/// <summary>
/// Returns a summary of the algorithm performance as a dictionary
/// </summary>
private static Dictionary <string, string> GetSummary(AlgorithmPerformance totalPerformance, decimal totalFees, int totalTransactions)
{
return(new Dictionary <string, string>
{
{ "Total Trades", totalTransactions.ToStringInvariant() },
{ "Average Win", Math.Round(totalPerformance.PortfolioStatistics.AverageWinRate.SafeMultiply100(), 2).ToStringInvariant() + "%" },
{ "Average Loss", Math.Round(totalPerformance.PortfolioStatistics.AverageLossRate.SafeMultiply100(), 2).ToStringInvariant() + "%" },
{ "Compounding Annual Return", Math.Round(totalPerformance.PortfolioStatistics.CompoundingAnnualReturn.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ "Drawdown", Math.Round(totalPerformance.PortfolioStatistics.Drawdown.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ "Expectancy", Math.Round(totalPerformance.PortfolioStatistics.Expectancy, 3).ToStringInvariant() },
{ "Net Profit", Math.Round(totalPerformance.PortfolioStatistics.TotalNetProfit.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ "Sharpe Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.SharpeRatio, 3).ToStringInvariant() },
{ "Probabilistic Sharpe Ratio", Math.Round(totalPerformance.PortfolioStatistics.ProbabilisticSharpeRatio.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ "Loss Rate", Math.Round(totalPerformance.PortfolioStatistics.LossRate.SafeMultiply100()).ToStringInvariant() + "%" },
{ "Win Rate", Math.Round(totalPerformance.PortfolioStatistics.WinRate.SafeMultiply100()).ToStringInvariant() + "%" },
{ "Profit-Loss Ratio", Math.Round(totalPerformance.PortfolioStatistics.ProfitLossRatio, 2).ToStringInvariant() },
{ "Alpha", Math.Round((double)totalPerformance.PortfolioStatistics.Alpha, 3).ToStringInvariant() },
{ "Beta", Math.Round((double)totalPerformance.PortfolioStatistics.Beta, 3).ToStringInvariant() },
{ "Annual Standard Deviation", Math.Round((double)totalPerformance.PortfolioStatistics.AnnualStandardDeviation, 3).ToStringInvariant() },
{ "Annual Variance", Math.Round((double)totalPerformance.PortfolioStatistics.AnnualVariance, 3).ToStringInvariant() },
{ "Information Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.InformationRatio, 3).ToStringInvariant() },
{ "Tracking Error", Math.Round((double)totalPerformance.PortfolioStatistics.TrackingError, 3).ToStringInvariant() },
{ "Treynor Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.TreynorRatio, 3).ToStringInvariant() },
{ "Total Fees", "$" + totalFees.ToStringInvariant("0.00") }
});
}
/// <summary>
/// Returns a summary of the algorithm performance as a dictionary
/// </summary>
private static Dictionary <string, string> GetSummary(AlgorithmPerformance totalPerformance, CapacityEstimate estimatedStrategyCapacity,
decimal totalFees, int totalTransactions, string accountCurrencySymbol)
{
var capacity = 0m;
var lowestCapacitySymbol = Symbol.Empty;
if (estimatedStrategyCapacity != null)
{
capacity = estimatedStrategyCapacity.Capacity;
lowestCapacitySymbol = estimatedStrategyCapacity.LowestCapacityAsset ?? Symbol.Empty;
}
return(new Dictionary <string, string>
{
{ PerformanceMetrics.TotalTrades, totalTransactions.ToStringInvariant() },
{ PerformanceMetrics.AverageWin, Math.Round(totalPerformance.PortfolioStatistics.AverageWinRate.SafeMultiply100(), 2).ToStringInvariant() + "%" },
{ PerformanceMetrics.AverageLoss, Math.Round(totalPerformance.PortfolioStatistics.AverageLossRate.SafeMultiply100(), 2).ToStringInvariant() + "%" },
{ PerformanceMetrics.CompoundingAnnualReturn, Math.Round(totalPerformance.PortfolioStatistics.CompoundingAnnualReturn.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ PerformanceMetrics.Drawdown, Math.Round(totalPerformance.PortfolioStatistics.Drawdown.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ PerformanceMetrics.Expectancy, Math.Round(totalPerformance.PortfolioStatistics.Expectancy, 3).ToStringInvariant() },
{ PerformanceMetrics.NetProfit, Math.Round(totalPerformance.PortfolioStatistics.TotalNetProfit.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ PerformanceMetrics.SharpeRatio, Math.Round((double)totalPerformance.PortfolioStatistics.SharpeRatio, 3).ToStringInvariant() },
{ PerformanceMetrics.ProbabilisticSharpeRatio, Math.Round(totalPerformance.PortfolioStatistics.ProbabilisticSharpeRatio.SafeMultiply100(), 3).ToStringInvariant() + "%" },
{ PerformanceMetrics.LossRate, Math.Round(totalPerformance.PortfolioStatistics.LossRate.SafeMultiply100()).ToStringInvariant() + "%" },
{ PerformanceMetrics.WinRate, Math.Round(totalPerformance.PortfolioStatistics.WinRate.SafeMultiply100()).ToStringInvariant() + "%" },
{ PerformanceMetrics.ProfitLossRatio, Math.Round(totalPerformance.PortfolioStatistics.ProfitLossRatio, 2).ToStringInvariant() },
{ PerformanceMetrics.Alpha, Math.Round((double)totalPerformance.PortfolioStatistics.Alpha, 3).ToStringInvariant() },
{ PerformanceMetrics.Beta, Math.Round((double)totalPerformance.PortfolioStatistics.Beta, 3).ToStringInvariant() },
{ PerformanceMetrics.AnnualStandardDeviation, Math.Round((double)totalPerformance.PortfolioStatistics.AnnualStandardDeviation, 3).ToStringInvariant() },
{ PerformanceMetrics.AnnualVariance, Math.Round((double)totalPerformance.PortfolioStatistics.AnnualVariance, 3).ToStringInvariant() },
{ PerformanceMetrics.InformationRatio, Math.Round((double)totalPerformance.PortfolioStatistics.InformationRatio, 3).ToStringInvariant() },
{ PerformanceMetrics.TrackingError, Math.Round((double)totalPerformance.PortfolioStatistics.TrackingError, 3).ToStringInvariant() },
{ PerformanceMetrics.TreynorRatio, Math.Round((double)totalPerformance.PortfolioStatistics.TreynorRatio, 3).ToStringInvariant() },
{ PerformanceMetrics.TotalFees, accountCurrencySymbol + totalFees.ToStringInvariant("0.00") },
{ PerformanceMetrics.EstimatedStrategyCapacity, accountCurrencySymbol + capacity.RoundToSignificantDigits(2).ToStringInvariant() },
{ PerformanceMetrics.LowestCapacityAsset, lowestCapacitySymbol != Symbol.Empty ? lowestCapacitySymbol.ID.ToString() : "" },
});
}
/// <summary>
/// Initializes a new instance of the <see cref="StatisticsResults"/> class
/// </summary>
public StatisticsResults()
{
TotalPerformance = new AlgorithmPerformance();
RollingPerformances = new Dictionary <string, AlgorithmPerformance>();
Summary = new Dictionary <string, string>();
}
/// <summary>
/// Initializes a new instance of the <see cref="StatisticsResults"/> class
/// </summary>
/// <param name="totalPerformance">The algorithm total performance</param>
/// <param name="rollingPerformances">The algorithm rolling performances</param>
/// <param name="summary">The summary performance dictionary</param>
public StatisticsResults(AlgorithmPerformance totalPerformance, Dictionary <string, AlgorithmPerformance> rollingPerformances, Dictionary <string, string> summary)
{
TotalPerformance = totalPerformance;
RollingPerformances = rollingPerformances;
Summary = summary;
}
/// <summary>
/// Returns a summary of the algorithm performance as a dictionary
/// </summary>
private static Dictionary<string, string> GetSummary(AlgorithmPerformance totalPerformance, decimal totalFees, int totalTransactions)
{
return new Dictionary<string, string>
{
{ "Total Trades", totalTransactions.ToString(CultureInfo.InvariantCulture) },
{ "Average Win", Math.Round(totalPerformance.PortfolioStatistics.AverageWinRate * 100, 2) + "%" },
{ "Average Loss", Math.Round(totalPerformance.PortfolioStatistics.AverageLossRate * 100, 2) + "%" },
{ "Compounding Annual Return", Math.Round(totalPerformance.PortfolioStatistics.CompoundingAnnualReturn * 100, 3) + "%" },
{ "Drawdown", (Math.Round(totalPerformance.PortfolioStatistics.Drawdown * 100, 3)) + "%" },
{ "Expectancy", Math.Round(totalPerformance.PortfolioStatistics.Expectancy, 3).ToString(CultureInfo.InvariantCulture) },
{ "Net Profit", Math.Round(totalPerformance.PortfolioStatistics.TotalNetProfit * 100, 3) + "%"},
{ "Sharpe Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.SharpeRatio, 3).ToString(CultureInfo.InvariantCulture) },
{ "Loss Rate", Math.Round(totalPerformance.PortfolioStatistics.LossRate * 100) + "%" },
{ "Win Rate", Math.Round(totalPerformance.PortfolioStatistics.WinRate * 100) + "%" },
{ "Profit-Loss Ratio", Math.Round(totalPerformance.PortfolioStatistics.ProfitLossRatio, 2).ToString(CultureInfo.InvariantCulture) },
{ "Alpha", Math.Round((double)totalPerformance.PortfolioStatistics.Alpha, 3).ToString(CultureInfo.InvariantCulture) },
{ "Beta", Math.Round((double)totalPerformance.PortfolioStatistics.Beta, 3).ToString(CultureInfo.InvariantCulture) },
{ "Annual Standard Deviation", Math.Round((double)totalPerformance.PortfolioStatistics.AnnualStandardDeviation, 3).ToString(CultureInfo.InvariantCulture) },
{ "Annual Variance", Math.Round((double)totalPerformance.PortfolioStatistics.AnnualVariance, 3).ToString(CultureInfo.InvariantCulture) },
{ "Information Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.InformationRatio, 3).ToString(CultureInfo.InvariantCulture) },
{ "Tracking Error", Math.Round((double)totalPerformance.PortfolioStatistics.TrackingError, 3).ToString(CultureInfo.InvariantCulture) },
{ "Treynor Ratio", Math.Round((double)totalPerformance.PortfolioStatistics.TreynorRatio, 3).ToString(CultureInfo.InvariantCulture) },
{ "Total Fees", "$" + totalFees.ToString("0.00") }
};
}
/// <summary>
/// Constructor for the result class using dictionary objects.
/// </summary>
public BacktestResult(IDictionary<string, Chart> charts, IDictionary<int, Order> orders, IDictionary<DateTime, decimal> profitLoss, IDictionary<string, string> statistics, IDictionary<string, string> runtimeStatistics, Dictionary<string, AlgorithmPerformance> rollingWindow, AlgorithmPerformance totalPerformance = null)
{
Charts = charts;
Orders = orders;
ProfitLoss = profitLoss;
Statistics = statistics;
RuntimeStatistics = runtimeStatistics;
RollingWindow = rollingWindow;
TotalPerformance = totalPerformance;
}
/// <summary>
/// Initializes a new instance of the <see cref="StatisticsResults"/> class
/// </summary>
public StatisticsResults()
{
TotalPerformance = new AlgorithmPerformance();
RollingPerformances = new Dictionary<string, AlgorithmPerformance>();
Summary = new Dictionary<string, string>();
}
/// <summary>
/// Initializes a new instance of the <see cref="StatisticsResults"/> class
/// </summary>
/// <param name="totalPerformance">The algorithm total performance</param>
/// <param name="rollingPerformances">The algorithm rolling performances</param>
/// <param name="summary">The summary performance dictionary</param>
public StatisticsResults(AlgorithmPerformance totalPerformance, Dictionary<string, AlgorithmPerformance> rollingPerformances, Dictionary<string, string> summary)
{
TotalPerformance = totalPerformance;
RollingPerformances = rollingPerformances;
Summary = summary;
}
/// <summary>
/// Returns the QPAS statistics for a QuantConnect Algorithm (uses Equity Curve)
/// </summary>
/// <param name="fromDate"></param>
/// <param name="toDate"></param>
/// <param name="trades"></param>
/// <param name="totalPerformance"></param>
/// <param name="rollingPerformances"></param>
/// <param name="summary"></param>
/// <param name="startingCapital"></param>
/// <returns>QPAS Performance Statistics (JSON)</returns>
public static string GetPerformanceQPAS(
DateTime fromDate,
DateTime toDate,
List<Trade> trades,
AlgorithmPerformance totalPerformance,
Dictionary<string, AlgorithmPerformance> rollingPerformances,
Dictionary<string, string> summary,
decimal startingCapital)
{
if (trades.Count <= 0)
return "";
// Equity Curve Statistics
var qpasEC = new QPAS.EquityCurve((double)startingCapital, totalPerformance.TradeStatistics.StartDateTime);
foreach (var trade in trades)
qpasEC.AddChange((double)trade.ProfitLoss, trade.ExitTime);
var equityCurveStatsQPAS = QPAS.PerformanceMeasurement.EquityCurveStats(qpasEC, (int)(toDate - fromDate).TotalDays);
// Trade Statistics
var instrument = new EntityModel.Instrument { ID = 1, Multiplier = 1, AssetCategory = EntityModel.AssetClass.Cash };
instrument.Symbol = trades[0].Symbol.Value;
var qpasTrades = new List<EntityModel.Trade>();
foreach (var trade in trades)
{
var qpasTrade = new EntityModel.Trade();
qpasTrade.Orders = new List<EntityModel.Order>
{
// Open Order
new EntityModel.Order {
Instrument = instrument,
Quantity = trade.Quantity,
Price = trade.EntryPrice,
BuySell = trade.BuyOrSell,
TradeDate = trade.EntryTime,
AssetCategory = EntityModel.AssetClass.Cash },
// Close Order
new EntityModel.Order {
Instrument = instrument,
Quantity = trade.Quantity,
Price = trade.ExitPrice,
BuySell = trade.BuyOrSellClose,
TradeDate = trade.ExitTime,
AssetCategory = EntityModel.AssetClass.Cash }
};
qpasTrade.ResultDollars = trade.ProfitLoss;
qpasTrade.Commissions = trade.TotalFees;
qpasTrades.Add(qpasTrade);
}
var capitalInPeriod = new List<decimal>();
var capital = startingCapital;
capitalInPeriod.Add(capital);
foreach (var trade in trades)
{
capital += trade.ProfitLoss;
capitalInPeriod.Add(capital);
}
var tradeStatsQPAS = QPAS.PerformanceMeasurement.TradeStats(qpasTrades, fromDate, toDate, capitalInPeriod);
// Merge Results into a Sorted Dictionary
var statsQPAS = new SortedDictionary<string, string>();
foreach (KeyValuePair<string, string> entry in equityCurveStatsQPAS)
statsQPAS.Add(entry.Key + " (Equity)", entry.Value);
foreach (KeyValuePair<string, string> entry in tradeStatsQPAS)
statsQPAS.Add(entry.Key + " (Trade)", entry.Value);
// Return result as JSON
return JsonConvert.SerializeObject(statsQPAS, Formatting.Indented);
}
