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| jobs: | ||
| build: | ||
| runs-on: ubuntu-20.04 | ||
| runs-on: ubuntu-24.04 | ||
| steps: | ||
| - uses: actions/checkout@v2 | ||
| with: | ||
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Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.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. | ||
| */ | ||
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| using System; | ||
| using System.Collections.Generic; | ||
| using QuantConnect.Data; | ||
| using QuantConnect.Indicators; | ||
| using QuantConnect.Interfaces; | ||
| using QuantConnect.Orders; | ||
| using QuantConnect.Brokerages; | ||
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| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| /// <summary> | ||
| /// Regression test to explain how Beta indicator works | ||
| /// </summary> | ||
| public class AddBetaIndicatorNewAssetsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition | ||
| { | ||
| private Beta _beta; | ||
| private SimpleMovingAverage _sma; | ||
| private decimal _lastSMAValue; | ||
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| public override void Initialize() | ||
| { | ||
| SetStartDate(2015, 05, 08); | ||
| SetEndDate(2017, 06, 15); | ||
| SetCash(10000); | ||
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| AddCrypto("BTCUSD", Resolution.Daily); | ||
| AddEquity("SPY", Resolution.Daily); | ||
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| EnableAutomaticIndicatorWarmUp = true; | ||
| _beta = B("BTCUSD", "SPY", 3, Resolution.Daily); | ||
| _sma = SMA("SPY", 3, Resolution.Daily); | ||
| _lastSMAValue = 0; | ||
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| if (!_beta.IsReady) | ||
| { | ||
| throw new RegressionTestException("Beta indicator was expected to be ready"); | ||
| } | ||
| } | ||
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| public override void OnData(Slice slice) | ||
| { | ||
| var price = Securities["BTCUSD"].Price; | ||
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| if (!Portfolio.Invested) | ||
| { | ||
| var quantityToBuy = (int)(Portfolio.Cash * 0.05m / price); | ||
| Buy("BTCUSD", quantityToBuy); | ||
| } | ||
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| if (Math.Abs(_beta.Current.Value) > 2) | ||
| { | ||
| Liquidate("BTCUSD"); | ||
| Log("Liquidated BTCUSD due to high Beta"); | ||
| } | ||
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| Log($"Beta between BTCUSD and SPY is: {_beta.Current.Value}"); | ||
| } | ||
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| public override void OnOrderEvent(OrderEvent orderEvent) | ||
| { | ||
| var order = Transactions.GetOrderById(orderEvent.OrderId); | ||
| var goUpwards = _lastSMAValue < _sma.Current.Value; | ||
| _lastSMAValue = _sma.Current.Value; | ||
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| if (order.Status == OrderStatus.Filled) | ||
| { | ||
| if (order.Type == OrderType.Limit && Math.Abs(_beta.Current.Value - 1) < 0.2m && goUpwards) | ||
| { | ||
| Transactions.CancelOpenOrders(order.Symbol); | ||
| } | ||
| } | ||
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| if (order.Status == OrderStatus.Canceled) | ||
| { | ||
| Log(orderEvent.ToString()); | ||
| } | ||
| } | ||
|
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| public bool CanRunLocally { get; } = true; | ||
|
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| /// <summary> | ||
| /// This is used by the regression test system to indicate which languages this algorithm is written in. | ||
| /// </summary> | ||
| public virtual List<Language> Languages { get; } = new() { Language.CSharp }; | ||
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| /// <summary> | ||
| /// Data Points count of all timeslices of algorithm | ||
| /// </summary> | ||
| public long DataPoints => 5798; | ||
|
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| /// <summary> | ||
| /// Data Points count of the algorithm history | ||
| /// </summary> | ||
| public int AlgorithmHistoryDataPoints => 77; | ||
|
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| /// <summary> | ||
| /// Final status of the algorithm | ||
| /// </summary> | ||
| public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed; | ||
|
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| /// <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 Orders", "436"}, | ||
| {"Average Win", "0.28%"}, | ||
| {"Average Loss", "-0.01%"}, | ||
| {"Compounding Annual Return", "1.926%"}, | ||
| {"Drawdown", "1.000%"}, | ||
| {"Expectancy", "1.650"}, | ||
| {"Start Equity", "10000.00"}, | ||
| {"End Equity", "10411.11"}, | ||
| {"Net Profit", "4.111%"}, | ||
| {"Sharpe Ratio", "0.332"}, | ||
| {"Sortino Ratio", "0.313"}, | ||
| {"Probabilistic Sharpe Ratio", "74.084%"}, | ||
| {"Loss Rate", "90%"}, | ||
| {"Win Rate", "10%"}, | ||
| {"Profit-Loss Ratio", "25.26"}, | ||
| {"Alpha", "0.003"}, | ||
| {"Beta", "0.001"}, | ||
| {"Annual Standard Deviation", "0.01"}, | ||
| {"Annual Variance", "0"}, | ||
| {"Information Ratio", "-0.495"}, | ||
| {"Tracking Error", "0.111"}, | ||
| {"Treynor Ratio", "2.716"}, | ||
| {"Total Fees", "$0.00"}, | ||
| {"Estimated Strategy Capacity", "$87000.00"}, | ||
| {"Lowest Capacity Asset", "BTCUSD 2XR"}, | ||
| {"Portfolio Turnover", "2.22%"}, | ||
| {"OrderListHash", "4fcffc45d82203bb6ded8a0e86070b4f"} | ||
| }; | ||
| } | ||
| } |
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