FreePortfolioValuePercentage Trailing Behavior (QuantConnect#7272)

* Implement Trailing FreePortfolioValue - Implement Trailing FreePortfolioValue by default, users will be able to set it to a fixed number if desired. Adding regression algorithm - Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to 0.1% of the TPV to avoud tiny trades by default * Update existing regression algorithms * Address reviews - Send warning message to the user if a trade does not happen due to the default setting of the minimum order margin percentage value * Address reivews * Rename TotalPortfolioValueLessFreeBuffer * Update new regression algorithm
ebengtso · May 25, 2023 · 410956b · 410956b
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Showing 91 changed files with 957 additions and 877 deletions.
diff --git a/Algorithm.CSharp/AddUniverseSelectionModelAlgorithm.cs b/Algorithm.CSharp/AddUniverseSelectionModelAlgorithm.cs
@@ -93,30 +93,30 @@ public override void OnEndOfAlgorithm()
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "11"},
+            {"Total Trades", "10"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-14.217%"},
+            {"Compounding Annual Return", "-14.233%"},
             {"Drawdown", "3.300%"},
             {"Expectancy", "-1"},
             {"Net Profit", "-0.168%"},
-            {"Sharpe Ratio", "62.513"},
+            {"Sharpe Ratio", "62.499"},
             {"Probabilistic Sharpe Ratio", "0%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "1.118"},
+            {"Alpha", "1.116"},
             {"Beta", "1.19"},
             {"Annual Standard Deviation", "0.213"},
             {"Annual Variance", "0.046"},
-            {"Information Ratio", "70.862"},
+            {"Information Ratio", "70.778"},
             {"Tracking Error", "0.043"},
-            {"Treynor Ratio", "11.209"},
-            {"Total Fees", "$23.21"},
+            {"Treynor Ratio", "11.206"},
+            {"Total Fees", "$22.21"},
             {"Estimated Strategy Capacity", "$340000000.00"},
             {"Lowest Capacity Asset", "FB V6OIPNZEM8V9"},
-            {"Portfolio Turnover", "26.96%"},
-            {"OrderListHash", "a7a0983c8413ff241e7d223438f3d508"}
+            {"Portfolio Turnover", "26.92%"},
+            {"OrderListHash", "a259afcf4ee1c65ce5d26588ab645dbf"}
         };
     }
 }
diff --git a/Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs b/Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs
@@ -104,30 +104,30 @@ public override void OnEndOfAlgorithm()
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "27"},
-            {"Average Win", "0.01%"},
+            {"Total Trades", "21"},
+            {"Average Win", "0.00%"},
             {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-75.320%"},
+            {"Compounding Annual Return", "-75.275%"},
             {"Drawdown", "5.800%"},
-            {"Expectancy", "-0.731"},
-            {"Net Profit", "-5.588%"},
-            {"Sharpe Ratio", "-3.252"},
-            {"Probabilistic Sharpe Ratio", "5.526%"},
-            {"Loss Rate", "86%"},
-            {"Win Rate", "14%"},
-            {"Profit-Loss Ratio", "0.89"},
-            {"Alpha", "-0.499"},
-            {"Beta", "1.483"},
+            {"Expectancy", "-0.609"},
+            {"Net Profit", "-5.581%"},
+            {"Sharpe Ratio", "-3.25"},
+            {"Probabilistic Sharpe Ratio", "5.546%"},
+            {"Loss Rate", "73%"},
+            {"Win Rate", "27%"},
+            {"Profit-Loss Ratio", "0.43"},
+            {"Alpha", "-0.498"},
+            {"Beta", "1.484"},
             {"Annual Standard Deviation", "0.196"},
             {"Annual Variance", "0.039"},
-            {"Information Ratio", "-3.844"},
-            {"Tracking Error", "0.142"},
+            {"Information Ratio", "-3.843"},
+            {"Tracking Error", "0.141"},
             {"Treynor Ratio", "-0.43"},
-            {"Total Fees", "$37.25"},
-            {"Estimated Strategy Capacity", "$520000000.00"},
+            {"Total Fees", "$31.25"},
+            {"Estimated Strategy Capacity", "$550000000.00"},
             {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Portfolio Turnover", "7.34%"},
-            {"OrderListHash", "f837879b96f5e565b60fd040299d2123"}
+            {"Portfolio Turnover", "7.33%"},
+            {"OrderListHash", "6aab808e341ae46946b91ba378073531"}
         };
     }
 }
diff --git a/Algorithm.CSharp/AlphaStreamsWithHoldingsBasicTemplateAlgorithm.cs b/Algorithm.CSharp/AlphaStreamsWithHoldingsBasicTemplateAlgorithm.cs
@@ -61,7 +61,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {
                 var security = Securities["SPY"];
                 var priceInAccountCurrency = Portfolio.CashBook.ConvertToAccountCurrency(security.AskPrice, security.QuoteCurrency.Symbol);
-                _expectedSpyQuantity = (Portfolio.TotalPortfolioValue - Settings.FreePortfolioValue) / priceInAccountCurrency;
+                _expectedSpyQuantity = Portfolio.TotalPortfolioValueLessFreeBuffer / priceInAccountCurrency;
                 _expectedSpyQuantity = _expectedSpyQuantity.DiscretelyRoundBy(1, MidpointRounding.ToZero);
             }
 

diff --git a/Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs b/Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs
@@ -88,30 +88,30 @@ public IEnumerable<Symbol> CoarseSelector(IEnumerable<CoarseFundamental> coarse)
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "20"},
+            {"Total Trades", "14"},
             {"Average Win", "0%"},
-            {"Average Loss", "-0.13%"},
-            {"Compounding Annual Return", "62.435%"},
+            {"Average Loss", "-0.23%"},
+            {"Compounding Annual Return", "63.336%"},
             {"Drawdown", "1.100%"},
             {"Expectancy", "-1"},
-            {"Net Profit", "0.667%"},
-            {"Sharpe Ratio", "3.993"},
-            {"Probabilistic Sharpe Ratio", "58.777%"},
+            {"Net Profit", "0.674%"},
+            {"Sharpe Ratio", "4.042"},
+            {"Probabilistic Sharpe Ratio", "58.892%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.598"},
-            {"Beta", "0.569"},
+            {"Alpha", "-0.592"},
+            {"Beta", "0.57"},
             {"Annual Standard Deviation", "0.133"},
             {"Annual Variance", "0.018"},
-            {"Information Ratio", "-13.973"},
+            {"Information Ratio", "-13.918"},
             {"Tracking Error", "0.104"},
-            {"Treynor Ratio", "0.932"},
-            {"Total Fees", "$46.20"},
-            {"Estimated Strategy Capacity", "$2300000.00"},
+            {"Treynor Ratio", "0.943"},
+            {"Total Fees", "$40.20"},
+            {"Estimated Strategy Capacity", "$4400000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "64.52%"},
-            {"OrderListHash", "0945ff7a39bb8f8a07b3dcc817c070aa"}
+            {"Portfolio Turnover", "64.47%"},
+            {"OrderListHash", "7e43a08e470a1709c7f7066d6ed1d445"}
         };
     }
 }
diff --git a/Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs b/Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs
@@ -129,27 +129,27 @@ public void HandleRenko7Bar(RenkoBar data)
             {"Total Trades", "29"},
             {"Average Win", "1.85%"},
             {"Average Loss", "-1.49%"},
-            {"Compounding Annual Return", "7.819%"},
+            {"Compounding Annual Return", "7.817%"},
             {"Drawdown", "6.800%"},
             {"Expectancy", "0.281"},
-            {"Net Profit", "7.841%"},
+            {"Net Profit", "7.839%"},
             {"Sharpe Ratio", "0.799"},
-            {"Probabilistic Sharpe Ratio", "39.344%"},
+            {"Probabilistic Sharpe Ratio", "39.336%"},
             {"Loss Rate", "43%"},
             {"Win Rate", "57%"},
             {"Profit-Loss Ratio", "1.24"},
             {"Alpha", "0.009"},
             {"Beta", "0.411"},
             {"Annual Standard Deviation", "0.07"},
             {"Annual Variance", "0.005"},
-            {"Information Ratio", "-0.703"},
+            {"Information Ratio", "-0.704"},
             {"Tracking Error", "0.083"},
             {"Treynor Ratio", "0.136"},
-            {"Total Fees", "$129.35"},
+            {"Total Fees", "$129.34"},
             {"Estimated Strategy Capacity", "$1000000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
             {"Portfolio Turnover", "7.91%"},
-            {"OrderListHash", "b2286d2421294408c3a390e614f40ef9"}
+            {"OrderListHash", "cabe86df8bdef1204139d41baff20050"}
         };
     }
 }
diff --git a/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs b/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs
@@ -160,30 +160,30 @@ public override void OnData(Slice slice)
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "4"},
-            {"Average Win", "0.00%"},
-            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "13.695%"},
+            {"Total Trades", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "14.180%"},
             {"Drawdown", "0.200%"},
-            {"Expectancy", "-0.463"},
-            {"Net Profit", "0.164%"},
-            {"Sharpe Ratio", "5.073"},
-            {"Probabilistic Sharpe Ratio", "67.051%"},
-            {"Loss Rate", "50%"},
-            {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.07"},
-            {"Alpha", "-0.084"},
-            {"Beta", "0.098"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0.170%"},
+            {"Sharpe Ratio", "5.221"},
+            {"Probabilistic Sharpe Ratio", "67.725%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.081"},
+            {"Beta", "0.099"},
             {"Annual Standard Deviation", "0.022"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-9.329"},
+            {"Information Ratio", "-9.315"},
             {"Tracking Error", "0.201"},
-            {"Treynor Ratio", "1.129"},
-            {"Total Fees", "$4.00"},
-            {"Estimated Strategy Capacity", "$71000000.00"},
+            {"Treynor Ratio", "1.162"},
+            {"Total Fees", "$2.00"},
+            {"Estimated Strategy Capacity", "$260000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Portfolio Turnover", "2.06%"},
-            {"OrderListHash", "dc329f765a22f1fa98d5e87c53c11ef2"}
+            {"Portfolio Turnover", "2.00%"},
+            {"OrderListHash", "4d030e24bdb0fdbf6dc2c2b22c763688"}
         };
     }
 }
diff --git a/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs b/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs
@@ -170,30 +170,30 @@ public override void OnData(Slice slice)
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "4"},
-            {"Average Win", "0.00%"},
-            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "13.695%"},
+            {"Total Trades", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "14.180%"},
             {"Drawdown", "0.200%"},
-            {"Expectancy", "-0.463"},
-            {"Net Profit", "0.164%"},
-            {"Sharpe Ratio", "5.073"},
-            {"Probabilistic Sharpe Ratio", "67.051%"},
-            {"Loss Rate", "50%"},
-            {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "0.07"},
-            {"Alpha", "-0.084"},
-            {"Beta", "0.098"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0.170%"},
+            {"Sharpe Ratio", "5.221"},
+            {"Probabilistic Sharpe Ratio", "67.725%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.081"},
+            {"Beta", "0.099"},
             {"Annual Standard Deviation", "0.022"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-9.329"},
+            {"Information Ratio", "-9.315"},
             {"Tracking Error", "0.201"},
-            {"Treynor Ratio", "1.129"},
-            {"Total Fees", "$4.00"},
-            {"Estimated Strategy Capacity", "$71000000.00"},
+            {"Treynor Ratio", "1.162"},
+            {"Total Fees", "$2.00"},
+            {"Estimated Strategy Capacity", "$260000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Portfolio Turnover", "2.06%"},
-            {"OrderListHash", "dc329f765a22f1fa98d5e87c53c11ef2"}
+            {"Portfolio Turnover", "2.00%"},
+            {"OrderListHash", "4d030e24bdb0fdbf6dc2c2b22c763688"}
         };
     }
 }
diff --git a/Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs b/Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs
@@ -81,30 +81,30 @@ public override void Initialize()
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "18"},
+            {"Total Trades", "14"},
             {"Average Win", "0.00%"},
-            {"Average Loss", "-0.17%"},
-            {"Compounding Annual Return", "-37.004%"},
+            {"Average Loss", "-0.23%"},
+            {"Compounding Annual Return", "-36.885%"},
             {"Drawdown", "1.800%"},
-            {"Expectancy", "-0.629"},
-            {"Net Profit", "-0.589%"},
-            {"Sharpe Ratio", "-2.41"},
-            {"Probabilistic Sharpe Ratio", "34.293%"},
-            {"Loss Rate", "64%"},
-            {"Win Rate", "36%"},
-            {"Profit-Loss Ratio", "0.02"},
-            {"Alpha", "-0.886"},
-            {"Beta", "0.35"},
+            {"Expectancy", "-0.549"},
+            {"Net Profit", "-0.587%"},
+            {"Sharpe Ratio", "-2.4"},
+            {"Probabilistic Sharpe Ratio", "34.321%"},
+            {"Loss Rate", "56%"},
+            {"Win Rate", "44%"},
+            {"Profit-Loss Ratio", "0.01"},
+            {"Alpha", "-0.883"},
+            {"Beta", "0.349"},
             {"Annual Standard Deviation", "0.08"},
             {"Annual Variance", "0.006"},
-            {"Information Ratio", "-14.935"},
+            {"Information Ratio", "-14.897"},
             {"Tracking Error", "0.146"},
-            {"Treynor Ratio", "-0.549"},
-            {"Total Fees", "$41.79"},
+            {"Treynor Ratio", "-0.547"},
+            {"Total Fees", "$37.79"},
             {"Estimated Strategy Capacity", "$4700000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "60.76%"},
-            {"OrderListHash", "c6d413585d8aa6ac8831563aa71653d5"}
+            {"Portfolio Turnover", "60.65%"},
+            {"OrderListHash", "eb7a9a4b0da87f71750a24c8913be714"}
         };
     }
 }
diff --git a/Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs b/Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs
@@ -88,30 +88,30 @@ public override void OnEndOfAlgorithm()
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "17"},
-            {"Average Win", "0%"},
+            {"Total Trades", "4"},
+            {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "37.229%"},
+            {"Compounding Annual Return", "39.071%"},
             {"Drawdown", "0.600%"},
-            {"Expectancy", "-1"},
-            {"Net Profit", "0.405%"},
-            {"Sharpe Ratio", "5.424"},
-            {"Probabilistic Sharpe Ratio", "66.818%"},
-            {"Loss Rate", "100%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.191"},
-            {"Beta", "0.247"},
+            {"Expectancy", "-0.028"},
+            {"Net Profit", "0.423%"},
+            {"Sharpe Ratio", "5.617"},
+            {"Probabilistic Sharpe Ratio", "67.478%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "0.94"},
+            {"Alpha", "-0.182"},
+            {"Beta", "0.248"},
             {"Annual Standard Deviation", "0.055"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "-10.052"},
-            {"Tracking Error", "0.168"},
-            {"Treynor Ratio", "1.207"},
-            {"Total Fees", "$17.00"},
+            {"Information Ratio", "-9.998"},
+            {"Tracking Error", "0.167"},
+            {"Treynor Ratio", "1.25"},
+            {"Total Fees", "$4.00"},
             {"Estimated Strategy Capacity", "$45000000.00"},
             {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Portfolio Turnover", "5.44%"},
-            {"OrderListHash", "8a8c913e5ad4ea956a345c84430649c2"}
+            {"Portfolio Turnover", "5.15%"},
+            {"OrderListHash", "3e4a86ba835b56bb863eb355789ab6f4"}
         };
     }
 }