Skip to content

Commit 8626fb3

Browse files
JosueNinaJosueNina
committed
Update regression algorithms
1 parent a8dba94 commit 8626fb3

42 files changed

Lines changed: 111 additions & 111 deletions

File tree

Some content is hidden

Large Commits have some content hidden by default. Use the searchbox below for content that may be hidden.

‎Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -128,7 +128,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
128128
{"Start Equity", "10000.00"},
129129
{"End Equity", "10410.99"},
130130
{"Net Profit", "4.110%"},
131-
{"Sharpe Ratio", "0.331"},
131+
{"Sharpe Ratio", "0.332"},
132132
{"Sortino Ratio", "0.313"},
133133
{"Probabilistic Sharpe Ratio", "74.084%"},
134134
{"Loss Rate", "90%"},
@@ -140,7 +140,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
140140
{"Annual Variance", "0"},
141141
{"Information Ratio", "-0.495"},
142142
{"Tracking Error", "0.111"},
143-
{"Treynor Ratio", "2.708"},
143+
{"Treynor Ratio", "2.716"},
144144
{"Total Fees", "$0.00"},
145145
{"Estimated Strategy Capacity", "$87000.00"},
146146
{"Lowest Capacity Asset", "BTCUSD 2XR"},

‎Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -173,8 +173,8 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
173173
{"Drawdown", "13.900%"},
174174
{"Expectancy", "-0.824"},
175175
{"Start Equity", "1000000"},
176-
{"End Equity", "861193.96"},
177-
{"Net Profit", "-13.881%"},
176+
{"End Equity", "861260.7"},
177+
{"Net Profit", "-13.874%"},
178178
{"Sharpe Ratio", "-19.346"},
179179
{"Sortino Ratio", "-19.346"},
180180
{"Probabilistic Sharpe Ratio", "0%"},

‎Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -111,8 +111,8 @@ public override void OnOrderEvent(OrderEvent orderEvent)
111111
{"Start Equity", "100000"},
112112
{"End Equity", "99992.45"},
113113
{"Net Profit", "-0.008%"},
114-
{"Sharpe Ratio", "-484.926"},
115-
{"Sortino Ratio", "-71.385"},
114+
{"Sharpe Ratio", "-497.389"},
115+
{"Sortino Ratio", "-73.22"},
116116
{"Probabilistic Sharpe Ratio", "0.001%"},
117117
{"Loss Rate", "0%"},
118118
{"Win Rate", "0%"},

‎Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs‎

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -148,8 +148,8 @@ public override void OnEndOfAlgorithm()
148148
{"Start Equity", "100000"},
149149
{"End Equity", "98844"},
150150
{"Net Profit", "-1.156%"},
151-
{"Sharpe Ratio", "-4.039"},
152-
{"Sortino Ratio", "-2.421"},
151+
{"Sharpe Ratio", "-4.04"},
152+
{"Sortino Ratio", "-2.422"},
153153
{"Probabilistic Sharpe Ratio", "0.099%"},
154154
{"Loss Rate", "100%"},
155155
{"Win Rate", "0%"},
@@ -160,7 +160,7 @@ public override void OnEndOfAlgorithm()
160160
{"Annual Variance", "0"},
161161
{"Information Ratio", "1.49"},
162162
{"Tracking Error", "0.289"},
163-
{"Treynor Ratio", "-3.211"},
163+
{"Treynor Ratio", "-3.212"},
164164
{"Total Fees", "$1.00"},
165165
{"Estimated Strategy Capacity", "$72000.00"},
166166
{"Lowest Capacity Asset", "AAPL W78ZEO29CFS6|AAPL R735QTJ8XC9X"},

‎Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -65,7 +65,7 @@ public override void Initialize()
6565
{"Drawdown", "0%"},
6666
{"Expectancy", "0"},
6767
{"Start Equity", "100000.00"},
68-
{"End Equity", "99985.61"},
68+
{"End Equity", "99986.57"},
6969
{"Net Profit", "0%"},
7070
{"Sharpe Ratio", "0"},
7171
{"Sortino Ratio", "0"},

‎Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -65,7 +65,7 @@ public override void Initialize()
6565
{"Drawdown", "0%"},
6666
{"Expectancy", "0"},
6767
{"Start Equity", "100000.00"},
68-
{"End Equity", "99985.61"},
68+
{"End Equity", "99986.57"},
6969
{"Net Profit", "0%"},
7070
{"Sharpe Ratio", "0"},
7171
{"Sortino Ratio", "0"},

‎Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -64,7 +64,7 @@ public override void Initialize()
6464
{"Drawdown", "0%"},
6565
{"Expectancy", "0"},
6666
{"Start Equity", "100000.00"},
67-
{"End Equity", "100001.28"},
67+
{"End Equity", "100001.31"},
6868
{"Net Profit", "0%"},
6969
{"Sharpe Ratio", "0"},
7070
{"Sortino Ratio", "0"},

‎Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -64,7 +64,7 @@ public override void Initialize()
6464
{"Drawdown", "0%"},
6565
{"Expectancy", "0"},
6666
{"Start Equity", "100000.00"},
67-
{"End Equity", "100001.28"},
67+
{"End Equity", "100001.31"},
6868
{"Net Profit", "0%"},
6969
{"Sharpe Ratio", "0"},
7070
{"Sortino Ratio", "0"},

‎Algorithm.CSharp/CfdTimeZonesRegressionAlgorithm.cs‎

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -93,12 +93,12 @@ public override void OnData(Slice slice)
9393
{"Total Orders", "279"},
9494
{"Average Win", "0.01%"},
9595
{"Average Loss", "-0.01%"},
96-
{"Compounding Annual Return", "-34.134%"},
96+
{"Compounding Annual Return", "-33.650%"},
9797
{"Drawdown", "0.300%"},
9898
{"Expectancy", "-0.345"},
9999
{"Start Equity", "100000"},
100-
{"End Equity", "99657.4"},
101-
{"Net Profit", "-0.343%"},
100+
{"End Equity", "99663.4"},
101+
{"Net Profit", "-0.337%"},
102102
{"Sharpe Ratio", "-21.957"},
103103
{"Sortino Ratio", "-21.957"},
104104
{"Probabilistic Sharpe Ratio", "0%"},

‎Algorithm.CSharp/CoinbaseCryptoYearMarketTradingRegressionAlgorithm.cs‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -125,8 +125,8 @@ public override void OnEndOfAlgorithm()
125125
{"Start Equity", "100000.00"},
126126
{"End Equity", "99365.56"},
127127
{"Net Profit", "-0.634%"},
128-
{"Sharpe Ratio", "-7.128"},
129-
{"Sortino Ratio", "-7.338"},
128+
{"Sharpe Ratio", "-7.126"},
129+
{"Sortino Ratio", "-7.337"},
130130
{"Probabilistic Sharpe Ratio", "0.000%"},
131131
{"Loss Rate", "66%"},
132132
{"Win Rate", "34%"},

0 commit comments

Comments
 (0)