Compare commits
1 Commits
| Author | SHA1 | Date | |
|---|---|---|---|
|
d9ea6c0941 |
@@ -106,10 +106,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$199.00"},
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{"Estimated Strategy Capacity", "$26000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.002"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "-22.493"},
|
||||
{"Return Over Maximum Drawdown", "-77.93"},
|
||||
{"Portfolio Turnover", "1.211"},
|
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{"Total Insights Generated", "100"},
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@@ -118,13 +114,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Long Insight Count", "100"},
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{"Short Insight Count", "0"},
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||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$135639.1761"},
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||||
{"Total Accumulated Estimated Alpha Value", "$21852.9784"},
|
||||
{"Mean Population Estimated Insight Value", "$220.7372"},
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||||
{"Mean Population Direction", "53.5354%"},
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{"Mean Population Magnitude", "53.5354%"},
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{"Rolling Averaged Population Direction", "58.2788%"},
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{"Rolling Averaged Population Magnitude", "58.2788%"},
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{"OrderListHash", "3c4c4085810cc5ecdb927d3647b9bbf3"}
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};
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}
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@@ -142,10 +142,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Total Fees", "$14.78"},
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{"Estimated Strategy Capacity", "$47000000.00"},
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{"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
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{"Fitness Score", "0.408"},
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{"Kelly Criterion Estimate", "16.559"},
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{"Kelly Criterion Probability Value", "0.316"},
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{"Sortino Ratio", "12.447"},
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{"Return Over Maximum Drawdown", "106.327"},
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{"Portfolio Turnover", "0.411"},
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{"Total Insights Generated", "3"},
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@@ -154,13 +150,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Long Insight Count", "0"},
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{"Short Insight Count", "3"},
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{"Long/Short Ratio", "0%"},
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{"Estimated Monthly Alpha Value", "$20784418.6104"},
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{"Total Accumulated Estimated Alpha Value", "$3579538.7607"},
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{"Mean Population Estimated Insight Value", "$1193179.5869"},
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{"Mean Population Direction", "100%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "100%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "9da9afe1e9137638a55db1676adc2be1"}
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};
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}
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@@ -119,10 +119,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Fitness Score", "0"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0"},
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{"Total Insights Generated", "0"},
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@@ -131,13 +127,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
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{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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@@ -116,10 +116,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
|
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{"Fitness Score", "0"},
|
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{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0"},
|
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{"Total Insights Generated", "0"},
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@@ -128,13 +124,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
|
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{"Estimated Monthly Alpha Value", "$0"},
|
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{"Total Accumulated Estimated Alpha Value", "$0"},
|
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
|
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{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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@@ -136,10 +136,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Total Fees", "$1.00"},
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{"Estimated Strategy Capacity", "$35000000.00"},
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{"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
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{"Fitness Score", "0.022"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
|
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{"Sortino Ratio", "8.508"},
|
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{"Return Over Maximum Drawdown", "58.894"},
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{"Portfolio Turnover", "0.022"},
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{"Total Insights Generated", "0"},
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@@ -148,13 +144,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "bd88c6a0e10c7e146b05377205101a12"}
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};
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}
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@@ -150,10 +150,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Total Fees", "$8.60"},
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{"Estimated Strategy Capacity", "$5500000.00"},
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{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
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{"Fitness Score", "0.417"},
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{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-81.518"},
|
||||
{"Portfolio Turnover", "0.834"},
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{"Total Insights Generated", "0"},
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@@ -162,13 +158,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Long Insight Count", "0"},
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||||
{"Short Insight Count", "0"},
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||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "802a335b5c355e83b8cd2174f053c1b9"}
|
||||
};
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}
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@@ -198,10 +198,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Total Fees", "$8.60"},
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{"Estimated Strategy Capacity", "$22000000.00"},
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||||
{"Lowest Capacity Asset", "ES XFH59UK0MYO1"},
|
||||
{"Fitness Score", "1"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "2.035"},
|
||||
{"Total Insights Generated", "0"},
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@@ -210,13 +206,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "e7021bd385f366771ae00abd3a46a22e"}
|
||||
};
|
||||
}
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@@ -127,10 +127,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Total Fees", "$35.70"},
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{"Estimated Strategy Capacity", "$2600000.00"},
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||||
{"Lowest Capacity Asset", "ES 31C3JQS9D84PW|ES XCZJLC9NOB29"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
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@@ -139,13 +135,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "64221a660525c4259d5bd852eef1299c"}
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||||
};
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}
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@@ -254,10 +254,6 @@ namespace QuantConnect.Algorithm.CSharp
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{"Total Fees", "$3.57"},
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{"Estimated Strategy Capacity", "$760000.00"},
|
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{"Lowest Capacity Asset", "ES XCZJLDQX2SRO|ES XCZJLC9NOB29"},
|
||||
{"Fitness Score", "0.403"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.403"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -266,13 +262,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "738240babf741f1bf79f85ea5026ec4c"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -151,10 +151,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$67000000.00"},
|
||||
{"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-43.418"},
|
||||
{"Return Over Maximum Drawdown", "-14.274"},
|
||||
{"Portfolio Turnover", "0.007"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -163,13 +159,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "568fe7c2a11960436660db1231f2cfd2"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -203,10 +203,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$2800000.00"},
|
||||
{"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-19.883"},
|
||||
{"Return Over Maximum Drawdown", "-67.224"},
|
||||
{"Portfolio Turnover", "0.014"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -215,13 +211,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "ae0b430e9c728966e3736fb352a689c6"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -150,10 +150,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$30000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL VXBK4Q9ZIFD2|AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-89.181"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -162,13 +158,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "546b6182e1df2d222178454d8f311566"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -122,10 +122,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", ""},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -134,13 +130,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -247,10 +247,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$6.00"},
|
||||
{"Estimated Strategy Capacity", "$2000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV 305RBR0BSWIX2|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -259,13 +255,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "550a99c482106defd8ba15f48183768e"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -117,10 +117,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$21.45"},
|
||||
{"Estimated Strategy Capacity", "$830000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.204"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "43.135"},
|
||||
{"Return Over Maximum Drawdown", "261.238"},
|
||||
{"Portfolio Turnover", "0.204"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -129,13 +125,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "6ee62edf1ac883882b0fcef8cb3e9bae"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -143,10 +143,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$28.30"},
|
||||
{"Estimated Strategy Capacity", "$4700000.00"},
|
||||
{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.374"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "372.086"},
|
||||
{"Portfolio Turnover", "0.374"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -155,13 +151,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "ac3f4dfcdeb98b488b715412ad2d6c4f"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -96,10 +96,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$10.33"},
|
||||
{"Estimated Strategy Capacity", "$38000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.747"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "107.013"},
|
||||
{"Portfolio Turnover", "0.747"},
|
||||
{"Total Insights Generated", "100"},
|
||||
@@ -108,13 +104,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$135639.1761"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$21852.9784"},
|
||||
{"Mean Population Estimated Insight Value", "$220.7372"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "af3a9c98c190d1b6b36fad184e796b0b"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -135,10 +135,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$230000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL VXBK4QQIRLZA|AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -147,13 +143,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "228194dcc6fd8689a67f383577ee2d85"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -115,10 +115,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$23.21"},
|
||||
{"Estimated Strategy Capacity", "$340000000.00"},
|
||||
{"Lowest Capacity Asset", "FB V6OIPNZEM8V9"},
|
||||
{"Fitness Score", "0.147"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "1"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-4.352"},
|
||||
{"Portfolio Turnover", "0.269"},
|
||||
{"Total Insights Generated", "15"},
|
||||
@@ -127,13 +123,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "15"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "a7a0983c8413ff241e7d223438f3d508"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -126,10 +126,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$37.25"},
|
||||
{"Estimated Strategy Capacity", "$520000000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.004"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "1"},
|
||||
{"Sortino Ratio", "-4.469"},
|
||||
{"Return Over Maximum Drawdown", "-13.057"},
|
||||
{"Portfolio Turnover", "0.084"},
|
||||
{"Total Insights Generated", "33"},
|
||||
@@ -138,13 +134,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "33"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "f837879b96f5e565b60fd040299d2123"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -190,10 +190,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$21.60"},
|
||||
{"Estimated Strategy Capacity", "$42000000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -202,13 +198,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "18e41dded4f8cee548ee02b03ffb0814"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -223,10 +223,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$307.50"},
|
||||
{"Estimated Strategy Capacity", "$2600000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0.106"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.106"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -235,13 +231,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "0069f402ffcd2d91b9018b81badfab81"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -102,10 +102,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$83000.00"},
|
||||
{"Lowest Capacity Asset", "BTCUSD XJ"},
|
||||
{"Fitness Score", "0.017"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-138.588"},
|
||||
{"Portfolio Turnover", "0.034"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -114,13 +110,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "2b94bc50a74caebe06c075cdab1bc6da"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -78,10 +78,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "€2.89"},
|
||||
{"Estimated Strategy Capacity", "€8900000000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.506"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.506"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -90,13 +86,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "€0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "€0"},
|
||||
{"Mean Population Estimated Insight Value", "€0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "a9dd0a0ab6070455479d1b9caaa4e69c"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -115,10 +115,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$83000.00"},
|
||||
{"Lowest Capacity Asset", "BTCUSD XJ"},
|
||||
{"Fitness Score", "0.011"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-113.513"},
|
||||
{"Portfolio Turnover", "0.023"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -127,13 +123,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "2b94bc50a74caebe06c075cdab1bc6da"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -129,10 +129,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$3.09"},
|
||||
{"Estimated Strategy Capacity", "$8900000000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.511"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "6113.173"},
|
||||
{"Portfolio Turnover", "0.511"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -141,13 +137,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "788eb2c74715a78476ba0db3b2654eb6"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -110,10 +110,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$52.00"},
|
||||
{"Estimated Strategy Capacity", "$32000000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "1.266"},
|
||||
{"Return Over Maximum Drawdown", "1.622"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -122,13 +118,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "cf43585a8d1781f04b53a4f1ee3380cb"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -180,10 +180,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$23.65"},
|
||||
{"Estimated Strategy Capacity", "$200000000.00"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.518"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-7.708"},
|
||||
{"Portfolio Turnover", "5.277"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -192,13 +188,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "dd38e7b94027d20942a5aa9ac31a9a7f"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -142,10 +142,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$3.44"},
|
||||
{"Estimated Strategy Capacity", "$56000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.248"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "93.728"},
|
||||
{"Portfolio Turnover", "0.248"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -154,13 +150,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "9e4bfd2eb0b81ee5bc1b197a87ccedbe"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -330,10 +330,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0.212"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-73.334"},
|
||||
{"Portfolio Turnover", "0.425"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -342,13 +338,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "85cbf92f01c2c91b5f710b7eeefecbe1"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -102,10 +102,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "€298.35"},
|
||||
{"Estimated Strategy Capacity", "€85000.00"},
|
||||
{"Lowest Capacity Asset", "BTCEUR XJ"},
|
||||
{"Fitness Score", "0.506"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-13.614"},
|
||||
{"Portfolio Turnover", "1.073"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -114,13 +110,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "€0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "€0"},
|
||||
{"Mean Population Estimated Insight Value", "€0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "2ba443899dcccc79dc0f04441f797bf9"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -109,10 +109,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$3.44"},
|
||||
{"Estimated Strategy Capacity", "$56000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.248"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "93.728"},
|
||||
{"Portfolio Turnover", "0.248"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -121,13 +117,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "9e4bfd2eb0b81ee5bc1b197a87ccedbe"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -110,10 +110,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.60"},
|
||||
{"Estimated Strategy Capacity", "$150000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.062"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "71.634"},
|
||||
{"Portfolio Turnover", "0.062"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -122,13 +118,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "d549c64ee7f5e3866712b3c7dbd64caa"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -152,10 +152,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$4.30"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.006"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-1.996"},
|
||||
{"Portfolio Turnover", "0.01"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -164,13 +160,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "1fd4b49e9450800981c6dead2bbca995"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -157,10 +157,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$4.30"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.006"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-1.985"},
|
||||
{"Portfolio Turnover", "0.01"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -169,13 +165,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "adb237703e65b93da5961c0085109732"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -235,10 +235,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$85.34"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "BTCEUR XJ"},
|
||||
{"Fitness Score", "0.5"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-43.943"},
|
||||
{"Portfolio Turnover", "1.028"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -247,13 +243,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "1bf1a6d9dd921982b72a6178f9e50e68"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -267,10 +267,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.65"},
|
||||
{"Estimated Strategy Capacity", "$630000000.00"},
|
||||
{"Lowest Capacity Asset", "ADAUSDT 18R"},
|
||||
{"Fitness Score", "0.001"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.001"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -279,13 +275,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "d4520985f69c915060f6bee3b7926cf5"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -230,10 +230,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.61"},
|
||||
{"Estimated Strategy Capacity", "$520000000.00"},
|
||||
{"Lowest Capacity Asset", "ADAUSDT 18R"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-364.224"},
|
||||
{"Portfolio Turnover", "0.001"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -242,13 +238,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "17f99ecc3f35f94fff1ea5694c40d32c"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -100,10 +100,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$3.45"},
|
||||
{"Estimated Strategy Capacity", "$970000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.112"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "53.951"},
|
||||
{"Return Over Maximum Drawdown", "209.464"},
|
||||
{"Portfolio Turnover", "0.112"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -112,13 +108,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "33d01821923c397f999cfb2e5b5928ad"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -121,10 +121,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$10.32"},
|
||||
{"Estimated Strategy Capacity", "$27000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.747"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "85.095"},
|
||||
{"Portfolio Turnover", "0.747"},
|
||||
{"Total Insights Generated", "100"},
|
||||
@@ -133,13 +129,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$135639.1761"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$21852.9784"},
|
||||
{"Mean Population Estimated Insight Value", "$220.7372"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "ad2216297c759d8e5aef48ff065f8919"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -210,10 +210,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$4.30"},
|
||||
{"Estimated Strategy Capacity", "$5900000000.00"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.002"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "1792.236"},
|
||||
{"Portfolio Turnover", "0.002"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -222,13 +218,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "40e4b91ec89383f6501d9ba324e50eb9"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -185,10 +185,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$6237.00"},
|
||||
{"Estimated Strategy Capacity", "$14000.00"},
|
||||
{"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
|
||||
{"Fitness Score", "0.001"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-58.8"},
|
||||
{"Return Over Maximum Drawdown", "-32.114"},
|
||||
{"Portfolio Turnover", "98.477"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -197,13 +193,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "8f92e1528c6477a156449fd1e86527e7"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -151,10 +151,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$263.30"},
|
||||
{"Estimated Strategy Capacity", "$1000.00"},
|
||||
{"Lowest Capacity Asset", "ES VRJST036ZY0X"},
|
||||
{"Fitness Score", "0.01"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-1.059"},
|
||||
{"Return Over Maximum Drawdown", "-0.992"},
|
||||
{"Portfolio Turnover", "0.031"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -163,13 +159,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "b75b224669c374dcbacc33f946a1cc7c"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -170,10 +170,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$4.62"},
|
||||
{"Estimated Strategy Capacity", "$17000000.00"},
|
||||
{"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
|
||||
{"Fitness Score", "0.006"},
|
||||
{"Kelly Criterion Estimate", "-50.022"},
|
||||
{"Kelly Criterion Probability Value", "0.711"},
|
||||
{"Sortino Ratio", "-10.107"},
|
||||
{"Return Over Maximum Drawdown", "-51.815"},
|
||||
{"Portfolio Turnover", "0.54"},
|
||||
{"Total Insights Generated", "5"},
|
||||
@@ -182,13 +178,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "5"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$-4434.791"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$-720.6535"},
|
||||
{"Mean Population Estimated Insight Value", "$-180.1634"},
|
||||
{"Mean Population Direction", "25%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "25%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "323b899ae80aa839e320806411665ce7"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -70,10 +70,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$4.62"},
|
||||
{"Estimated Strategy Capacity", "$52000000.00"},
|
||||
{"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
|
||||
{"Fitness Score", "0.009"},
|
||||
{"Kelly Criterion Estimate", "-112.972"},
|
||||
{"Kelly Criterion Probability Value", "0.671"},
|
||||
{"Sortino Ratio", "-8.421"},
|
||||
{"Return Over Maximum Drawdown", "-35.2"},
|
||||
{"Portfolio Turnover", "0.548"},
|
||||
{"Total Insights Generated", "6"},
|
||||
@@ -82,13 +78,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "6"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$-96.12923"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$-15.621"},
|
||||
{"Mean Population Estimated Insight Value", "$-3.1242"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "18ffd3a774c68da83d867e3b09e3e05d"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -174,10 +174,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", ""},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -186,13 +182,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -81,10 +81,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", ""},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -93,13 +89,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -70,10 +70,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$1456.18"},
|
||||
{"Estimated Strategy Capacity", "$6000.00"},
|
||||
{"Lowest Capacity Asset", "ES VP274HSU1AF5"},
|
||||
{"Fitness Score", "0.045"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-4.328"},
|
||||
{"Return Over Maximum Drawdown", "-0.995"},
|
||||
{"Portfolio Turnover", "0.205"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -82,13 +78,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "8842e0b890f721371ebf3c25328dee5b"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -185,10 +185,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$19131.42"},
|
||||
{"Estimated Strategy Capacity", "$130000.00"},
|
||||
{"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
|
||||
{"Fitness Score", "0.032"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-9.217"},
|
||||
{"Return Over Maximum Drawdown", "-7.692"},
|
||||
{"Portfolio Turnover", "304.869"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -197,13 +193,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "85cdd035d7c7a3da178d1c2dff31f1bd"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -72,10 +72,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$338.96"},
|
||||
{"Estimated Strategy Capacity", "$1000.00"},
|
||||
{"Lowest Capacity Asset", "ES VRJST036ZY0X"},
|
||||
{"Fitness Score", "0.013"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-1.464"},
|
||||
{"Return Over Maximum Drawdown", "-0.992"},
|
||||
{"Portfolio Turnover", "0.04"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -84,13 +80,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "48bfc4d255420cb589e00cf582554e0a"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -70,10 +70,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$4521.78"},
|
||||
{"Estimated Strategy Capacity", "$2000.00"},
|
||||
{"Lowest Capacity Asset", "ES VP274HSU1AF5"},
|
||||
{"Fitness Score", "0.131"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-6.211"},
|
||||
{"Return Over Maximum Drawdown", "-0.995"},
|
||||
{"Portfolio Turnover", "0.649"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -82,13 +78,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "2402a307b20aee195b77b8478d7ca64d"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -109,10 +109,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$3.44"},
|
||||
{"Estimated Strategy Capacity", "$110000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.247"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "12.105"},
|
||||
{"Return Over Maximum Drawdown", "112.047"},
|
||||
{"Portfolio Turnover", "0.249"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -121,13 +117,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "f409be3a7c63d9c1394c2e6c005a15ee"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -146,10 +146,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$9100000.00"},
|
||||
{"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
|
||||
{"Fitness Score", "0.025"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-3.11"},
|
||||
{"Return Over Maximum Drawdown", "-21.007"},
|
||||
{"Portfolio Turnover", "0.332"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -158,13 +154,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "905811fc779835bf0c514963a20e40f9"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -57,10 +57,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$200000.00"},
|
||||
{"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
|
||||
{"Fitness Score", "0.01"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-6.834"},
|
||||
{"Return Over Maximum Drawdown", "-10.862"},
|
||||
{"Portfolio Turnover", "0.327"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -69,13 +65,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "9e974939d13fd3255c6291a65d2c1eb9"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -72,10 +72,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-206998.942"},
|
||||
{"Return Over Maximum Drawdown", "-5.808"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -84,13 +80,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "0df3713aeb32e9c0738200f2a109e2f9"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -119,10 +119,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "₹6.00"},
|
||||
{"Estimated Strategy Capacity", "₹61000000000.00"},
|
||||
{"Lowest Capacity Asset", "YESBANK UL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-0.247"},
|
||||
{"Return Over Maximum Drawdown", "-1.104"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -131,13 +127,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "₹0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "₹0"},
|
||||
{"Mean Population Estimated Insight Value", "₹0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "6cc69218edd7bd461678b9ee0c575db5"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -143,10 +143,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "₹36.00"},
|
||||
{"Estimated Strategy Capacity", "₹74000.00"},
|
||||
{"Lowest Capacity Asset", "JUNIORBEES UL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-29.6"},
|
||||
{"Return Over Maximum Drawdown", "-123.624"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -155,13 +151,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "₹0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "₹0"},
|
||||
{"Mean Population Estimated Insight Value", "₹0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "4637f26543287548b28a3c296db055d3"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -136,10 +136,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$7.50"},
|
||||
{"Estimated Strategy Capacity", "$84000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -148,13 +144,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "92610619a10e30863020cc84aa30be3b"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -146,10 +146,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$418.00"},
|
||||
{"Estimated Strategy Capacity", "$3000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -158,13 +154,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "7bd09d7b4f8da2b9f594ce077cd6f0ee"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -143,10 +143,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$1300000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -155,13 +151,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "838e313ba57850227ec810ed8fb85a23"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -156,10 +156,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$1.00"},
|
||||
{"Estimated Strategy Capacity", "$18000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-1.496"},
|
||||
{"Return Over Maximum Drawdown", "-11.673"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -168,13 +164,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "0b52bbe98ade8e3aab943e64fcf4abfe"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -134,10 +134,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$1.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0.188"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-73.268"},
|
||||
{"Portfolio Turnover", "0.376"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -146,13 +142,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "0f8537495f5744c02191656d6b3f9205"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -173,10 +173,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$3.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.168"},
|
||||
{"Kelly Criterion Estimate", "0.327"},
|
||||
{"Kelly Criterion Probability Value", "1"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0.224"},
|
||||
{"Total Insights Generated", "28"},
|
||||
@@ -185,13 +181,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "28"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$13.64796"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$1.89555"},
|
||||
{"Mean Population Estimated Insight Value", "$0.07898125"},
|
||||
{"Mean Population Direction", "50%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "50.0482%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "83c9fb13ee32284702779eff8d11c608"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -143,10 +143,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$4.00"},
|
||||
{"Estimated Strategy Capacity", "$1000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL 2ZTXYMUAHCIAU|AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.04"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-118.28"},
|
||||
{"Portfolio Turnover", "0.081"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -155,13 +151,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "81e8a822d43de2165c1d3f52964ec312"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -139,10 +139,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$8400000.00"},
|
||||
{"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"},
|
||||
{"Fitness Score", "0.006"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "496.165"},
|
||||
{"Return Over Maximum Drawdown", "1786.884"},
|
||||
{"Portfolio Turnover", "0.006"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -151,13 +147,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "174bd0a99916d58ca3f12139306940db"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -143,10 +143,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$4100000.00"},
|
||||
{"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"},
|
||||
{"Fitness Score", "0.001"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.001"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -155,13 +151,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "4adb43a8298b9192e0f45d2ef1e5d370"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -75,10 +75,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "₮45.62"},
|
||||
{"Estimated Strategy Capacity", "₮220000.00"},
|
||||
{"Lowest Capacity Asset", "BTCUSDT 18N"},
|
||||
{"Fitness Score", "0.208"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "26.189"},
|
||||
{"Portfolio Turnover", "0.208"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -87,13 +83,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "₮0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "₮0"},
|
||||
{"Mean Population Estimated Insight Value", "₮0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "7417649395922ff3791471b4f3b5c021"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -75,10 +75,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "₮45.62"},
|
||||
{"Estimated Strategy Capacity", "₮12000000.00"},
|
||||
{"Lowest Capacity Asset", "BTCUSDT 18N"},
|
||||
{"Fitness Score", "0.208"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "26.189"},
|
||||
{"Portfolio Turnover", "0.208"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -87,13 +83,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "₮0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "₮0"},
|
||||
{"Mean Population Estimated Insight Value", "₮0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "7417649395922ff3791471b4f3b5c021"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -74,10 +74,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$1.13"},
|
||||
{"Estimated Strategy Capacity", "$2000.00"},
|
||||
{"Lowest Capacity Asset", "BTCUSD E3"},
|
||||
{"Fitness Score", "0.002"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.002"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -86,13 +82,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "7f892f0c42d8826ff770ee602fe207a2"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -74,10 +74,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$1.13"},
|
||||
{"Estimated Strategy Capacity", "$640000.00"},
|
||||
{"Lowest Capacity Asset", "BTCUSD E3"},
|
||||
{"Fitness Score", "0.002"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.002"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -86,13 +82,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "7f892f0c42d8826ff770ee602fe207a2"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -110,10 +110,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$46.20"},
|
||||
{"Estimated Strategy Capacity", "$2300000.00"},
|
||||
{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.645"},
|
||||
{"Kelly Criterion Estimate", "13.787"},
|
||||
{"Kelly Criterion Probability Value", "0.231"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "65.642"},
|
||||
{"Portfolio Turnover", "0.645"},
|
||||
{"Total Insights Generated", "13"},
|
||||
@@ -122,13 +118,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "6"},
|
||||
{"Short Insight Count", "7"},
|
||||
{"Long/Short Ratio", "85.71%"},
|
||||
{"Estimated Monthly Alpha Value", "$52003.0716"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$8956.0846"},
|
||||
{"Mean Population Estimated Insight Value", "$895.6085"},
|
||||
{"Mean Population Direction", "70%"},
|
||||
{"Mean Population Magnitude", "70%"},
|
||||
{"Rolling Averaged Population Direction", "94.5154%"},
|
||||
{"Rolling Averaged Population Magnitude", "94.5154%"},
|
||||
{"OrderListHash", "0945ff7a39bb8f8a07b3dcc817c070aa"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -159,10 +159,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$370000.00"},
|
||||
{"Lowest Capacity Asset", "ETHUSD XJ"},
|
||||
{"Fitness Score", "0.501"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-30.158"},
|
||||
{"Portfolio Turnover", "1.033"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -171,13 +167,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "aea2e321d17414c1f3c6fa2491f10c88"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -107,10 +107,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "€0.00"},
|
||||
{"Estimated Strategy Capacity", "€670000.00"},
|
||||
{"Lowest Capacity Asset", "DE30EUR 8I"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-101.587"},
|
||||
{"Return Over Maximum Drawdown", "-110.633"},
|
||||
{"Portfolio Turnover", "9.513"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -119,13 +115,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "€0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "€0"},
|
||||
{"Mean Population Estimated Insight Value", "€0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "64c098abe3c1e7206424b0c3825b0069"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -148,10 +148,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$129.35"},
|
||||
{"Estimated Strategy Capacity", "$1000000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.062"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "1.023"},
|
||||
{"Return Over Maximum Drawdown", "1.142"},
|
||||
{"Portfolio Turnover", "0.094"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -160,13 +156,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "b2286d2421294408c3a390e614f40ef9"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -193,10 +193,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$49000000.00"},
|
||||
{"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.076"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "27.328"},
|
||||
{"Return Over Maximum Drawdown", "24.002"},
|
||||
{"Portfolio Turnover", "0.076"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -205,13 +201,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "159887a90516df8ba8e8d35b9c30b227"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -154,10 +154,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
/// </summary>
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Fitness Score", "0.12"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.12"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -166,13 +162,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "2a6319d0d474f976e653dd1ebc42caac"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -148,10 +148,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$27.94"},
|
||||
{"Estimated Strategy Capacity", "$200000000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.28"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "3"},
|
||||
{"Return Over Maximum Drawdown", "9.559"},
|
||||
{"Portfolio Turnover", "0.308"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -160,13 +156,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "de456413f89396bd6f920686219ed0a5"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -126,10 +126,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", ""},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -138,13 +134,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -132,10 +132,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$3.08"},
|
||||
{"Estimated Strategy Capacity", "$720000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.141"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "10.385"},
|
||||
{"Return Over Maximum Drawdown", "58.709"},
|
||||
{"Portfolio Turnover", "0.143"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -144,13 +140,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "50145c3c1d58b09f38ec1b77cfe69eae"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -87,10 +87,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$7.50"},
|
||||
{"Estimated Strategy Capacity", "$8000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -99,13 +95,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "c0f4b5d5c796e17949f7ec42c6569ce4"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -154,10 +154,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$17.50"},
|
||||
{"Estimated Strategy Capacity", "$5000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -166,13 +162,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "17a5427a539f2b02a626fda15d6eb13f"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -76,10 +76,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$7.50"},
|
||||
{"Estimated Strategy Capacity", "$9000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -88,13 +84,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "47f02f5139c4c4def9b26e8f5433fdcc"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -350,10 +350,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$15.00"},
|
||||
{"Estimated Strategy Capacity", "$8000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -362,13 +358,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "06328fbd9bbb25d9ec80b9151a7ceb7b"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -191,10 +191,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$1.00"},
|
||||
{"Estimated Strategy Capacity", "$210000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.036"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "72.372"},
|
||||
{"Portfolio Turnover", "0.036"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -203,13 +199,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "cbf413671bbd919d0113b4f2a6a9608f"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -103,10 +103,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$31.70"},
|
||||
{"Estimated Strategy Capacity", "$5900000.00"},
|
||||
{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.501"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "13.543"},
|
||||
{"Return Over Maximum Drawdown", "75.664"},
|
||||
{"Portfolio Turnover", "0.505"},
|
||||
{"Total Insights Generated", "6"},
|
||||
@@ -115,13 +111,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "5"},
|
||||
{"Short Insight Count", "1"},
|
||||
{"Long/Short Ratio", "500%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "f25344c69f9b9476ae5a834616a65c82"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -97,10 +97,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$24.07"},
|
||||
{"Estimated Strategy Capacity", "$23000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.999"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "69.017"},
|
||||
{"Portfolio Turnover", "1.242"},
|
||||
{"Total Insights Generated", "100"},
|
||||
@@ -109,13 +105,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$135639.1761"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$21852.9784"},
|
||||
{"Mean Population Estimated Insight Value", "$220.7372"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "d8d556bcf963ba50f85cea387c55922b"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -110,10 +110,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$17.00"},
|
||||
{"Estimated Strategy Capacity", "$45000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.067"},
|
||||
{"Kelly Criterion Estimate", "38.796"},
|
||||
{"Kelly Criterion Probability Value", "0.228"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "65.855"},
|
||||
{"Portfolio Turnover", "0.067"},
|
||||
{"Total Insights Generated", "100"},
|
||||
@@ -122,13 +118,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "100"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$135639.1761"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$21852.9784"},
|
||||
{"Mean Population Estimated Insight Value", "$220.7372"},
|
||||
{"Mean Population Direction", "53.5354%"},
|
||||
{"Mean Population Magnitude", "53.5354%"},
|
||||
{"Rolling Averaged Population Direction", "58.2788%"},
|
||||
{"Rolling Averaged Population Magnitude", "58.2788%"},
|
||||
{"OrderListHash", "8a8c913e5ad4ea956a345c84430649c2"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -192,10 +192,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$23.65"},
|
||||
{"Estimated Strategy Capacity", "$210000000.00"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.811"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "511.605"},
|
||||
{"Portfolio Turnover", "0.811"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -204,13 +200,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "dd38e7b94027d20942a5aa9ac31a9a7f"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -202,10 +202,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$32.32"},
|
||||
{"Estimated Strategy Capacity", "$95000000.00"},
|
||||
{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.1"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "-36.199"},
|
||||
{"Portfolio Turnover", "0.2"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -214,13 +210,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "3b9c93151bf191a82529e6e915961356"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -168,10 +168,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$4.30"},
|
||||
{"Estimated Strategy Capacity", "$2200000000.00"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.007"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0.275"},
|
||||
{"Return Over Maximum Drawdown", "2.606"},
|
||||
{"Portfolio Turnover", "0.01"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -180,13 +176,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "ebeeac4c57ccacef7b458b6160190f5b"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -184,10 +184,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$6.45"},
|
||||
{"Estimated Strategy Capacity", "$180000000.00"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.01"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0.32"},
|
||||
{"Return Over Maximum Drawdown", "2.576"},
|
||||
{"Portfolio Turnover", "0.016"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -196,13 +192,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "88e74055be58b3759f493b2c47e4c097"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -148,10 +148,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.15"},
|
||||
{"Estimated Strategy Capacity", "$3600000000.00"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.414"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0.414"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -160,13 +156,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "1fcd459f69177160b35f7daf96b01a0d"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -112,10 +112,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$2.15"},
|
||||
{"Estimated Strategy Capacity", "$2600000000.00"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.028"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "-1.666"},
|
||||
{"Return Over Maximum Drawdown", "-18.301"},
|
||||
{"Portfolio Turnover", "0.206"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -124,13 +120,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "f0e1235ff2d29030e374d966b3e225fa"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -203,10 +203,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$6.45"},
|
||||
{"Estimated Strategy Capacity", "$180000000.00"},
|
||||
{"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
|
||||
{"Fitness Score", "0.01"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0.32"},
|
||||
{"Return Over Maximum Drawdown", "2.576"},
|
||||
{"Portfolio Turnover", "0.016"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -215,13 +211,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "88e74055be58b3759f493b2c47e4c097"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -143,10 +143,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", ""},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -155,13 +151,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -158,10 +158,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$796.82"},
|
||||
{"Estimated Strategy Capacity", "$1200000000.00"},
|
||||
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
||||
{"Fitness Score", "0.024"},
|
||||
{"Kelly Criterion Estimate", "-0.9"},
|
||||
{"Kelly Criterion Probability Value", "0.532"},
|
||||
{"Sortino Ratio", "-0.228"},
|
||||
{"Return Over Maximum Drawdown", "-0.058"},
|
||||
{"Portfolio Turnover", "0.05"},
|
||||
{"Total Insights Generated", "85"},
|
||||
@@ -170,13 +166,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "42"},
|
||||
{"Short Insight Count", "43"},
|
||||
{"Long/Short Ratio", "97.67%"},
|
||||
{"Estimated Monthly Alpha Value", "$-719932.6"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$-96427970"},
|
||||
{"Mean Population Estimated Insight Value", "$-1134447"},
|
||||
{"Mean Population Direction", "51.7647%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "48.2217%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "177fb7f308a252864365442a30dd9eeb"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -131,10 +131,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", ""},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -143,13 +139,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -140,10 +140,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$3.00"},
|
||||
{"Estimated Strategy Capacity", "$8000.00"},
|
||||
{"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Return Over Maximum Drawdown", "0"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -152,13 +148,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "addfbee330e5b80a186acf3c2d776982"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -62,10 +62,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.15"},
|
||||
{"Estimated Strategy Capacity", "$3400000000.00"},
|
||||
{"Lowest Capacity Asset", "ADAUSDT 18R"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "1287.681"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -74,13 +70,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "2000bf26738e407192574b27086338a6"}
|
||||
};
|
||||
}
|
||||
|
||||
@@ -161,10 +161,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Total Fees", "$0.15"},
|
||||
{"Estimated Strategy Capacity", "$330000000.00"},
|
||||
{"Lowest Capacity Asset", "ADAUSDT 18R"},
|
||||
{"Fitness Score", "0"},
|
||||
{"Kelly Criterion Estimate", "0"},
|
||||
{"Kelly Criterion Probability Value", "0"},
|
||||
{"Sortino Ratio", "79228162514264337593543950335"},
|
||||
{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
|
||||
{"Portfolio Turnover", "0"},
|
||||
{"Total Insights Generated", "0"},
|
||||
@@ -173,13 +169,6 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Long Insight Count", "0"},
|
||||
{"Short Insight Count", "0"},
|
||||
{"Long/Short Ratio", "100%"},
|
||||
{"Estimated Monthly Alpha Value", "$0"},
|
||||
{"Total Accumulated Estimated Alpha Value", "$0"},
|
||||
{"Mean Population Estimated Insight Value", "$0"},
|
||||
{"Mean Population Direction", "0%"},
|
||||
{"Mean Population Magnitude", "0%"},
|
||||
{"Rolling Averaged Population Direction", "0%"},
|
||||
{"Rolling Averaged Population Magnitude", "0%"},
|
||||
{"OrderListHash", "bc23ede7bb4af4d941723ed225768fcb"}
|
||||
};
|
||||
}
|
||||
|
||||
Some files were not shown because too many files have changed in this diff Show More
Reference in New Issue
Block a user