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Merge pull request QuantConnect#3787 from QuantConnect/bug-3784-algor…
…ithm-leverage-precedence Adding Security.NullLeverage
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Algorithm.CSharp/LeveragePrecedenceRegressionAlgorithm.cs
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| /* | ||
| * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. | ||
| * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. | ||
| * | ||
| * Licensed under the Apache License, Version 2.0 (the "License"); | ||
| * you may not use this file except in compliance with the License. | ||
| * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 | ||
| * | ||
| * Unless required by applicable law or agreed to in writing, software | ||
| * distributed under the License is distributed on an "AS IS" BASIS, | ||
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| * See the License for the specific language governing permissions and | ||
| * limitations under the License. | ||
| */ | ||
|
|
||
| using System; | ||
| using System.Collections.Generic; | ||
| using QuantConnect.Algorithm.Framework.Alphas; | ||
| using QuantConnect.Algorithm.Framework.Portfolio; | ||
| using QuantConnect.Algorithm.Framework.Selection; | ||
| using QuantConnect.Brokerages; | ||
| using QuantConnect.Data; | ||
| using QuantConnect.Interfaces; | ||
| using QuantConnect.Securities; | ||
|
|
||
| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| /// <summary> | ||
| /// Regression algorithm which reproduce GH issue 3784, where *default* <see cref="IAlgorithm.UniverseSettings"/> | ||
| /// Leverage value took precedence over <see cref="IAlgorithm.BrokerageModel"/> | ||
| /// </summary> | ||
| public class LeveragePrecedenceRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition | ||
| { | ||
| private Symbol _spy; | ||
|
|
||
| /// <summary> | ||
| /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. | ||
| /// </summary> | ||
| public override void Initialize() | ||
| { | ||
| SetStartDate(2013, 10, 07); | ||
| SetEndDate(2013, 10, 11); | ||
|
|
||
| SetBrokerageModel(new TestBrokerageModel()); | ||
|
|
||
| _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA); | ||
| SetUniverseSelection(new ManualUniverseSelectionModel(_spy)); | ||
| SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null)); | ||
| SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel()); | ||
| } | ||
|
|
||
| /// <summary> | ||
| /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. | ||
| /// </summary> | ||
| /// <param name="data">Slice object keyed by symbol containing the stock data</param> | ||
| public override void OnData(Slice data) | ||
| { | ||
| if (!Portfolio.Invested) | ||
| { | ||
| SetHoldings(_spy, 10); | ||
| Debug("Purchased Stock"); | ||
| } | ||
|
|
||
| if (Securities[_spy].Leverage != 10) | ||
| { | ||
| throw new Exception($"Expecting leverage to be 10, was {Securities[_spy].Leverage}"); | ||
| } | ||
| } | ||
|
|
||
| /// <summary> | ||
| /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm. | ||
| /// </summary> | ||
| public bool CanRunLocally { get; } = true; | ||
|
|
||
| /// <summary> | ||
| /// This is used by the regression test system to indicate which languages this algorithm is written in. | ||
| /// </summary> | ||
| public Language[] Languages { get; } = { Language.CSharp }; | ||
|
|
||
| /// <summary> | ||
| /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm | ||
| /// </summary> | ||
| public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string> | ||
| { | ||
| {"Total Trades", "2"}, | ||
| {"Average Win", "0%"}, | ||
| {"Average Loss", "-0.06%"}, | ||
| {"Compounding Annual Return", "220.077%"}, | ||
| {"Drawdown", "2.200%"}, | ||
| {"Expectancy", "-1"}, | ||
| {"Net Profit", "1.606%"}, | ||
| {"Sharpe Ratio", "3.923"}, | ||
| {"Probabilistic Sharpe Ratio", "67.651%"}, | ||
| {"Loss Rate", "100%"}, | ||
| {"Win Rate", "0%"}, | ||
| {"Profit-Loss Ratio", "0"}, | ||
| {"Alpha", "0.572"}, | ||
| {"Beta", "0.311"}, | ||
| {"Annual Standard Deviation", "0.174"}, | ||
| {"Annual Variance", "0.03"}, | ||
| {"Information Ratio", "1.559"}, | ||
| {"Tracking Error", "0.209"}, | ||
| {"Treynor Ratio", "2.199"}, | ||
| {"Total Fees", "$61.90"} | ||
| }; | ||
|
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||
| private class TestBrokerageModel : DefaultBrokerageModel | ||
| { | ||
| public override decimal GetLeverage(Security security) | ||
| { | ||
| return 10; | ||
| } | ||
| } | ||
| } | ||
| } |
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