LEAN Engine

1/*
2 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
3 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4 *
5 * Licensed under the Apache License, Version 2.0 (the "License");
6 * you may not use this file except in compliance with the License.
7 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
8 *
9 * Unless required by applicable law or agreed to in writing, software
10 * distributed under the License is distributed on an "AS IS" BASIS,
11 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12 * See the License for the specific language governing permissions and
13 * limitations under the License.
14*/
15 
16using System.Collections.Generic;
17using QuantConnect.Data;
18using QuantConnect.Interfaces;
19 
20namespace QuantConnect.Algorithm.CSharp
21{
22    /// <summary>
23    /// Basic template algorithm simply initializes the date range and cash. This is a skeleton
24    /// framework you can use for designing an algorithm.
25    /// </summary>
26    /// <meta name="tag" content="using data" />
27    /// <meta name="tag" content="using quantconnect" />
28    /// <meta name="tag" content="trading and orders" />
29    public class BasicTemplateAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
30    {
31        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
32 
33        /// <summary>
34        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
35        /// </summary>
36        public override void Initialize()
37        {
38            SetStartDate(2013, 10, 07);  //Set Start Date
39            SetEndDate(2013, 10, 11);    //Set End Date
40            SetCash(100000);             //Set Strategy Cash
41 
42            // Find more symbols here: http://quantconnect.com/data
43            // Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
44            // Futures Resolution: Tick, Second, Minute
45            // Options Resolution: Minute Only.
46            AddEquity("SPY", Resolution.Minute);
47 
48            // There are other assets with similar methods. See "Selecting Options" etc for more details.
49            // AddFuture, AddForex, AddCfd, AddOption
50        }
51 
52        /// <summary>
53        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
54        /// </summary>
55        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
56        public override void OnData(Slice slice)
57        {
58            if (!Portfolio.Invested)
59            {
60                SetHoldings(_spy, 1);
61                Debug("Purchased Stock");
62            }
63        }
64 
65        /// <summary>
66        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
67        /// </summary>
68        public bool CanRunLocally { get; } = true;
69 
70        /// <summary>
71        /// This is used by the regression test system to indicate which languages this algorithm is written in.
72        /// </summary>
73        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
74 
75        /// <summary>
76        /// Data Points count of all timeslices of algorithm
77        /// </summary>
78        public long DataPoints => 3943;
79 
80        /// <summary>
81        /// Data Points count of the algorithm history
82        /// </summary>
83        public int AlgorithmHistoryDataPoints => 0;
84 
85        /// <summary>
86        /// Final status of the algorithm
87        /// </summary>
88        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
89 
90        /// <summary>
91        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
92        /// </summary>
93        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
94        {
95            {"Total Orders", "1"},
96            {"Average Win", "0%"},
97            {"Average Loss", "0%"},
98            {"Compounding Annual Return", "271.453%"},
99            {"Drawdown", "2.200%"},
100            {"Expectancy", "0"},
101            {"Start Equity", "100000"},
102            {"End Equity", "101691.92"},
103            {"Net Profit", "1.692%"},
104            {"Sharpe Ratio", "8.854"},
105            {"Sortino Ratio", "0"},
106            {"Probabilistic Sharpe Ratio", "67.459%"},
107            {"Loss Rate", "0%"},
108            {"Win Rate", "0%"},
109            {"Profit-Loss Ratio", "0"},
110            {"Alpha", "-0.005"},
111            {"Beta", "0.996"},
112            {"Annual Standard Deviation", "0.222"},
113            {"Annual Variance", "0.049"},
114            {"Information Ratio", "-14.565"},
115            {"Tracking Error", "0.001"},
116            {"Treynor Ratio", "1.97"},
117            {"Total Fees", "$3.44"},
118            {"Estimated Strategy Capacity", "$56000000.00"},
119            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
120            {"Portfolio Turnover", "19.93%"},
121            {"Drawdown Recovery", "3"},
122            {"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
123        };
124    }
125}
126