strategy Capacity", "$560000000.00"},
|
||||
{"Fitness Score", "0.002"},
|
||||
{"Kelly Criterion Estimate", "12.812"},
|
||||
{"Kelly Criterion Probability Value", "0.363"},
|
||||
{"Sortino Ratio", "-29.284"},
|
||||
{"Return Over Maximum Drawdown", "-40.149"},
|
||||
{"Portfolio Turnover", "1.004"},
|
||||
{"Total Insights Generated", "7"},
|
||||
{"Total Insights Closed", "4"},
|
||||
{"Total Insights Analysis Completed", "4"},
|
||||
{"Long Insight Count", "5"},
|
||||
{"Short Insight Count", "2"},
|
||||
{"Long/Short Ratio", "250.0%"},
|
||||
{"Estimated Monthly Alpha Value", "$19016880.2887"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$3275129.3830"},
|
||||
{"Mean Population Estimated Insight Value", "$818782.3458"},
|
||||
{"Estimated Monthly Alpha Value", "$18576432.8867"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$3199274.5527"},
|
||||
{"Mean Population Estimated Insight Value", "$799818.6382"},
|
||||
{"Mean Population Direction", "50%"},
|
||||
{"Mean Population Magnitude", "50%"},
|
||||
{"Rolling Averaged Population Direction", "50%"},
|
||||
{"Rolling Averaged Population Magnitude", "50%"},
|
||||
{"OrderListHash", "4178a84209934b1eb6d03c2267654f32"}
|
||||
{"OrderListHash", "657b9cb12ee7097df61fff5661192ccf"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -140,13 +140,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-13.685"},
|
||||
{"Beta", "6.59"},
|
||||
{"Alpha", "-13.915"},
|
||||
{"Beta", "6.519"},
|
||||
{"Annual Standard Deviation", "1.632"},
|
||||
{"Annual Variance", "2.665"},
|
||||
{"Information Ratio", "-2.023"},
|
||||
{"Tracking Error", "1.441"},
|
||||
{"Treynor Ratio", "-0.15"},
|
||||
{"Information Ratio", "-2.066"},
|
||||
{"Tracking Error", "1.438"},
|
||||
{"Treynor Ratio", "-0.152"},
|
||||
{"Total Fees", "$33.30"},
|
||||
{"Estimated Strategy Capacity", "$17000000.00"},
|
||||
{"Fitness Score", "0.079"},
|
||||
|
||||
@@ -99,8 +99,8 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-8.769"},
|
||||
{"Tracking Error", "0.22"},
|
||||
{"Information Ratio", "-8.91"},
|
||||
{"Tracking Error", "0.223"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$6.41"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
|
||||
@@ -176,13 +176,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "65%"},
|
||||
{"Win Rate", "35%"},
|
||||
{"Profit-Loss Ratio", "1.17"},
|
||||
{"Alpha", "-1.423"},
|
||||
{"Beta", "0.537"},
|
||||
{"Alpha", "-1.43"},
|
||||
{"Beta", "0.528"},
|
||||
{"Annual Standard Deviation", "0.134"},
|
||||
{"Annual Variance", "0.018"},
|
||||
{"Information Ratio", "-16.652"},
|
||||
{"Tracking Error", "0.123"},
|
||||
{"Treynor Ratio", "-1.288"},
|
||||
{"Information Ratio", "-16.594"},
|
||||
{"Tracking Error", "0.126"},
|
||||
{"Treynor Ratio", "-1.311"},
|
||||
{"Total Fees", "$669.76"},
|
||||
{"Estimated Strategy Capacity", "$210000.00"},
|
||||
{"Fitness Score", "0.021"},
|
||||
|
||||
@@ -127,33 +127,33 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
/// </summary>
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "20"},
|
||||
{"Total Trades", "18"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0.00%"},
|
||||
{"Compounding Annual Return", "-74.182%"},
|
||||
{"Drawdown", "2.200%"},
|
||||
{"Compounding Annual Return", "-74.117%"},
|
||||
{"Drawdown", "2.500%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "-1.046%"},
|
||||
{"Net Profit", "-1.044%"},
|
||||
{"Sharpe Ratio", "-8.269"},
|
||||
{"Probabilistic Sharpe Ratio", "0%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.19"},
|
||||
{"Beta", "0.579"},
|
||||
{"Alpha", "-0.187"},
|
||||
{"Beta", "0.584"},
|
||||
{"Annual Standard Deviation", "0.065"},
|
||||
{"Annual Variance", "0.004"},
|
||||
{"Information Ratio", "1.326"},
|
||||
{"Tracking Error", "0.049"},
|
||||
{"Treynor Ratio", "-0.934"},
|
||||
{"Total Fees", "$22.26"},
|
||||
{"Estimated Strategy Capacity", "$360000.00"},
|
||||
{"Information Ratio", "1.354"},
|
||||
{"Tracking Error", "0.048"},
|
||||
{"Treynor Ratio", "-0.926"},
|
||||
{"Total Fees", "$20.45"},
|
||||
{"Estimated Strategy Capacity", "$300000.00"},
|
||||
{"Fitness Score", "0.002"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-11.855"},
|
||||
{"Return Over Maximum Drawdown", "-70.945"},
|
||||
{"Portfolio Turnover", "0.342"},
|
||||
{"Sortino Ratio", "-11.829"},
|
||||
{"Return Over Maximum Drawdown", "-71.014"},
|
||||
{"Portfolio Turnover", "0.341"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -167,7 +167,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "9f381f81ea9939f285b432207fa0d024"}
|
||||
{"OrderListHash", "fbefbed1d94294a14bc563a71b336056"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -105,30 +105,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "4"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "8.332%"},
|
||||
{"Compounding Annual Return", "7.848%"},
|
||||
{"Drawdown", "0.100%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "0.106%"},
|
||||
{"Sharpe Ratio", "7.474"},
|
||||
{"Probabilistic Sharpe Ratio", "85.145%"},
|
||||
{"Net Profit", "0.100%"},
|
||||
{"Sharpe Ratio", "7.449"},
|
||||
{"Probabilistic Sharpe Ratio", "85.066%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.007"},
|
||||
{"Beta", "0.036"},
|
||||
{"Alpha", "0.006"},
|
||||
{"Beta", "0.033"},
|
||||
{"Annual Standard Deviation", "0.007"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-7.03"},
|
||||
{"Tracking Error", "0.186"},
|
||||
{"Treynor Ratio", "1.557"},
|
||||
{"Information Ratio", "-7.131"},
|
||||
{"Tracking Error", "0.189"},
|
||||
{"Treynor Ratio", "1.576"},
|
||||
{"Total Fees", "$4.00"},
|
||||
{"Estimated Strategy Capacity", "$5200000.00"},
|
||||
{"Fitness Score", "0.012"},
|
||||
{"Fitness Score", "0.011"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "38.663"},
|
||||
{"Return Over Maximum Drawdown", "238.773"},
|
||||
{"Portfolio Turnover", "0.012"},
|
||||
{"Sortino Ratio", "38.493"},
|
||||
{"Return Over Maximum Drawdown", "236.57"},
|
||||
{"Portfolio Turnover", "0.011"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -142,7 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "ee79a87e6a386f5ee620d77b7bfbd964"}
|
||||
{"OrderListHash", "65e705bf0e78139c376903d4ff241afc"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -97,13 +97,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "2.211"},
|
||||
{"Beta", "-0.467"},
|
||||
{"Alpha", "2.206"},
|
||||
{"Beta", "-0.473"},
|
||||
{"Annual Standard Deviation", "0.166"},
|
||||
{"Annual Variance", "0.028"},
|
||||
{"Information Ratio", "7.778"},
|
||||
{"Tracking Error", "0.394"},
|
||||
{"Treynor Ratio", "-5.313"},
|
||||
{"Information Ratio", "7.853"},
|
||||
{"Tracking Error", "0.391"},
|
||||
{"Treynor Ratio", "-5.253"},
|
||||
{"Total Fees", "$5.40"},
|
||||
{"Estimated Strategy Capacity", "$230000000.00"},
|
||||
{"Fitness Score", "0.244"},
|
||||
|
||||
@@ -149,8 +149,8 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "5.853"},
|
||||
{"Tracking Error", "0.107"},
|
||||
{"Information Ratio", "5.865"},
|
||||
{"Tracking Error", "0.106"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
|
||||
@@ -153,8 +153,8 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "5.853"},
|
||||
{"Tracking Error", "0.107"},
|
||||
{"Information Ratio", "5.865"},
|
||||
{"Tracking Error", "0.106"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
|
||||
@@ -79,31 +79,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
/// </summary>
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "2"},
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0.00%"},
|
||||
{"Compounding Annual Return", "8.172%"},
|
||||
{"Drawdown", "55.100%"},
|
||||
{"Compounding Annual Return", "8.171%"},
|
||||
{"Drawdown", "55.000%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "125.433%"},
|
||||
{"Sharpe Ratio", "0.468"},
|
||||
{"Probabilistic Sharpe Ratio", "2.573%"},
|
||||
{"Net Profit", "125.419%"},
|
||||
{"Sharpe Ratio", "0.469"},
|
||||
{"Probabilistic Sharpe Ratio", "2.603%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.093"},
|
||||
{"Beta", "-0.099"},
|
||||
{"Annual Standard Deviation", "0.18"},
|
||||
{"Alpha", "0.092"},
|
||||
{"Beta", "-0.091"},
|
||||
{"Annual Standard Deviation", "0.179"},
|
||||
{"Annual Variance", "0.032"},
|
||||
{"Information Ratio", "-0.001"},
|
||||
{"Tracking Error", "0.267"},
|
||||
{"Treynor Ratio", "-0.847"},
|
||||
{"Total Fees", "$41.17"},
|
||||
{"Estimated Strategy Capacity", "$340000000.00"},
|
||||
{"Tracking Error", "0.265"},
|
||||
{"Treynor Ratio", "-0.927"},
|
||||
{"Total Fees", "$44.46"},
|
||||
{"Estimated Strategy Capacity", "$1000000000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "38.884"},
|
||||
{"Kelly Criterion Probability Value", "0.009"},
|
||||
{"Sortino Ratio", "0.501"},
|
||||
{"Kelly Criterion Estimate", "37.332"},
|
||||
{"Kelly Criterion Probability Value", "0.01"},
|
||||
{"Sortino Ratio", "0.505"},
|
||||
{"Return Over Maximum Drawdown", "0.148"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "2604"},
|
||||
@@ -112,14 +112,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "2604"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$1176372.2118"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$148113430.7231"},
|
||||
{"Mean Population Estimated Insight Value", "$56901.0491"},
|
||||
{"Mean Population Direction", "43.2962%"},
|
||||
{"Mean Population Magnitude", "43.2962%"},
|
||||
{"Rolling Averaged Population Direction", "48.763%"},
|
||||
{"Rolling Averaged Population Magnitude", "48.763%"},
|
||||
{"OrderListHash", "0ae9067022a716a31e7bc1cd6dbc3746"}
|
||||
{"Estimated Monthly Alpha Value", "$1128748.4737"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$142117271.3667"},
|
||||
{"Mean Population Estimated Insight Value", "$54597.4919"},
|
||||
{"Mean Population Direction", "43.4499%"},
|
||||
{"Mean Population Magnitude", "43.4499%"},
|
||||
{"Rolling Averaged Population Direction", "48.7105%"},
|
||||
{"Rolling Averaged Population Magnitude", "48.7105%"},
|
||||
{"OrderListHash", "03cc0ad5b1c4b7803b2e9483da1d7543"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -121,30 +121,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "6"},
|
||||
{"Average Win", "2.93%"},
|
||||
{"Average Loss", "-4.15%"},
|
||||
{"Compounding Annual Return", "-6.023%"},
|
||||
{"Compounding Annual Return", "-5.673%"},
|
||||
{"Drawdown", "5.700%"},
|
||||
{"Expectancy", "-0.148"},
|
||||
{"Net Profit", "-2.802%"},
|
||||
{"Sharpe Ratio", "-0.501"},
|
||||
{"Probabilistic Sharpe Ratio", "10.679%"},
|
||||
{"Sharpe Ratio", "-0.49"},
|
||||
{"Probabilistic Sharpe Ratio", "10.317%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "0.70"},
|
||||
{"Alpha", "-0.045"},
|
||||
{"Beta", "-0.001"},
|
||||
{"Annual Standard Deviation", "0.089"},
|
||||
{"Annual Variance", "0.008"},
|
||||
{"Information Ratio", "0.966"},
|
||||
{"Tracking Error", "0.195"},
|
||||
{"Treynor Ratio", "55.977"},
|
||||
{"Alpha", "-0.042"},
|
||||
{"Beta", "-0.012"},
|
||||
{"Annual Standard Deviation", "0.087"},
|
||||
{"Annual Variance", "0.007"},
|
||||
{"Information Ratio", "-0.162"},
|
||||
{"Tracking Error", "0.418"},
|
||||
{"Treynor Ratio", "3.493"},
|
||||
{"Total Fees", "$14.80"},
|
||||
{"Estimated Strategy Capacity", "$15000000.00"},
|
||||
{"Fitness Score", "0.018"},
|
||||
{"Fitness Score", "0.017"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-0.103"},
|
||||
{"Return Over Maximum Drawdown", "-1.063"},
|
||||
{"Portfolio Turnover", "0.045"},
|
||||
{"Sortino Ratio", "-0.097"},
|
||||
{"Return Over Maximum Drawdown", "-1.002"},
|
||||
{"Portfolio Turnover", "0.043"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
|
||||
@@ -205,30 +205,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "1.22%"},
|
||||
{"Average Loss", "-7.42%"},
|
||||
{"Compounding Annual Return", "-13.222%"},
|
||||
{"Compounding Annual Return", "-12.482%"},
|
||||
{"Drawdown", "6.300%"},
|
||||
{"Expectancy", "-0.417"},
|
||||
{"Net Profit", "-6.282%"},
|
||||
{"Sharpe Ratio", "-1.345"},
|
||||
{"Probabilistic Sharpe Ratio", "0.005%"},
|
||||
{"Sharpe Ratio", "-1.316"},
|
||||
{"Probabilistic Sharpe Ratio", "0.004%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "0.17"},
|
||||
{"Alpha", "-0.105"},
|
||||
{"Beta", "-0.003"},
|
||||
{"Annual Standard Deviation", "0.078"},
|
||||
{"Alpha", "-0.1"},
|
||||
{"Beta", "0.004"},
|
||||
{"Annual Standard Deviation", "0.076"},
|
||||
{"Annual Variance", "0.006"},
|
||||
{"Information Ratio", "0.678"},
|
||||
{"Tracking Error", "0.191"},
|
||||
{"Treynor Ratio", "33.18"},
|
||||
{"Information Ratio", "-0.305"},
|
||||
{"Tracking Error", "0.411"},
|
||||
{"Treynor Ratio", "-27.616"},
|
||||
{"Total Fees", "$7.40"},
|
||||
{"Estimated Strategy Capacity", "$9000000.00"},
|
||||
{"Fitness Score", "0.008"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-0.217"},
|
||||
{"Return Over Maximum Drawdown", "-2.105"},
|
||||
{"Portfolio Turnover", "0.024"},
|
||||
{"Sortino Ratio", "-0.205"},
|
||||
{"Return Over Maximum Drawdown", "-1.989"},
|
||||
{"Portfolio Turnover", "0.023"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
|
||||
@@ -163,30 +163,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "27.44%"},
|
||||
{"Average Loss", "-62.81%"},
|
||||
{"Compounding Annual Return", "-80.444%"},
|
||||
{"Compounding Annual Return", "-78.438%"},
|
||||
{"Drawdown", "52.600%"},
|
||||
{"Expectancy", "-0.282"},
|
||||
{"Net Profit", "-52.604%"},
|
||||
{"Sharpe Ratio", "-0.867"},
|
||||
{"Probabilistic Sharpe Ratio", "0.021%"},
|
||||
{"Sharpe Ratio", "-0.862"},
|
||||
{"Probabilistic Sharpe Ratio", "0.019%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "0.44"},
|
||||
{"Alpha", "-0.611"},
|
||||
{"Beta", "-0.033"},
|
||||
{"Annual Standard Deviation", "0.695"},
|
||||
{"Annual Variance", "0.484"},
|
||||
{"Information Ratio", "-0.513"},
|
||||
{"Tracking Error", "0.718"},
|
||||
{"Treynor Ratio", "18.473"},
|
||||
{"Alpha", "-0.586"},
|
||||
{"Beta", "0.031"},
|
||||
{"Annual Standard Deviation", "0.679"},
|
||||
{"Annual Variance", "0.461"},
|
||||
{"Information Ratio", "-0.779"},
|
||||
{"Tracking Error", "0.784"},
|
||||
{"Treynor Ratio", "-18.756"},
|
||||
{"Total Fees", "$66.60"},
|
||||
{"Estimated Strategy Capacity", "$8300000.00"},
|
||||
{"Fitness Score", "0.162"},
|
||||
{"Fitness Score", "0.156"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-0.136"},
|
||||
{"Return Over Maximum Drawdown", "-1.529"},
|
||||
{"Portfolio Turnover", "0.427"},
|
||||
{"Sortino Ratio", "-0.133"},
|
||||
{"Return Over Maximum Drawdown", "-1.491"},
|
||||
{"Portfolio Turnover", "0.408"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
|
||||
@@ -180,29 +180,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "2"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-4.03%"},
|
||||
{"Compounding Annual Return", "-8.595%"},
|
||||
{"Compounding Annual Return", "-8.103%"},
|
||||
{"Drawdown", "4.000%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "-4.029%"},
|
||||
{"Sharpe Ratio", "-1.294"},
|
||||
{"Probabilistic Sharpe Ratio", "0.017%"},
|
||||
{"Sharpe Ratio", "-1.266"},
|
||||
{"Probabilistic Sharpe Ratio", "0.015%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.069"},
|
||||
{"Beta", "-0.002"},
|
||||
{"Annual Standard Deviation", "0.053"},
|
||||
{"Alpha", "-0.065"},
|
||||
{"Beta", "0.002"},
|
||||
{"Annual Standard Deviation", "0.051"},
|
||||
{"Annual Variance", "0.003"},
|
||||
{"Information Ratio", "0.911"},
|
||||
{"Tracking Error", "0.182"},
|
||||
{"Treynor Ratio", "28.46"},
|
||||
{"Information Ratio", "-0.222"},
|
||||
{"Tracking Error", "0.408"},
|
||||
{"Treynor Ratio", "-27.32"},
|
||||
{"Total Fees", "$3.70"},
|
||||
{"Estimated Strategy Capacity", "$5800000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-0.195"},
|
||||
{"Return Over Maximum Drawdown", "-2.134"},
|
||||
{"Sortino Ratio", "-0.184"},
|
||||
{"Return Over Maximum Drawdown", "-2.013"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
|
||||
@@ -206,30 +206,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "4.15%"},
|
||||
{"Average Loss", "-8.27%"},
|
||||
{"Compounding Annual Return", "-9.486%"},
|
||||
{"Compounding Annual Return", "-8.944%"},
|
||||
{"Drawdown", "4.500%"},
|
||||
{"Expectancy", "-0.249"},
|
||||
{"Net Profit", "-4.457%"},
|
||||
{"Sharpe Ratio", "-1.412"},
|
||||
{"Sharpe Ratio", "-1.381"},
|
||||
{"Probabilistic Sharpe Ratio", "0.002%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "0.50"},
|
||||
{"Alpha", "-0.076"},
|
||||
{"Beta", "-0.002"},
|
||||
{"Annual Standard Deviation", "0.053"},
|
||||
{"Alpha", "-0.072"},
|
||||
{"Beta", "0.003"},
|
||||
{"Annual Standard Deviation", "0.052"},
|
||||
{"Annual Variance", "0.003"},
|
||||
{"Information Ratio", "0.871"},
|
||||
{"Tracking Error", "0.183"},
|
||||
{"Treynor Ratio", "37.798"},
|
||||
{"Information Ratio", "-0.239"},
|
||||
{"Tracking Error", "0.408"},
|
||||
{"Treynor Ratio", "-28.523"},
|
||||
{"Total Fees", "$7.40"},
|
||||
{"Estimated Strategy Capacity", "$9900000.00"},
|
||||
{"Fitness Score", "0.008"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-0.238"},
|
||||
{"Return Over Maximum Drawdown", "-2.128"},
|
||||
{"Portfolio Turnover", "0.024"},
|
||||
{"Sortino Ratio", "-0.224"},
|
||||
{"Return Over Maximum Drawdown", "-2.009"},
|
||||
{"Portfolio Turnover", "0.023"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
|
||||
@@ -179,29 +179,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "2"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-5.12%"},
|
||||
{"Compounding Annual Return", "-10.844%"},
|
||||
{"Compounding Annual Return", "-10.230%"},
|
||||
{"Drawdown", "5.100%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "-5.116%"},
|
||||
{"Sharpe Ratio", "-1.28"},
|
||||
{"Probabilistic Sharpe Ratio", "0.017%"},
|
||||
{"Sharpe Ratio", "-1.253"},
|
||||
{"Probabilistic Sharpe Ratio", "0.015%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.086"},
|
||||
{"Beta", "-0.003"},
|
||||
{"Annual Standard Deviation", "0.067"},
|
||||
{"Alpha", "-0.082"},
|
||||
{"Beta", "0.003"},
|
||||
{"Annual Standard Deviation", "0.065"},
|
||||
{"Annual Variance", "0.004"},
|
||||
{"Information Ratio", "0.794"},
|
||||
{"Tracking Error", "0.187"},
|
||||
{"Treynor Ratio", "28.078"},
|
||||
{"Information Ratio", "-0.262"},
|
||||
{"Tracking Error", "0.409"},
|
||||
{"Treynor Ratio", "-27.056"},
|
||||
{"Total Fees", "$3.70"},
|
||||
{"Estimated Strategy Capacity", "$8700000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-0.193"},
|
||||
{"Return Over Maximum Drawdown", "-2.12"},
|
||||
{"Sortino Ratio", "-0.182"},
|
||||
{"Return Over Maximum Drawdown", "-2.002"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
|
||||
@@ -190,30 +190,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "10.05%"},
|
||||
{"Average Loss", "-5.63%"},
|
||||
{"Compounding Annual Return", "8.619%"},
|
||||
{"Compounding Annual Return", "8.083%"},
|
||||
{"Drawdown", "0.500%"},
|
||||
{"Expectancy", "0.393"},
|
||||
{"Net Profit", "3.855%"},
|
||||
{"Sharpe Ratio", "1.212"},
|
||||
{"Probabilistic Sharpe Ratio", "59.039%"},
|
||||
{"Sharpe Ratio", "1.182"},
|
||||
{"Probabilistic Sharpe Ratio", "57.797%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "1.79"},
|
||||
{"Alpha", "0.071"},
|
||||
{"Beta", "0.003"},
|
||||
{"Annual Standard Deviation", "0.058"},
|
||||
{"Alpha", "0.067"},
|
||||
{"Beta", "-0.002"},
|
||||
{"Annual Standard Deviation", "0.057"},
|
||||
{"Annual Variance", "0.003"},
|
||||
{"Information Ratio", "1.663"},
|
||||
{"Tracking Error", "0.183"},
|
||||
{"Treynor Ratio", "22.266"},
|
||||
{"Information Ratio", "0.101"},
|
||||
{"Tracking Error", "0.41"},
|
||||
{"Treynor Ratio", "-27.331"},
|
||||
{"Total Fees", "$7.40"},
|
||||
{"Estimated Strategy Capacity", "$13000000.00"},
|
||||
{"Fitness Score", "0.021"},
|
||||
{"Fitness Score", "0.02"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "18.319"},
|
||||
{"Portfolio Turnover", "0.021"},
|
||||
{"Return Over Maximum Drawdown", "17.201"},
|
||||
{"Portfolio Turnover", "0.02"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
|
||||
@@ -173,29 +173,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "2"},
|
||||
{"Average Win", "1.81%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "3.996%"},
|
||||
{"Compounding Annual Return", "3.752%"},
|
||||
{"Drawdown", "0.000%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.809%"},
|
||||
{"Sharpe Ratio", "1.315"},
|
||||
{"Probabilistic Sharpe Ratio", "66.818%"},
|
||||
{"Sharpe Ratio", "1.283"},
|
||||
{"Probabilistic Sharpe Ratio", "65.521%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.032"},
|
||||
{"Beta", "0.001"},
|
||||
{"Alpha", "0.031"},
|
||||
{"Beta", "-0.001"},
|
||||
{"Annual Standard Deviation", "0.024"},
|
||||
{"Annual Variance", "0.001"},
|
||||
{"Information Ratio", "1.516"},
|
||||
{"Tracking Error", "0.176"},
|
||||
{"Treynor Ratio", "27.339"},
|
||||
{"Information Ratio", "0.013"},
|
||||
{"Tracking Error", "0.406"},
|
||||
{"Treynor Ratio", "-28.184"},
|
||||
{"Total Fees", "$3.70"},
|
||||
{"Estimated Strategy Capacity", "$3200000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "101.571"},
|
||||
{"Return Over Maximum Drawdown", "95.495"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
|
||||
@@ -187,30 +187,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "10.18%"},
|
||||
{"Average Loss", "-8.05%"},
|
||||
{"Compounding Annual Return", "2.902%"},
|
||||
{"Compounding Annual Return", "2.726%"},
|
||||
{"Drawdown", "0.500%"},
|
||||
{"Expectancy", "0.133"},
|
||||
{"Net Profit", "1.318%"},
|
||||
{"Sharpe Ratio", "0.95"},
|
||||
{"Probabilistic Sharpe Ratio", "47.360%"},
|
||||
{"Sharpe Ratio", "0.927"},
|
||||
{"Probabilistic Sharpe Ratio", "46.325%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "1.27"},
|
||||
{"Alpha", "0.024"},
|
||||
{"Beta", "0.002"},
|
||||
{"Annual Standard Deviation", "0.025"},
|
||||
{"Alpha", "0.022"},
|
||||
{"Beta", "-0.001"},
|
||||
{"Annual Standard Deviation", "0.024"},
|
||||
{"Annual Variance", "0.001"},
|
||||
{"Information Ratio", "1.467"},
|
||||
{"Tracking Error", "0.176"},
|
||||
{"Treynor Ratio", "14.729"},
|
||||
{"Information Ratio", "-0.008"},
|
||||
{"Tracking Error", "0.406"},
|
||||
{"Treynor Ratio", "-24.058"},
|
||||
{"Total Fees", "$7.40"},
|
||||
{"Estimated Strategy Capacity", "$14000000.00"},
|
||||
{"Fitness Score", "0.022"},
|
||||
{"Fitness Score", "0.021"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "6.087"},
|
||||
{"Portfolio Turnover", "0.023"},
|
||||
{"Return Over Maximum Drawdown", "5.725"},
|
||||
{"Portfolio Turnover", "0.022"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
|
||||
@@ -172,29 +172,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "2"},
|
||||
{"Average Win", "3.28%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "7.317%"},
|
||||
{"Compounding Annual Return", "6.865%"},
|
||||
{"Drawdown", "0.000%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "3.284%"},
|
||||
{"Sharpe Ratio", "1.343"},
|
||||
{"Probabilistic Sharpe Ratio", "67.503%"},
|
||||
{"Sharpe Ratio", "1.309"},
|
||||
{"Probabilistic Sharpe Ratio", "66.205%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.06"},
|
||||
{"Beta", "0.002"},
|
||||
{"Annual Standard Deviation", "0.044"},
|
||||
{"Alpha", "0.056"},
|
||||
{"Beta", "-0.002"},
|
||||
{"Annual Standard Deviation", "0.043"},
|
||||
{"Annual Variance", "0.002"},
|
||||
{"Information Ratio", "1.636"},
|
||||
{"Tracking Error", "0.179"},
|
||||
{"Treynor Ratio", "28.253"},
|
||||
{"Information Ratio", "0.076"},
|
||||
{"Tracking Error", "0.408"},
|
||||
{"Treynor Ratio", "-28.646"},
|
||||
{"Total Fees", "$3.70"},
|
||||
{"Estimated Strategy Capacity", "$5400000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "160.505"},
|
||||
{"Return Over Maximum Drawdown", "150.763"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
|
||||
@@ -94,13 +94,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "1.545"},
|
||||
{"Beta", "-0.45"},
|
||||
{"Alpha", "1.575"},
|
||||
{"Beta", "-0.437"},
|
||||
{"Annual Standard Deviation", "0.194"},
|
||||
{"Annual Variance", "0.038"},
|
||||
{"Information Ratio", "-19.15"},
|
||||
{"Tracking Error", "0.332"},
|
||||
{"Treynor Ratio", "2.021"},
|
||||
{"Information Ratio", "-19.629"},
|
||||
{"Tracking Error", "0.336"},
|
||||
{"Treynor Ratio", "2.082"},
|
||||
{"Total Fees", "$1.85"},
|
||||
{"Estimated Strategy Capacity", "$93000000.00"},
|
||||
{"Fitness Score", "0.005"},
|
||||
|
||||
@@ -156,30 +156,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "10.15%"},
|
||||
{"Average Loss", "-11.34%"},
|
||||
{"Compounding Annual Return", "-5.054%"},
|
||||
{"Compounding Annual Return", "-2.578%"},
|
||||
{"Drawdown", "2.300%"},
|
||||
{"Expectancy", "-0.053"},
|
||||
{"Net Profit", "-2.345%"},
|
||||
{"Sharpe Ratio", "-1.289"},
|
||||
{"Probabilistic Sharpe Ratio", "0.028%"},
|
||||
{"Sharpe Ratio", "-0.969"},
|
||||
{"Probabilistic Sharpe Ratio", "0.004%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "0.89"},
|
||||
{"Alpha", "-0.031"},
|
||||
{"Beta", "-0.001"},
|
||||
{"Annual Standard Deviation", "0.024"},
|
||||
{"Annual Variance", "0.001"},
|
||||
{"Information Ratio", "1.155"},
|
||||
{"Tracking Error", "0.176"},
|
||||
{"Treynor Ratio", "29.128"},
|
||||
{"Alpha", "-0.018"},
|
||||
{"Beta", "0.001"},
|
||||
{"Annual Standard Deviation", "0.018"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-0.696"},
|
||||
{"Tracking Error", "0.33"},
|
||||
{"Treynor Ratio", "-16.321"},
|
||||
{"Total Fees", "$7.40"},
|
||||
{"Estimated Strategy Capacity", "$71000000.00"},
|
||||
{"Fitness Score", "0.007"},
|
||||
{"Fitness Score", "0.005"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-0.354"},
|
||||
{"Return Over Maximum Drawdown", "-2.155"},
|
||||
{"Portfolio Turnover", "0.024"},
|
||||
{"Sortino Ratio", "-0.181"},
|
||||
{"Return Over Maximum Drawdown", "-1.1"},
|
||||
{"Portfolio Turnover", "0.013"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
|
||||
111
Algorithm.CSharp/FuturesExpiredContractRegression.cs
Normal file
111
Algorithm.CSharp/FuturesExpiredContractRegression.cs
Normal file
@@ -0,0 +1,111 @@
|
||||
/*
|
||||
* 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 System.Linq;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Securities;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// Regression algorithm to test if expired futures contract chains are making their
|
||||
/// way into the timeslices being delivered to OnData()
|
||||
/// </summary>
|
||||
public class FuturesExpiredContractRegression : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
private bool _receivedData;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes the algorithm state.
|
||||
/// </summary>
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(2013, 10, 1);
|
||||
SetEndDate(2013, 12, 23);
|
||||
SetCash(1000000);
|
||||
|
||||
// Subscribe to futures ES
|
||||
var future = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, Market.CME, false);
|
||||
future.SetFilter(TimeSpan.FromDays(0), TimeSpan.FromDays(90));
|
||||
}
|
||||
|
||||
public override void OnData(Slice data)
|
||||
{
|
||||
foreach (var chain in data.FutureChains)
|
||||
{
|
||||
_receivedData = true;
|
||||
|
||||
foreach (var contract in chain.Value.OrderBy(x => x.Expiry))
|
||||
{
|
||||
if (contract.Expiry.Date < Time.Date)
|
||||
{
|
||||
throw new Exception($"Received expired contract {contract} expired: {contract.Expiry} current time: {Time}");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
if (!_receivedData)
|
||||
{
|
||||
throw new Exception("No Futures chains were received in this regression");
|
||||
}
|
||||
}
|
||||
|
||||
/// <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 };
|
||||
|
||||
/// <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", "0"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "0%"},
|
||||
{"Drawdown", "0%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "0%"},
|
||||
{"Sharpe 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", "-3.464"},
|
||||
{"Tracking Error", "0.097"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0"},
|
||||
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
||||
};
|
||||
}
|
||||
}
|
||||
@@ -300,30 +300,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "364.889%"},
|
||||
{"Drawdown", "1.100%"},
|
||||
{"Compounding Annual Return", "363.283%"},
|
||||
{"Drawdown", "1.200%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "1.698%"},
|
||||
{"Sharpe Ratio", "8.904"},
|
||||
{"Probabilistic Sharpe Ratio", "67.623%"},
|
||||
{"Net Profit", "1.694%"},
|
||||
{"Sharpe Ratio", "8.671"},
|
||||
{"Probabilistic Sharpe Ratio", "67.159%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "1.575"},
|
||||
{"Beta", "0.072"},
|
||||
{"Annual Standard Deviation", "0.218"},
|
||||
{"Annual Variance", "0.047"},
|
||||
{"Information Ratio", "-11.876"},
|
||||
{"Tracking Error", "0.264"},
|
||||
{"Treynor Ratio", "26.924"},
|
||||
{"Total Fees", "$3.26"},
|
||||
{"Estimated Strategy Capacity", "$890000000.00"},
|
||||
{"Fitness Score", "0.251"},
|
||||
{"Alpha", "1.614"},
|
||||
{"Beta", "0.062"},
|
||||
{"Annual Standard Deviation", "0.223"},
|
||||
{"Annual Variance", "0.05"},
|
||||
{"Information Ratio", "-11.911"},
|
||||
{"Tracking Error", "0.271"},
|
||||
{"Treynor Ratio", "31.034"},
|
||||
{"Total Fees", "$3.45"},
|
||||
{"Estimated Strategy Capacity", "$840000000.00"},
|
||||
{"Fitness Score", "0.252"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "318.537"},
|
||||
{"Portfolio Turnover", "0.251"},
|
||||
{"Return Over Maximum Drawdown", "308.644"},
|
||||
{"Portfolio Turnover", "0.252"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -337,7 +337,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "82fee25cd17100c53bb173834ab5f0b2"}
|
||||
{"OrderListHash", "33d01821923c397f999cfb2e5b5928ad"}
|
||||
};
|
||||
|
||||
/// <summary>
|
||||
|
||||
@@ -46,7 +46,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
}
|
||||
|
||||
var totalBars = history.Count(slice => slice.Bars.Count > 0 && slice.Bars.ContainsKey(symbol));
|
||||
|
||||
if (totalBars != expectedSliceCount)
|
||||
{
|
||||
throw new Exception($"History bars - expected: {expectedSliceCount}, actual: {totalBars}");
|
||||
@@ -90,8 +89,8 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-7.068"},
|
||||
{"Tracking Error", "0.193"},
|
||||
{"Information Ratio", "-7.163"},
|
||||
{"Tracking Error", "0.195"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
|
||||
@@ -98,13 +98,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.431"},
|
||||
{"Beta", "1.976"},
|
||||
{"Alpha", "0.45"},
|
||||
{"Beta", "2.007"},
|
||||
{"Annual Standard Deviation", "1.118"},
|
||||
{"Annual Variance", "1.25"},
|
||||
{"Information Ratio", "-0.071"},
|
||||
{"Tracking Error", "0.866"},
|
||||
{"Treynor Ratio", "-0.286"},
|
||||
{"Information Ratio", "-0.069"},
|
||||
{"Tracking Error", "0.869"},
|
||||
{"Treynor Ratio", "-0.282"},
|
||||
{"Total Fees", "$5.40"},
|
||||
{"Estimated Strategy Capacity", "$2400000.00"},
|
||||
{"Fitness Score", "0.008"},
|
||||
|
||||
@@ -99,29 +99,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "9"},
|
||||
{"Average Win", "0.11%"},
|
||||
{"Average Loss", "-0.24%"},
|
||||
{"Compounding Annual Return", "28.263%"},
|
||||
{"Compounding Annual Return", "28.386%"},
|
||||
{"Drawdown", "1.200%"},
|
||||
{"Expectancy", "-0.265"},
|
||||
{"Net Profit", "2.113%"},
|
||||
{"Sharpe Ratio", "4.037"},
|
||||
{"Probabilistic Sharpe Ratio", "77.550%"},
|
||||
{"Net Profit", "2.122%"},
|
||||
{"Sharpe Ratio", "4.051"},
|
||||
{"Probabilistic Sharpe Ratio", "77.669%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "0.47"},
|
||||
{"Alpha", "0.018"},
|
||||
{"Beta", "0.477"},
|
||||
{"Alpha", "0.022"},
|
||||
{"Beta", "0.474"},
|
||||
{"Annual Standard Deviation", "0.068"},
|
||||
{"Annual Variance", "0.005"},
|
||||
{"Information Ratio", "-3.604"},
|
||||
{"Tracking Error", "0.073"},
|
||||
{"Treynor Ratio", "0.573"},
|
||||
{"Total Fees", "$14.75"},
|
||||
{"Information Ratio", "-3.517"},
|
||||
{"Tracking Error", "0.074"},
|
||||
{"Treynor Ratio", "0.58"},
|
||||
{"Total Fees", "$14.84"},
|
||||
{"Estimated Strategy Capacity", "$6300000.00"},
|
||||
{"Fitness Score", "0.2"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "9.401"},
|
||||
{"Return Over Maximum Drawdown", "38.513"},
|
||||
{"Sortino Ratio", "9.071"},
|
||||
{"Return Over Maximum Drawdown", "38.369"},
|
||||
{"Portfolio Turnover", "0.203"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -136,7 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "599d18b0751e5efc95116bab44beeb97"}
|
||||
{"OrderListHash", "b6cfdaac811f9f81e70c2846048508af"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -132,13 +132,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "-0.014"},
|
||||
{"Beta", "-0.004"},
|
||||
{"Annual Standard Deviation", "0.004"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-3.525"},
|
||||
{"Tracking Error", "0.004"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "-0.453"},
|
||||
{"Tracking Error", "0.156"},
|
||||
{"Treynor Ratio", "3.397"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -194,13 +194,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "2.674"},
|
||||
{"Beta", "-0.22"},
|
||||
{"Annual Standard Deviation", "0.386"},
|
||||
{"Annual Variance", "0.149"},
|
||||
{"Information Ratio", "6.904"},
|
||||
{"Tracking Error", "0.386"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "6.086"},
|
||||
{"Tracking Error", "0.428"},
|
||||
{"Treynor Ratio", "-12.111"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0.024"},
|
||||
|
||||
@@ -167,13 +167,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "3.219"},
|
||||
{"Beta", "-0.229"},
|
||||
{"Annual Standard Deviation", "0.417"},
|
||||
{"Annual Variance", "0.174"},
|
||||
{"Information Ratio", "7.691"},
|
||||
{"Tracking Error", "0.417"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "6.893"},
|
||||
{"Tracking Error", "0.457"},
|
||||
{"Treynor Ratio", "-14.008"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$46000000.00"},
|
||||
{"Fitness Score", "0.023"},
|
||||
|
||||
@@ -184,13 +184,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Alpha", "-0.001"},
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-5.154"},
|
||||
{"Tracking Error", "0"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "-0.374"},
|
||||
{"Tracking Error", "0.155"},
|
||||
{"Treynor Ratio", "-4.059"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$23000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -199,13 +199,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "-0.765"},
|
||||
{"Beta", "0.207"},
|
||||
{"Annual Standard Deviation", "0.398"},
|
||||
{"Annual Variance", "0.158"},
|
||||
{"Information Ratio", "-1.894"},
|
||||
{"Tracking Error", "0.398"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "-1.952"},
|
||||
{"Tracking Error", "0.415"},
|
||||
{"Treynor Ratio", "-3.636"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0.005"},
|
||||
|
||||
@@ -183,13 +183,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "-0.046"},
|
||||
{"Beta", "0.007"},
|
||||
{"Annual Standard Deviation", "0.013"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-3.622"},
|
||||
{"Tracking Error", "0.013"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "-0.662"},
|
||||
{"Tracking Error", "0.154"},
|
||||
{"Treynor Ratio", "-6.383"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -185,13 +185,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "-0.753"},
|
||||
{"Beta", "0.2"},
|
||||
{"Annual Standard Deviation", "0.385"},
|
||||
{"Annual Variance", "0.148"},
|
||||
{"Information Ratio", "-1.928"},
|
||||
{"Tracking Error", "0.385"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "-1.981"},
|
||||
{"Tracking Error", "0.403"},
|
||||
{"Treynor Ratio", "-3.708"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0.005"},
|
||||
|
||||
@@ -177,13 +177,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Alpha", "0.001"},
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "5.161"},
|
||||
{"Tracking Error", "0"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "-0.358"},
|
||||
{"Tracking Error", "0.155"},
|
||||
{"Treynor Ratio", "-4.064"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$23000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -189,13 +189,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "2.84"},
|
||||
{"Beta", "-0.227"},
|
||||
{"Annual Standard Deviation", "0.398"},
|
||||
{"Annual Variance", "0.159"},
|
||||
{"Information Ratio", "7.1"},
|
||||
{"Tracking Error", "0.398"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "6.298"},
|
||||
{"Tracking Error", "0.44"},
|
||||
{"Treynor Ratio", "-12.457"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0.025"},
|
||||
|
||||
@@ -176,13 +176,13 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Alpha", "0.046"},
|
||||
{"Beta", "-0.008"},
|
||||
{"Annual Standard Deviation", "0.013"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "3.573"},
|
||||
{"Tracking Error", "0.013"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Information Ratio", "-0.074"},
|
||||
{"Tracking Error", "0.157"},
|
||||
{"Treynor Ratio", "-5.727"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Fitness Score", "0"},
|
||||
|
||||
@@ -246,29 +246,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "1"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "19.104%"},
|
||||
{"Compounding Annual Return", "19.058%"},
|
||||
{"Drawdown", "7.300%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "41.858%"},
|
||||
{"Sharpe Ratio", "1.607"},
|
||||
{"Probabilistic Sharpe Ratio", "77.376%"},
|
||||
{"Net Profit", "41.748%"},
|
||||
{"Sharpe Ratio", "1.596"},
|
||||
{"Probabilistic Sharpe Ratio", "76.886%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.171"},
|
||||
{"Beta", "-0.06"},
|
||||
{"Annual Standard Deviation", "0.099"},
|
||||
{"Beta", "-0.064"},
|
||||
{"Annual Standard Deviation", "0.1"},
|
||||
{"Annual Variance", "0.01"},
|
||||
{"Information Ratio", "-0.187"},
|
||||
{"Tracking Error", "0.146"},
|
||||
{"Treynor Ratio", "-2.677"},
|
||||
{"Information Ratio", "-0.186"},
|
||||
{"Tracking Error", "0.147"},
|
||||
{"Treynor Ratio", "-2.51"},
|
||||
{"Total Fees", "$1.00"},
|
||||
{"Estimated Strategy Capacity", "$530000000.00"},
|
||||
{"Estimated Strategy Capacity", "$500000000.00"},
|
||||
{"Fitness Score", "0.001"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "2.305"},
|
||||
{"Return Over Maximum Drawdown", "2.632"},
|
||||
{"Sortino Ratio", "2.283"},
|
||||
{"Return Over Maximum Drawdown", "2.627"},
|
||||
{"Portfolio Turnover", "0.001"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -283,7 +283,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "a5bc3b72fcfb77669eaeccc088bf9807"}
|
||||
{"OrderListHash", "ee33b931de5b59dfa930cbcacdaa2c9b"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -75,31 +75,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "6"},
|
||||
{"Average Win", "0.00%"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0.00%"},
|
||||
{"Compounding Annual Return", "38.059%"},
|
||||
{"Compounding Annual Return", "38.832%"},
|
||||
{"Drawdown", "0.600%"},
|
||||
{"Expectancy", "-0.502"},
|
||||
{"Net Profit", "0.413%"},
|
||||
{"Sharpe Ratio", "5.518"},
|
||||
{"Probabilistic Sharpe Ratio", "66.933%"},
|
||||
{"Loss Rate", "67%"},
|
||||
{"Win Rate", "33%"},
|
||||
{"Profit-Loss Ratio", "0.50"},
|
||||
{"Alpha", "-0.178"},
|
||||
{"Beta", "0.249"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "0.420%"},
|
||||
{"Sharpe Ratio", "5.579"},
|
||||
{"Probabilistic Sharpe Ratio", "67.318%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.184"},
|
||||
{"Beta", "0.248"},
|
||||
{"Annual Standard Deviation", "0.055"},
|
||||
{"Annual Variance", "0.003"},
|
||||
{"Information Ratio", "-9.844"},
|
||||
{"Tracking Error", "0.165"},
|
||||
{"Treynor Ratio", "1.212"},
|
||||
{"Information Ratio", "-10.012"},
|
||||
{"Tracking Error", "0.167"},
|
||||
{"Treynor Ratio", "1.241"},
|
||||
{"Total Fees", "$6.00"},
|
||||
{"Estimated Strategy Capacity", "$42000000.00"},
|
||||
{"Estimated Strategy Capacity", "$33000000.00"},
|
||||
{"Fitness Score", "0.063"},
|
||||
{"Kelly Criterion Estimate", "38.64"},
|
||||
{"Kelly Criterion Probability Value", "0.229"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "70.188"},
|
||||
{"Return Over Maximum Drawdown", "70.89"},
|
||||
{"Portfolio Turnover", "0.063"},
|
||||
{"Total Insights Generated", "100"},
|
||||
{"Total Insights Closed", "99"},
|
||||
@@ -107,14 +107,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$126657.6305"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$20405.9516"},
|
||||
{"Mean Population Estimated Insight Value", "$206.1207"},
|
||||
{"Mean Population Direction", "54.5455%"},
|
||||
{"Mean Population Magnitude", "54.5455%"},
|
||||
{"Rolling Averaged Population Direction", "59.8056%"},
|
||||
{"Rolling Averaged Population Magnitude", "59.8056%"},
|
||||
{"OrderListHash", "07eb3e2c199575b547459a534057eb5e"}
|
||||
{"Estimated Monthly Alpha Value", "$117277.2200"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$18894.6632"},
|
||||
{"Mean Population Estimated Insight Value", "$190.8552"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "21e4704a124ba562d042e1e9962f4316"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -84,30 +84,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
{"Total Trades", "2"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-0.11%"},
|
||||
{"Compounding Annual Return", "235.287%"},
|
||||
{"Average Loss", "-0.12%"},
|
||||
{"Compounding Annual Return", "240.487%"},
|
||||
{"Drawdown", "2.200%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "1.559%"},
|
||||
{"Sharpe Ratio", "8.763"},
|
||||
{"Probabilistic Sharpe Ratio", "67.311%"},
|
||||
{"Net Profit", "1.579%"},
|
||||
{"Sharpe Ratio", "8.903"},
|
||||
{"Probabilistic Sharpe Ratio", "67.609%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.001"},
|
||||
{"Alpha", "-0.002"},
|
||||
{"Beta", "0.999"},
|
||||
{"Annual Standard Deviation", "0.219"},
|
||||
{"Annual Variance", "0.048"},
|
||||
{"Information Ratio", "-13.944"},
|
||||
{"Annual Standard Deviation", "0.222"},
|
||||
{"Annual Variance", "0.049"},
|
||||
{"Information Ratio", "-14.44"},
|
||||
{"Tracking Error", "0"},
|
||||
{"Treynor Ratio", "1.925"},
|
||||
{"Total Fees", "$61.90"},
|
||||
{"Estimated Strategy Capacity", "$5800000.00"},
|
||||
{"Treynor Ratio", "1.981"},
|
||||
{"Total Fees", "$65.43"},
|
||||
{"Estimated Strategy Capacity", "$4800000.00"},
|
||||
{"Fitness Score", "0.979"},
|
||||
{"Kelly Criterion Estimate", "38.64"},
|
||||
{"Kelly Criterion Probability Value", "0.229"},
|
||||
{"Sortino Ratio", "7.47"},
|
||||
{"Return Over Maximum Drawdown", "71.186"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "7.448"},
|
||||
{"Return Over Maximum Drawdown", "70.494"},
|
||||
{"Portfolio Turnover", "4.74"},
|
||||
{"Total Insights Generated", "100"},
|
||||
{"Total Insights Closed", "99"},
|
||||
@@ -115,14 +115,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$126657.6305"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$20405.9516"},
|
||||
{"Mean Population Estimated Insight Value", "$206.1207"},
|
||||
{"Mean Population Direction", "54.5455%"},
|
||||
{"Mean Population Magnitude", "54.5455%"},
|
||||
{"Rolling Averaged Population Direction", "59.8056%"},
|
||||
{"Rolling Averaged Population Magnitude", "59.8056%"},
|
||||
{"OrderListHash", "f3e7f74b397880a3fd4a494409a77012"}
|
||||
{"Estimated Monthly Alpha Value", "$117277.2200"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$18894.6632"},
|
||||
{"Mean Population Estimated Insight Value", "$190.8552"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "5d45f854274d541d6f32c4aa7ed6e11d"}
|
||||
};
|
||||
|
||||
private class TestBrokerageModel : DefaultBrokerageModel
|
||||
|
||||
@@ -82,31 +82,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
{"Total Trades", "34"},
|
||||
{"Average Win", "0.01%"},
|
||||
{"Average Loss", "-0.02%"},
|
||||
{"Compounding Annual Return", "-5.405%"},
|
||||
{"Average Loss", "-0.01%"},
|
||||
{"Compounding Annual Return", "-5.340%"},
|
||||
{"Drawdown", "0.300%"},
|
||||
{"Expectancy", "-0.202"},
|
||||
{"Net Profit", "-0.071%"},
|
||||
{"Sharpe Ratio", "-0.745"},
|
||||
{"Probabilistic Sharpe Ratio", "42.475%"},
|
||||
{"Expectancy", "-0.203"},
|
||||
{"Net Profit", "-0.070%"},
|
||||
{"Sharpe Ratio", "-0.8"},
|
||||
{"Probabilistic Sharpe Ratio", "42.250%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "0.60"},
|
||||
{"Alpha", "-0.223"},
|
||||
{"Beta", "0.107"},
|
||||
{"Annual Standard Deviation", "0.024"},
|
||||
{"Profit-Loss Ratio", "0.59"},
|
||||
{"Alpha", "-0.217"},
|
||||
{"Beta", "0.1"},
|
||||
{"Annual Standard Deviation", "0.023"},
|
||||
{"Annual Variance", "0.001"},
|
||||
{"Information Ratio", "-9.903"},
|
||||
{"Tracking Error", "0.196"},
|
||||
{"Treynor Ratio", "-0.169"},
|
||||
{"Information Ratio", "-9.988"},
|
||||
{"Tracking Error", "0.2"},
|
||||
{"Treynor Ratio", "-0.184"},
|
||||
{"Total Fees", "$34.00"},
|
||||
{"Estimated Strategy Capacity", "$180000000.00"},
|
||||
{"Fitness Score", "0.008"},
|
||||
{"Estimated Strategy Capacity", "$150000000.00"},
|
||||
{"Fitness Score", "0.007"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-2.961"},
|
||||
{"Return Over Maximum Drawdown", "-18.615"},
|
||||
{"Portfolio Turnover", "0.103"},
|
||||
{"Sortino Ratio", "-3.069"},
|
||||
{"Return Over Maximum Drawdown", "-19.139"},
|
||||
{"Portfolio Turnover", "0.097"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -120,7 +120,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "82e1f37f4ff947bc54f0bc56c3e3ab1f"}
|
||||
{"OrderListHash", "d4eaa05433f0ead598911863e61bb230"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -35,10 +35,9 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
// We assert the following occur in FIFO order in OnOrderEvent
|
||||
private readonly Queue<string> _expectedEvents = new Queue<string>(new[]
|
||||
{
|
||||
"Time: 10/10/2013 13:31:00 OrderID: 72 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 152.8807 USD LimitPrice: 152.519 TriggerPrice: 151.769 OrderFee: 1 USD",
|
||||
"Time: 10/10/2013 15:55:00 OrderID: 73 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 153.9225 USD LimitPrice: 153.8898 TriggerPrice: 153.1398 OrderFee: 1 USD",
|
||||
"Time: 10/11/2013 14:02:00 OrderID: 74 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 154.9643 USD LimitPrice: 154.9317 TriggerPrice: 154.1817 OrderFee: 1 USD",
|
||||
});
|
||||
"Time: 10/10/2013 13:31:00 OrderID: 72 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 144.6434 USD LimitPrice: 144.3551 TriggerPrice: 143.6051 OrderFee: 1 USD",
|
||||
"Time: 10/10/2013 15:57:00 OrderID: 73 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 145.6636 USD LimitPrice: 145.6434 TriggerPrice: 144.8934 OrderFee: 1 USD",
|
||||
"Time: 10/11/2013 15:37:00 OrderID: 74 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 146.7185 USD LimitPrice: 146.6723 TriggerPrice: 145.9223 OrderFee: 1 USD" });
|
||||
|
||||
/// <summary>
|
||||
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
||||
@@ -128,11 +127,11 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "3"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "-0.625%"},
|
||||
{"Compounding Annual Return", "-0.601%"},
|
||||
{"Drawdown", "0.000%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "-0.008%"},
|
||||
{"Sharpe Ratio", "-13.588"},
|
||||
{"Sharpe Ratio", "-13.493"},
|
||||
{"Probabilistic Sharpe Ratio", "0%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
@@ -141,16 +140,16 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Beta", "-0.001"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-8.779"},
|
||||
{"Tracking Error", "0.22"},
|
||||
{"Treynor Ratio", "3.431"},
|
||||
{"Information Ratio", "-8.919"},
|
||||
{"Tracking Error", "0.223"},
|
||||
{"Treynor Ratio", "3.402"},
|
||||
{"Total Fees", "$3.00"},
|
||||
{"Estimated Strategy Capacity", "$1900000000.00"},
|
||||
{"Estimated Strategy Capacity", "$3800000000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-15.79"},
|
||||
{"Return Over Maximum Drawdown", "-82.891"},
|
||||
{"Sortino Ratio", "-16.281"},
|
||||
{"Return Over Maximum Drawdown", "-82.895"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -165,7 +164,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "05ae058d8e98b92dcb6fa0612f9a598e"}
|
||||
{"OrderListHash", "359ac5b8cd73a8e42b7897a883f5f73d"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -101,29 +101,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "9"},
|
||||
{"Average Win", "0.99%"},
|
||||
{"Average Loss", "-0.60%"},
|
||||
{"Compounding Annual Return", "211.299%"},
|
||||
{"Compounding Annual Return", "216.678%"},
|
||||
{"Drawdown", "2.300%"},
|
||||
{"Expectancy", "0.319"},
|
||||
{"Net Profit", "1.462%"},
|
||||
{"Sharpe Ratio", "7.178"},
|
||||
{"Probabilistic Sharpe Ratio", "64.689%"},
|
||||
{"Expectancy", "0.318"},
|
||||
{"Net Profit", "1.485%"},
|
||||
{"Sharpe Ratio", "7.299"},
|
||||
{"Probabilistic Sharpe Ratio", "64.957%"},
|
||||
{"Loss Rate", "50%"},
|
||||
{"Win Rate", "50%"},
|
||||
{"Profit-Loss Ratio", "1.64"},
|
||||
{"Alpha", "-0.35"},
|
||||
{"Alpha", "-0.36"},
|
||||
{"Beta", "1.003"},
|
||||
{"Annual Standard Deviation", "0.22"},
|
||||
{"Annual Variance", "0.049"},
|
||||
{"Information Ratio", "-97.49"},
|
||||
{"Annual Standard Deviation", "0.223"},
|
||||
{"Annual Variance", "0.05"},
|
||||
{"Information Ratio", "-100.088"},
|
||||
{"Tracking Error", "0.004"},
|
||||
{"Treynor Ratio", "1.577"},
|
||||
{"Total Fees", "$293.06"},
|
||||
{"Estimated Strategy Capacity", "$14000000.00"},
|
||||
{"Treynor Ratio", "1.624"},
|
||||
{"Total Fees", "$309.75"},
|
||||
{"Estimated Strategy Capacity", "$13000000.00"},
|
||||
{"Fitness Score", "0.999"},
|
||||
{"Kelly Criterion Estimate", "-6.994"},
|
||||
{"Kelly Criterion Estimate", "-6.933"},
|
||||
{"Kelly Criterion Probability Value", "0.593"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "68.908"},
|
||||
{"Return Over Maximum Drawdown", "68.722"},
|
||||
{"Portfolio Turnover", "1.741"},
|
||||
{"Total Insights Generated", "10"},
|
||||
{"Total Insights Closed", "8"},
|
||||
@@ -131,14 +131,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "5"},
|
||||
{"Short Insight Count", "5"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$76052.4902"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$12252.9012"},
|
||||
{"Mean Population Estimated Insight Value", "$1531.6126"},
|
||||
{"Estimated Monthly Alpha Value", "$71700.1986"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$11551.6987"},
|
||||
{"Mean Population Estimated Insight Value", "$1443.9623"},
|
||||
{"Mean Population Direction", "62.5%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "73.0394%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "76b18fa742b9947621467280d3c9d4f5"}
|
||||
{"OrderListHash", "79a973155c0106b60249931daa89c54b"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -99,31 +99,31 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Trades", "84"},
|
||||
{"Average Win", "4.79%"},
|
||||
{"Average Win", "4.78%"},
|
||||
{"Average Loss", "-4.16%"},
|
||||
{"Compounding Annual Return", "2.963%"},
|
||||
{"Drawdown", "34.700%"},
|
||||
{"Compounding Annual Return", "2.951%"},
|
||||
{"Drawdown", "34.900%"},
|
||||
{"Expectancy", "0.228"},
|
||||
{"Net Profit", "37.907%"},
|
||||
{"Net Profit", "37.728%"},
|
||||
{"Sharpe Ratio", "0.274"},
|
||||
{"Probabilistic Sharpe Ratio", "0.399%"},
|
||||
{"Probabilistic Sharpe Ratio", "0.400%"},
|
||||
{"Loss Rate", "43%"},
|
||||
{"Win Rate", "57%"},
|
||||
{"Profit-Loss Ratio", "1.15"},
|
||||
{"Alpha", "0.034"},
|
||||
{"Beta", "-0.04"},
|
||||
{"Annual Standard Deviation", "0.113"},
|
||||
{"Beta", "-0.037"},
|
||||
{"Annual Standard Deviation", "0.112"},
|
||||
{"Annual Variance", "0.013"},
|
||||
{"Information Ratio", "-0.234"},
|
||||
{"Tracking Error", "0.214"},
|
||||
{"Treynor Ratio", "-0.774"},
|
||||
{"Total Fees", "$443.74"},
|
||||
{"Estimated Strategy Capacity", "$750000000.00"},
|
||||
{"Information Ratio", "-0.236"},
|
||||
{"Tracking Error", "0.213"},
|
||||
{"Treynor Ratio", "-0.838"},
|
||||
{"Total Fees", "$468.55"},
|
||||
{"Estimated Strategy Capacity", "$730000000.00"},
|
||||
{"Fitness Score", "0.013"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0.216"},
|
||||
{"Return Over Maximum Drawdown", "0.085"},
|
||||
{"Sortino Ratio", "0.217"},
|
||||
{"Return Over Maximum Drawdown", "0.084"},
|
||||
{"Portfolio Turnover", "0.024"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
@@ -138,7 +138,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "fb94c58a401ed10706ecc3f34883d138"}
|
||||
{"OrderListHash", "6523943a76fb687bef770593d4651ec7"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -118,30 +118,30 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "2"},
|
||||
{"Average Win", "0.39%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "1692.800%"},
|
||||
{"Compounding Annual Return", "1754.167%"},
|
||||
{"Drawdown", "5.500%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "3.759%"},
|
||||
{"Sharpe Ratio", "17.525"},
|
||||
{"Probabilistic Sharpe Ratio", "67.464%"},
|
||||
{"Net Profit", "3.804%"},
|
||||
{"Sharpe Ratio", "18.048"},
|
||||
{"Probabilistic Sharpe Ratio", "67.763%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "3.885"},
|
||||
{"Beta", "2.019"},
|
||||
{"Annual Standard Deviation", "0.444"},
|
||||
{"Annual Variance", "0.197"},
|
||||
{"Information Ratio", "26.114"},
|
||||
{"Tracking Error", "0.224"},
|
||||
{"Treynor Ratio", "3.851"},
|
||||
{"Total Fees", "$26.01"},
|
||||
{"Estimated Strategy Capacity", "$22000000.00"},
|
||||
{"Alpha", "4.105"},
|
||||
{"Beta", "2.018"},
|
||||
{"Annual Standard Deviation", "0.449"},
|
||||
{"Annual Variance", "0.202"},
|
||||
{"Information Ratio", "27.019"},
|
||||
{"Tracking Error", "0.227"},
|
||||
{"Treynor Ratio", "4.017"},
|
||||
{"Total Fees", "$27.50"},
|
||||
{"Estimated Strategy Capacity", "$19000000.00"},
|
||||
{"Fitness Score", "0.999"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "210.297"},
|
||||
{"Portfolio Turnover", "1.981"},
|
||||
{"Return Over Maximum Drawdown", "209.948"},
|
||||
{"Portfolio Turnover", "1.982"},
|
||||
{"Total Insights Generated", "0"},
|
||||
{"Total Insights Closed", "0"},
|
||||
{"Total Insights Analysis Completed", "0"},
|
||||
@@ -155,7 +155,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "1e61db721e349935374853dd883790e6"}
|
||||
{"OrderListHash", "944baeb4b368b53b21d03fc4b2853576"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -88,28 +88,28 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "2"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "7.034%"},
|
||||
{"Drawdown", "40.400%"},
|
||||
{"Compounding Annual Return", "7.045%"},
|
||||
{"Drawdown", "40.300%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "22.645%"},
|
||||
{"Sharpe Ratio", "0.399"},
|
||||
{"Probabilistic Sharpe Ratio", "11.944%"},
|
||||
{"Net Profit", "22.683%"},
|
||||
{"Sharpe Ratio", "0.401"},
|
||||
{"Probabilistic Sharpe Ratio", "12.014%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.076"},
|
||||
{"Beta", "-0.09"},
|
||||
{"Annual Standard Deviation", "0.194"},
|
||||
{"Annual Variance", "0.038"},
|
||||
{"Information Ratio", "0.262"},
|
||||
{"Tracking Error", "0.346"},
|
||||
{"Treynor Ratio", "-0.863"},
|
||||
{"Total Fees", "$13.69"},
|
||||
{"Beta", "-0.082"},
|
||||
{"Annual Standard Deviation", "0.193"},
|
||||
{"Annual Variance", "0.037"},
|
||||
{"Information Ratio", "0.267"},
|
||||
{"Tracking Error", "0.341"},
|
||||
{"Treynor Ratio", "-0.943"},
|
||||
{"Total Fees", "$13.88"},
|
||||
{"Estimated Strategy Capacity", "$13000000.00"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0.448"},
|
||||
{"Sortino Ratio", "0.452"},
|
||||
{"Return Over Maximum Drawdown", "0.174"},
|
||||
{"Portfolio Turnover", "0.001"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -125,7 +125,7 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "645317452c246c0e28bdb7b4c939eb21"}
|
||||
{"OrderListHash", "289f4ef3da8caf0badfde3eca76f882e"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -68,44 +68,44 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "5"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-0.52%"},
|
||||
{"Compounding Annual Return", "246.602%"},
|
||||
{"Compounding Annual Return", "254.328%"},
|
||||
{"Drawdown", "2.300%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Net Profit", "1.602%"},
|
||||
{"Sharpe Ratio", "8.065"},
|
||||
{"Probabilistic Sharpe Ratio", "65.943%"},
|
||||
{"Net Profit", "1.631%"},
|
||||
{"Sharpe Ratio", "8.255"},
|
||||
{"Probabilistic Sharpe Ratio", "66.336%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.157"},
|
||||
{"Beta", "1.015"},
|
||||
{"Annual Standard Deviation", "0.223"},
|
||||
{"Annual Variance", "0.05"},
|
||||
{"Information Ratio", "-27.079"},
|
||||
{"Tracking Error", "0.005"},
|
||||
{"Treynor Ratio", "1.772"},
|
||||
{"Total Fees", "$16.28"},
|
||||
{"Estimated Strategy Capacity", "$14000000.00"},
|
||||
{"Alpha", "-0.148"},
|
||||
{"Beta", "1.013"},
|
||||
{"Annual Standard Deviation", "0.225"},
|
||||
{"Annual Variance", "0.051"},
|
||||
{"Information Ratio", "-28.357"},
|
||||
{"Tracking Error", "0.004"},
|
||||
{"Treynor Ratio", "1.837"},
|
||||
{"Total Fees", "$17.20"},
|
||||
{"Estimated Strategy Capacity", "$12000000.00"},
|
||||
{"Fitness Score", "0.999"},
|
||||
{"Kelly Criterion Estimate", "38.64"},
|
||||
{"Kelly Criterion Probability Value", "0.229"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "78.607"},
|
||||
{"Portfolio Turnover", "1.246"},
|
||||
{"Return Over Maximum Drawdown", "79.679"},
|
||||
{"Portfolio Turnover", "1.245"},
|
||||
{"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", "$126657.6305"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$20405.9516"},
|
||||
{"Mean Population Estimated Insight Value", "$206.1207"},
|
||||
{"Mean Population Direction", "54.5455%"},
|
||||
{"Mean Population Magnitude", "54.5455%"},
|
||||
{"Rolling Averaged Population Direction", "59.8056%"},
|
||||
{"Rolling Averaged Population Magnitude", "59.8056%"},
|
||||
{"OrderListHash", "56fbd2472e29ca1d19e59c323eb6c877"}
|
||||
{"Estimated Monthly Alpha Value", "$117277.2200"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$18894.6632"},
|
||||
{"Mean Population Estimated Insight Value", "$190.8552"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "dd675e7ef91983f4bf0255ea6729975e"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
@@ -86,29 +86,29 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Trades", "14"},
|
||||
{"Average Win", "0.10%"},
|
||||
{"Average Loss", "-0.71%"},
|
||||
{"Compounding Annual Return", "548.214%"},
|
||||
{"Compounding Annual Return", "548.295%"},
|
||||
{"Drawdown", "1.700%"},
|
||||
{"Expectancy", "-0.313"},
|
||||
{"Net Profit", "2.593%"},
|
||||
{"Sharpe Ratio", "14.773"},
|
||||
{"Probabilistic Sharpe Ratio", "75.542%"},
|
||||
{"Net Profit", "2.594%"},
|
||||
{"Sharpe Ratio", "14.864"},
|
||||
{"Probabilistic Sharpe Ratio", "75.670%"},
|
||||
{"Loss Rate", "40%"},
|
||||
{"Win Rate", "60%"},
|
||||
{"Profit-Loss Ratio", "0.15"},
|
||||
{"Alpha", "1.587"},
|
||||
{"Beta", "0.812"},
|
||||
{"Alpha", "1.59"},
|
||||
{"Beta", "0.797"},
|
||||
{"Annual Standard Deviation", "0.182"},
|
||||
{"Annual Variance", "0.033"},
|
||||
{"Information Ratio", "13.284"},
|
||||
{"Tracking Error", "0.1"},
|
||||
{"Treynor Ratio", "3.315"},
|
||||
{"Total Fees", "$27.72"},
|
||||
{"Information Ratio", "12.755"},
|
||||
{"Tracking Error", "0.102"},
|
||||
{"Treynor Ratio", "3.394"},
|
||||
{"Total Fees", "$28.11"},
|
||||
{"Estimated Strategy Capacity", "$25000000.00"},
|
||||
{"Fitness Score", "0.688"},
|
||||
{"Kelly Criterion Estimate", "13.656"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "41.923"},
|
||||
{"Return Over Maximum Drawdown", "466.055"},
|
||||
{"Sortino Ratio", "42.372"},
|
||||
{"Return Over Maximum Drawdown", "466.336"},
|
||||
{"Portfolio Turnover", "0.689"},
|
||||
{"Total Insights Generated", "17"},
|
||||
{"Total Insights Closed", "14"},
|
||||
@@ -116,14 +116,14 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "6"},
|
||||
{"Short Insight Count", "7"},
|
||||
{"Long/Short Ratio", "85.71%"},
|
||||
{"Estimated Monthly Alpha Value", "$72447.6813"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$12477.1007"},
|
||||
{"Mean Population Estimated Insight Value", "$891.2215"},
|
||||
{"Estimated Monthly Alpha Value", "$44645.2887"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$7688.9108"},
|
||||
{"Mean Population Estimated Insight Value", "$549.2079"},
|
||||
{"Mean Population Direction", "50%"},
|
||||
{"Mean Population Magnitude", "50%"},
|
||||
{"Rolling Averaged Population Direction", "12.6429%"},
|
||||
{"Rolling Averaged Population Magnitude", "12.6429%"},
|
||||
{"OrderListHash", "9584528827f0d9ece29c16dcffefbb96"}
|
||||
{"OrderListHash", "fcdbf18bbe455ea8bb882590b8992659"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
Some files were not shown because too many files have changed in this diff Show More
Reference in New Issue
Block a user