diff --git a/Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs b/Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs index 69969da1476d..6499d7c4afd3 100644 --- a/Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs @@ -100,7 +100,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-0.172%"}, {"Sharpe Ratio", "-11.13"}, {"Sortino Ratio", "-16.704"}, - {"Probabilistic Sharpe Ratio", "12.075%"}, + {"Probabilistic Sharpe Ratio", "10.330%"}, {"Loss Rate", "78%"}, {"Win Rate", "22%"}, {"Profit-Loss Ratio", "0.87"}, diff --git a/Algorithm.CSharp/AddAlphaModelAlgorithm.cs b/Algorithm.CSharp/AddAlphaModelAlgorithm.cs index 8490b49a5316..1eb13512f272 100644 --- a/Algorithm.CSharp/AddAlphaModelAlgorithm.cs +++ b/Algorithm.CSharp/AddAlphaModelAlgorithm.cs @@ -136,7 +136,7 @@ public override IEnumerable Update(QCAlgorithm algorithm, Slice data) {"Net Profit", "1.442%"}, {"Sharpe Ratio", "4.836"}, {"Sortino Ratio", "10.481"}, - {"Probabilistic Sharpe Ratio", "59.497%"}, + {"Probabilistic Sharpe Ratio", "59.374%"}, {"Loss Rate", "33%"}, {"Win Rate", "67%"}, {"Profit-Loss Ratio", "3.17"}, diff --git a/Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs b/Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs index ea5dd79765cc..2b281978f59a 100644 --- a/Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddBetaIndicatorNewAssetsRegressionAlgorithm.cs @@ -130,7 +130,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "2.710%"}, {"Sharpe Ratio", "-0.126"}, {"Sortino Ratio", "-0.112"}, - {"Probabilistic Sharpe Ratio", "39.260%"}, + {"Probabilistic Sharpe Ratio", "2.398%"}, {"Loss Rate", "90%"}, {"Win Rate", "10%"}, {"Profit-Loss Ratio", "17.14"}, diff --git a/Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs b/Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs index 1e0f0f821bb3..97b1585c3929 100644 --- a/Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs @@ -130,7 +130,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "0.289%"}, {"Sharpe Ratio", "3.924"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "68.349%"}, + {"Probabilistic Sharpe Ratio", "66.659%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs index 4267b57aefcf..33d089c04ba4 100644 --- a/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs @@ -143,7 +143,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "-0.196%"}, {"Sharpe Ratio", "-7.95"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "1.216%"}, + {"Probabilistic Sharpe Ratio", "0.401%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs index 74193476069f..43b1cadc0a91 100644 --- a/Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs @@ -192,7 +192,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "5.333%"}, {"Sharpe Ratio", "64.084"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.977%"}, + {"Probabilistic Sharpe Ratio", "95.688%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs index feae130a33c6..15db9118c30a 100644 --- a/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs @@ -248,7 +248,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "2.313%"}, {"Sharpe Ratio", "17.721"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.977%"}, + {"Probabilistic Sharpe Ratio", "95.297%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs b/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs index b352ec10ef57..ece82665b7ed 100644 --- a/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs @@ -145,7 +145,7 @@ public override void OnData(Slice slice) {"Net Profit", "-0.392%"}, {"Sharpe Ratio", "-5.487"}, {"Sortino Ratio", "-2.607"}, - {"Probabilistic Sharpe Ratio", "0.016%"}, + {"Probabilistic Sharpe Ratio", "0.000%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "0.90"}, diff --git a/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs index deca83e88107..56f00573e599 100644 --- a/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs @@ -197,7 +197,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-0.232%"}, {"Sharpe Ratio", "-8.903"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "1.216%"}, + {"Probabilistic Sharpe Ratio", "0.024%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs b/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs index 673e7081c3f5..fdbef8949abd 100644 --- a/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs @@ -111,7 +111,7 @@ public override void OnData(Slice slice) {"Net Profit", "1.754%"}, {"Sharpe Ratio", "11.954"}, {"Sortino Ratio", "29.606"}, - {"Probabilistic Sharpe Ratio", "74.160%"}, + {"Probabilistic Sharpe Ratio", "73.973%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs b/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs index ecb9cbd519b1..124110fa3999 100644 --- a/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs @@ -138,7 +138,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "1.776%"}, {"Sharpe Ratio", "12.966"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "80.409%"}, + {"Probabilistic Sharpe Ratio", "80.179%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/AddRiskManagementAlgorithm.cs b/Algorithm.CSharp/AddRiskManagementAlgorithm.cs index d7aec7762d1d..b36534d870db 100644 --- a/Algorithm.CSharp/AddRiskManagementAlgorithm.cs +++ b/Algorithm.CSharp/AddRiskManagementAlgorithm.cs @@ -90,7 +90,7 @@ public override void Initialize() {"Net Profit", "1.775%"}, {"Sharpe Ratio", "9.34"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "68.302%"}, + {"Probabilistic Sharpe Ratio", "68.153%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs b/Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs index ef253c1cab8e..f2a06b18432c 100644 --- a/Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs +++ b/Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs @@ -120,7 +120,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-5.957%"}, {"Sharpe Ratio", "-3.345"}, {"Sortino Ratio", "-3.766"}, - {"Probabilistic Sharpe Ratio", "4.557%"}, + {"Probabilistic Sharpe Ratio", "4.444%"}, {"Loss Rate", "89%"}, {"Win Rate", "11%"}, {"Profit-Loss Ratio", "0.70"}, diff --git a/Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs b/Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs index d40d8f6237a9..28ccd2c53d02 100644 --- a/Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs @@ -104,7 +104,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.071%"}, {"Sharpe Ratio", "-9.164"}, {"Sortino Ratio", "-9.852"}, - {"Probabilistic Sharpe Ratio", "36.417%"}, + {"Probabilistic Sharpe Ratio", "0%"}, {"Loss Rate", "27%"}, {"Win Rate", "73%"}, {"Profit-Loss Ratio", "4.41"}, diff --git a/Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs b/Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs index 47ff2f23905b..ab849e12c7ce 100644 --- a/Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs +++ b/Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs @@ -136,7 +136,7 @@ protected override decimal ComputeNextValue(IReadOnlyWindow {"Net Profit", "1.692%"}, {"Sharpe Ratio", "8.854"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.609%"}, + {"Probabilistic Sharpe Ratio", "67.459%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs b/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs index 1b7c3b8c0d44..c99e51f331b5 100644 --- a/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs +++ b/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs @@ -324,7 +324,7 @@ public override OrderEvent MarketFill(Security asset, MarketOrder order) {"Net Profit", "1.082%"}, {"Sharpe Ratio", "12.594"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.977%"}, + {"Probabilistic Sharpe Ratio", "95.481%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateAlgorithm.cs b/Algorithm.CSharp/BasicTemplateAlgorithm.cs index 6829d12819ec..f9687732513e 100644 --- a/Algorithm.CSharp/BasicTemplateAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateAlgorithm.cs @@ -103,7 +103,7 @@ public override void OnData(Slice slice) {"Net Profit", "1.692%"}, {"Sharpe Ratio", "8.854"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.609%"}, + {"Probabilistic Sharpe Ratio", "67.459%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs b/Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs index 1d46a1dfb256..75845b416380 100644 --- a/Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateAxosAlgorithm.cs @@ -97,7 +97,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.423%"}, {"Sharpe Ratio", "5.498"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.498%"}, + {"Probabilistic Sharpe Ratio", "66.898%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs b/Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs index 2ae3f3cecb0d..f2241382a39d 100644 --- a/Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs @@ -150,7 +150,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "5.404%"}, {"Sharpe Ratio", "1.531"}, {"Sortino Ratio", "2.106"}, - {"Probabilistic Sharpe Ratio", "82.864%"}, + {"Probabilistic Sharpe Ratio", "74.321%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "6.64"}, diff --git a/Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs b/Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs index 96b1c5a95bb6..1b4481138f58 100644 --- a/Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs @@ -161,7 +161,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "6.741%"}, {"Sharpe Ratio", "2.003"}, {"Sortino Ratio", "2.845"}, - {"Probabilistic Sharpe Ratio", "92.590%"}, + {"Probabilistic Sharpe Ratio", "87.787%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs index 8f04e5af66c1..0f65677a0df9 100644 --- a/Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs @@ -94,7 +94,7 @@ public override void OnData(Slice slice) {"Net Profit", "4.486%"}, {"Sharpe Ratio", "17.304"}, {"Sortino Ratio", "35.217"}, - {"Probabilistic Sharpe Ratio", "96.835%"}, + {"Probabilistic Sharpe Ratio", "96.710%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateEurexFuturesAlgorithm.cs b/Algorithm.CSharp/BasicTemplateEurexFuturesAlgorithm.cs index 0e51b124560f..736c382b1e78 100644 --- a/Algorithm.CSharp/BasicTemplateEurexFuturesAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateEurexFuturesAlgorithm.cs @@ -218,7 +218,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-0.115%"}, {"Sharpe Ratio", "-34.455"}, {"Sortino Ratio", "-57.336"}, - {"Probabilistic Sharpe Ratio", "0.002%"}, + {"Probabilistic Sharpe Ratio", "0%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs index 968f8b3d7bcb..6bb1e2445a83 100644 --- a/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs @@ -115,7 +115,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "1.655%"}, {"Sharpe Ratio", "8.472"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "66.840%"}, + {"Probabilistic Sharpe Ratio", "66.693%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs index 945ce7f483e6..060224088864 100644 --- a/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs @@ -204,7 +204,7 @@ public void Dispose() {"Net Profit", "0.134%"}, {"Sharpe Ratio", "-0.494"}, {"Sortino Ratio", "-0.544"}, - {"Probabilistic Sharpe Ratio", "55.093%"}, + {"Probabilistic Sharpe Ratio", "23.043%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs index d4d26dd4dfb1..7d4dec6f90b4 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs @@ -155,7 +155,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "-0.253%"}, {"Sharpe Ratio", "-5.753"}, {"Sortino Ratio", "-1.032"}, - {"Probabilistic Sharpe Ratio", "0.001%"}, + {"Probabilistic Sharpe Ratio", "0.000%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "0.48"}, diff --git a/Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs index e0e3ecb90843..97c15f85108f 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs @@ -59,7 +59,7 @@ public class BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm : BasicTem {"Net Profit", "-3.314%"}, {"Sharpe Ratio", "-6.359"}, {"Sortino Ratio", "-11.237"}, - {"Probabilistic Sharpe Ratio", "9.333%"}, + {"Probabilistic Sharpe Ratio", "9.257%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs index 6e0ed5a76155..f392586ca974 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs @@ -54,7 +54,7 @@ public class BasicTemplateFuturesHourlyAlgorithm : BasicTemplateFuturesDailyAlgo {"Net Profit", "0.298%"}, {"Sharpe Ratio", "-0.872"}, {"Sortino Ratio", "-0.342"}, - {"Probabilistic Sharpe Ratio", "21.709%"}, + {"Probabilistic Sharpe Ratio", "6.244%"}, {"Loss Rate", "53%"}, {"Win Rate", "47%"}, {"Profit-Loss Ratio", "1.59"}, diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs index 20f90c55cdd0..eadbaab6b1db 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs @@ -54,7 +54,7 @@ public class BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplat {"Net Profit", "-0.253%"}, {"Sharpe Ratio", "-5.753"}, {"Sortino Ratio", "-1.032"}, - {"Probabilistic Sharpe Ratio", "0.001%"}, + {"Probabilistic Sharpe Ratio", "0.000%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "0.48"}, diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs index 17362d486ddb..fe87e0788d4a 100644 --- a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs @@ -59,7 +59,7 @@ public class BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm : BasicTempla {"Net Profit", "-0.172%"}, {"Sharpe Ratio", "-1.251"}, {"Sortino Ratio", "-0.548"}, - {"Probabilistic Sharpe Ratio", "10.891%"}, + {"Probabilistic Sharpe Ratio", "2.934%"}, {"Loss Rate", "65%"}, {"Win Rate", "35%"}, {"Profit-Loss Ratio", "1.61"}, diff --git a/Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs index a5e1f8b4064f..0e2917741a6a 100644 --- a/Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs @@ -103,7 +103,7 @@ public override void OnData(Slice slice) {"Net Profit", "1.529%"}, {"Sharpe Ratio", "8.855"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.609%"}, + {"Probabilistic Sharpe Ratio", "67.459%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs index debaeb04cf9c..66d792ef7e6b 100644 --- a/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs @@ -155,7 +155,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "6.440%"}, {"Sharpe Ratio", "-4.563"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "0.781%"}, + {"Probabilistic Sharpe Ratio", "0.604%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs index 44a783d0a7f8..5f3dee035c10 100644 --- a/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs @@ -134,7 +134,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "8.460%"}, {"Sharpe Ratio", "9.923"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "93.682%"}, + {"Probabilistic Sharpe Ratio", "93.605%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs index e19dbd89a15c..e70a96bbfa04 100644 --- a/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs @@ -51,7 +51,7 @@ public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorith {"Net Profit", "-0.800%"}, {"Sharpe Ratio", "-5.01"}, {"Sortino Ratio", "-2.603"}, - {"Probabilistic Sharpe Ratio", "0.030%"}, + {"Probabilistic Sharpe Ratio", "0.018%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs index 130e9dcbaa36..76e18d279c8c 100644 --- a/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs @@ -95,7 +95,7 @@ public override void OnData(Slice slice) {"Net Profit", "-0.008%"}, {"Sharpe Ratio", "-19.865"}, {"Sortino Ratio", "-175397.15"}, - {"Probabilistic Sharpe Ratio", "0.013%"}, + {"Probabilistic Sharpe Ratio", "0.000%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs index fe61875e5e2c..eb7591e65aab 100644 --- a/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs @@ -66,7 +66,7 @@ public class BasicTemplateIndexOptionsHourlyAlgorithm : BasicTemplateIndexOption {"Net Profit", "0%"}, {"Sharpe Ratio", "-121.988"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "36.504%"}, + {"Probabilistic Sharpe Ratio", "0.162%"}, {"Loss Rate", "88%"}, {"Win Rate", "12%"}, {"Profit-Loss Ratio", "7.00"}, diff --git a/Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs index 19357403245a..f9bfd724d72a 100644 --- a/Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs @@ -113,7 +113,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "-0.008%"}, {"Sharpe Ratio", "-497.389"}, {"Sortino Ratio", "-73.22"}, - {"Probabilistic Sharpe Ratio", "0.001%"}, + {"Probabilistic Sharpe Ratio", "0.794%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs index b6b1f61c6a51..e484b804643b 100644 --- a/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs @@ -150,7 +150,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-1.156%"}, {"Sharpe Ratio", "-4.04"}, {"Sortino Ratio", "-2.422"}, - {"Probabilistic Sharpe Ratio", "0.099%"}, + {"Probabilistic Sharpe Ratio", "0.008%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs index 60ea0caaa4e5..54b3b1bc2399 100644 --- a/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs @@ -127,7 +127,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "1.100%"}, {"Sharpe Ratio", "12.688"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.977%"}, + {"Probabilistic Sharpe Ratio", "95.488%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs index 5b17aa867192..515be552e4cd 100644 --- a/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs @@ -167,7 +167,7 @@ public override IEnumerable CreateTargets(QCAlgorithm algorith {"Net Profit", "-0.850%"}, {"Sharpe Ratio", "-4.298"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "15.319%"}, + {"Probabilistic Sharpe Ratio", "14.867%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0.43"}, diff --git a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs index 2eab94c7b148..9225267d0500 100644 --- a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs @@ -131,7 +131,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "0.288%"}, {"Sharpe Ratio", "-3.925"}, {"Sortino Ratio", "-9.873"}, - {"Probabilistic Sharpe Ratio", "28.473%"}, + {"Probabilistic Sharpe Ratio", "28.244%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "26.06"}, diff --git a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs index 1d84d9fc174c..6408eae0d042 100644 --- a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs @@ -137,7 +137,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "0.612%"}, {"Sharpe Ratio", "-0.533"}, {"Sortino Ratio", "-2.937"}, - {"Probabilistic Sharpe Ratio", "43.837%"}, + {"Probabilistic Sharpe Ratio", "43.543%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "59.94"}, diff --git a/Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs b/Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs index fd2b14693819..ecc92939c25e 100644 --- a/Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs +++ b/Algorithm.CSharp/BasicTemplateTradableIndexAlgorithm.cs @@ -74,7 +74,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "6.434%"}, {"Sharpe Ratio", "-4.563"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "0.781%"}, + {"Probabilistic Sharpe Ratio", "0.604%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "1356.34"}, diff --git a/Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs b/Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs index a61ceccf738e..dd0cd076554f 100644 --- a/Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs @@ -104,7 +104,7 @@ public IEnumerable CoarseSelector(IEnumerable coarse) {"Net Profit", "0.739%"}, {"Sharpe Ratio", "4.46"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "60.106%"}, + {"Probabilistic Sharpe Ratio", "59.897%"}, {"Loss Rate", "80%"}, {"Win Rate", "20%"}, {"Profit-Loss Ratio", "0.02"}, diff --git a/Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs b/Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs index 81d3b21feee2..e89ce0a8fdde 100644 --- a/Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs +++ b/Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs @@ -143,7 +143,7 @@ public void HandleRenko7Bar(RenkoBar data) {"Net Profit", "7.839%"}, {"Sharpe Ratio", "0.692"}, {"Sortino Ratio", "0.636"}, - {"Probabilistic Sharpe Ratio", "39.336%"}, + {"Probabilistic Sharpe Ratio", "34.456%"}, {"Loss Rate", "43%"}, {"Win Rate", "57%"}, {"Profit-Loss Ratio", "1.24"}, diff --git a/Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs b/Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs index 61848f5dde29..4708304f872b 100644 --- a/Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs @@ -187,7 +187,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "1.393%"}, {"Sharpe Ratio", "3.192"}, {"Sortino Ratio", "4.952"}, - {"Probabilistic Sharpe Ratio", "68.664%"}, + {"Probabilistic Sharpe Ratio", "67.812%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs b/Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs index 5b50a731aa3a..45a597259fdc 100644 --- a/Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs +++ b/Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs @@ -146,7 +146,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "-1.808%"}, {"Sharpe Ratio", "-1.989"}, {"Sortino Ratio", "-3.359"}, - {"Probabilistic Sharpe Ratio", "23.898%"}, + {"Probabilistic Sharpe Ratio", "23.563%"}, {"Loss Rate", "80%"}, {"Win Rate", "20%"}, {"Profit-Loss Ratio", "1.29"}, diff --git a/Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs b/Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs index 916ee8c94dd0..b24c2eefbb66 100644 --- a/Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs @@ -127,7 +127,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.677%"}, {"Sharpe Ratio", "2.646"}, {"Sortino Ratio", "2.77"}, - {"Probabilistic Sharpe Ratio", "58.013%"}, + {"Probabilistic Sharpe Ratio", "57.615%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs b/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs index 7e4a1ab222be..16cca1f5bdb9 100644 --- a/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs +++ b/Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs @@ -176,7 +176,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.170%"}, {"Sharpe Ratio", "4.88"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.725%"}, + {"Probabilistic Sharpe Ratio", "66.206%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs b/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs index 3db21ab2f84c..f476a12927f2 100644 --- a/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs +++ b/Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs @@ -199,7 +199,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.170%"}, {"Sharpe Ratio", "4.88"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.725%"}, + {"Probabilistic Sharpe Ratio", "66.206%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ComboOrdersFillModelAlgorithm.cs b/Algorithm.CSharp/ComboOrdersFillModelAlgorithm.cs index d82e22918768..f054470ae1b8 100644 --- a/Algorithm.CSharp/ComboOrdersFillModelAlgorithm.cs +++ b/Algorithm.CSharp/ComboOrdersFillModelAlgorithm.cs @@ -147,7 +147,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "4.781%"}, {"Sharpe Ratio", "8.272"}, {"Sortino Ratio", "6.986"}, - {"Probabilistic Sharpe Ratio", "87.028%"}, + {"Probabilistic Sharpe Ratio", "85.885%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CompleteOrderTagUpdateAlgorithm.cs b/Algorithm.CSharp/CompleteOrderTagUpdateAlgorithm.cs index 4eb147b0e9b4..1ed4949b8f82 100644 --- a/Algorithm.CSharp/CompleteOrderTagUpdateAlgorithm.cs +++ b/Algorithm.CSharp/CompleteOrderTagUpdateAlgorithm.cs @@ -185,7 +185,7 @@ private static void UpdateOrderTag(OrderTicket ticket, string tag, string errorM {"Net Profit", "0.251%"}, {"Sharpe Ratio", "5.078"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.483%"}, + {"Probabilistic Sharpe Ratio", "66.448%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs b/Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs index b94aad588898..d89deab6e5be 100644 --- a/Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs @@ -97,7 +97,7 @@ public override void Initialize() {"Net Profit", "-0.564%"}, {"Sharpe Ratio", "-2.767"}, {"Sortino Ratio", "-3.388"}, - {"Probabilistic Sharpe Ratio", "32.568%"}, + {"Probabilistic Sharpe Ratio", "32.075%"}, {"Loss Rate", "70%"}, {"Win Rate", "30%"}, {"Profit-Loss Ratio", "0.03"}, diff --git a/Algorithm.CSharp/CompositeRiskManagementModelFrameworkAlgorithm.cs b/Algorithm.CSharp/CompositeRiskManagementModelFrameworkAlgorithm.cs index d4bdb22eba18..7a195dbc2073 100644 --- a/Algorithm.CSharp/CompositeRiskManagementModelFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/CompositeRiskManagementModelFrameworkAlgorithm.cs @@ -91,7 +91,7 @@ public override void Initialize() {"Net Profit", "1.528%"}, {"Sharpe Ratio", "7.572"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "65.639%"}, + {"Probabilistic Sharpe Ratio", "65.486%"}, {"Loss Rate", "33%"}, {"Win Rate", "67%"}, {"Profit-Loss Ratio", "1.04"}, diff --git a/Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs b/Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs index d283378101e7..9099afdba328 100644 --- a/Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs @@ -104,7 +104,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.423%"}, {"Sharpe Ratio", "5.481"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.478%"}, + {"Probabilistic Sharpe Ratio", "66.876%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "0.94"}, diff --git a/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs b/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs index 297c560ebada..1987da140b9b 100644 --- a/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs @@ -217,7 +217,7 @@ public override void OnData(Slice slice) {"Net Profit", "9.332%"}, {"Sharpe Ratio", "9.805"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "93.474%"}, + {"Probabilistic Sharpe Ratio", "92.778%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ConstituentsUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/ConstituentsUniverseRegressionAlgorithm.cs index 526be7f0c97e..5c829c2a238a 100644 --- a/Algorithm.CSharp/ConstituentsUniverseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ConstituentsUniverseRegressionAlgorithm.cs @@ -185,7 +185,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "0.685%"}, {"Sharpe Ratio", "13.41"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "99.997%"}, + {"Probabilistic Sharpe Ratio", "99.985%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs index 2d8a794c8b98..b572f9bd2ced 100644 --- a/Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs @@ -167,7 +167,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "6.433%"}, {"Sharpe Ratio", "1.346"}, {"Sortino Ratio", "0.782"}, - {"Probabilistic Sharpe Ratio", "73.094%"}, + {"Probabilistic Sharpe Ratio", "65.794%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs index 698adc343516..e15d2ac6c9cf 100644 --- a/Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs @@ -183,7 +183,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "7.241%"}, {"Sharpe Ratio", "1.511"}, {"Sortino Ratio", "1.208"}, - {"Probabilistic Sharpe Ratio", "80.992%"}, + {"Probabilistic Sharpe Ratio", "74.255%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm.cs index 1caac467b62e..9f9bc5bdd4dc 100644 --- a/Algorithm.CSharp/ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm.cs @@ -106,7 +106,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-6.129%"}, {"Sharpe Ratio", "-2.199"}, {"Sortino Ratio", "-2.305"}, - {"Probabilistic Sharpe Ratio", "5.175%"}, + {"Probabilistic Sharpe Ratio", "5.122%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm.cs index 6b733db4516b..a16e26d26cc5 100644 --- a/Algorithm.CSharp/ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ContinuousFutureOpenPositionsLiquidationOnDelistingRegressionAlgorithm.cs @@ -216,7 +216,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "7.017%"}, {"Sharpe Ratio", "3.872"}, {"Sortino Ratio", "134.511"}, - {"Probabilistic Sharpe Ratio", "99.843%"}, + {"Probabilistic Sharpe Ratio", "99.701%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs index 2177a8eb5c9a..c5bc90464928 100644 --- a/Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs @@ -201,7 +201,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "6.625%"}, {"Sharpe Ratio", "1.696"}, {"Sortino Ratio", "1.497"}, - {"Probabilistic Sharpe Ratio", "83.369%"}, + {"Probabilistic Sharpe Ratio", "77.443%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ConvertToFrameworkAlgorithm.cs b/Algorithm.CSharp/ConvertToFrameworkAlgorithm.cs index edda49ed114a..fdf7c1704008 100644 --- a/Algorithm.CSharp/ConvertToFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/ConvertToFrameworkAlgorithm.cs @@ -156,7 +156,7 @@ public override void OnData(Slice slice) {"Net Profit", "-29.446%"}, {"Sharpe Ratio", "-0.223"}, {"Sortino Ratio", "-0.243"}, - {"Probabilistic Sharpe Ratio", "0.001%"}, + {"Probabilistic Sharpe Ratio", "0.000%"}, {"Loss Rate", "56%"}, {"Win Rate", "44%"}, {"Profit-Loss Ratio", "1.15"}, diff --git a/Algorithm.CSharp/CustomBenchmarkAlgorithm.cs b/Algorithm.CSharp/CustomBenchmarkAlgorithm.cs index 2423bbc0972f..0e53909e25f3 100644 --- a/Algorithm.CSharp/CustomBenchmarkAlgorithm.cs +++ b/Algorithm.CSharp/CustomBenchmarkAlgorithm.cs @@ -105,7 +105,7 @@ public override void OnData(Slice slice) {"Net Profit", "1.694%"}, {"Sharpe Ratio", "8.863"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.609%"}, + {"Probabilistic Sharpe Ratio", "67.460%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomBenchmarkRegressionAlgorithm.cs b/Algorithm.CSharp/CustomBenchmarkRegressionAlgorithm.cs index f465ef500a09..5b2c96a9bf33 100644 --- a/Algorithm.CSharp/CustomBenchmarkRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomBenchmarkRegressionAlgorithm.cs @@ -102,7 +102,7 @@ public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, {"Net Profit", "0.382%"}, {"Sharpe Ratio", "5.446"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "60.047%"}, + {"Probabilistic Sharpe Ratio", "59.920%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomBrokerageModelRegressionAlgorithm.cs b/Algorithm.CSharp/CustomBrokerageModelRegressionAlgorithm.cs index 99843e3b9fda..8199e62adc5c 100644 --- a/Algorithm.CSharp/CustomBrokerageModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomBrokerageModelRegressionAlgorithm.cs @@ -161,7 +161,7 @@ public override bool CanUpdateOrder(Security security, Order order, UpdateOrderR {"Net Profit", "0.245%"}, {"Sharpe Ratio", "4.962"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "66.956%"}, + {"Probabilistic Sharpe Ratio", "65.933%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomBuyingPowerModelAlgorithm.cs b/Algorithm.CSharp/CustomBuyingPowerModelAlgorithm.cs index dada15309418..a643308745ac 100644 --- a/Algorithm.CSharp/CustomBuyingPowerModelAlgorithm.cs +++ b/Algorithm.CSharp/CustomBuyingPowerModelAlgorithm.cs @@ -129,7 +129,7 @@ public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParamete {"Net Profit", "38.619%"}, {"Sharpe Ratio", "14.322"}, {"Sortino Ratio", "26.701"}, - {"Probabilistic Sharpe Ratio", "75.756%"}, + {"Probabilistic Sharpe Ratio", "75.655%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs b/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs index cdc54b1de847..6d59e69d48dc 100644 --- a/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs @@ -138,7 +138,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-1.001%"}, {"Sharpe Ratio", "0.907"}, {"Sortino Ratio", "3.722"}, - {"Probabilistic Sharpe Ratio", "48.891%"}, + {"Probabilistic Sharpe Ratio", "48.665%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomDataRegressionAlgorithm.cs b/Algorithm.CSharp/CustomDataRegressionAlgorithm.cs index 73e50f597b8c..6d6618b809b0 100644 --- a/Algorithm.CSharp/CustomDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomDataRegressionAlgorithm.cs @@ -138,7 +138,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "9.685%"}, {"Sharpe Ratio", "238.834"}, {"Sortino Ratio", "945.079"}, - {"Probabilistic Sharpe Ratio", "81.660%"}, + {"Probabilistic Sharpe Ratio", "81.526%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomDataUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/CustomDataUniverseRegressionAlgorithm.cs index 7dd60375ca84..fd388b72dfc2 100644 --- a/Algorithm.CSharp/CustomDataUniverseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomDataUniverseRegressionAlgorithm.cs @@ -152,7 +152,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "-1.542%"}, {"Sharpe Ratio", "-4.343"}, {"Sortino Ratio", "-3.19"}, - {"Probabilistic Sharpe Ratio", "4.159%"}, + {"Probabilistic Sharpe Ratio", "3.833%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomDataUniverseScheduledRegressionAlgorithm.cs b/Algorithm.CSharp/CustomDataUniverseScheduledRegressionAlgorithm.cs index 851fffb61243..6f7350000551 100644 --- a/Algorithm.CSharp/CustomDataUniverseScheduledRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomDataUniverseScheduledRegressionAlgorithm.cs @@ -139,7 +139,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-2.335%"}, {"Sharpe Ratio", "-3.693"}, {"Sortino Ratio", "-2.881"}, - {"Probabilistic Sharpe Ratio", "6.625%"}, + {"Probabilistic Sharpe Ratio", "6.388%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs b/Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs index a7a991b0f2a5..15ff1927fc7b 100644 --- a/Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs @@ -147,7 +147,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.184%"}, {"Sharpe Ratio", "0.516"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "47.590%"}, + {"Probabilistic Sharpe Ratio", "47.412%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomMarginInterestRateModelAlgorithm.cs b/Algorithm.CSharp/CustomMarginInterestRateModelAlgorithm.cs index b87ef846e972..2b67ccad6788 100644 --- a/Algorithm.CSharp/CustomMarginInterestRateModelAlgorithm.cs +++ b/Algorithm.CSharp/CustomMarginInterestRateModelAlgorithm.cs @@ -144,7 +144,7 @@ public void ApplyMarginInterestRate(MarginInterestRateParameters marginInterestR {"Net Profit", "5.699%"}, {"Sharpe Ratio", "4.701"}, {"Sortino Ratio", "9.153"}, - {"Probabilistic Sharpe Ratio", "85.653%"}, + {"Probabilistic Sharpe Ratio", "85.015%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomModelsAlgorithm.cs b/Algorithm.CSharp/CustomModelsAlgorithm.cs index 4462ef035b3a..f1905572de20 100644 --- a/Algorithm.CSharp/CustomModelsAlgorithm.cs +++ b/Algorithm.CSharp/CustomModelsAlgorithm.cs @@ -302,7 +302,7 @@ public override OrderEvent LimitFill(Security asset, LimitOrder order) {"Net Profit", "-0.617%"}, {"Sharpe Ratio", "-1.441"}, {"Sortino Ratio", "-1.977"}, - {"Probabilistic Sharpe Ratio", "22.128%"}, + {"Probabilistic Sharpe Ratio", "20.329%"}, {"Loss Rate", "69%"}, {"Win Rate", "31%"}, {"Profit-Loss Ratio", "1.64"}, diff --git a/Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs b/Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs index 2c2c8c2360b8..a019ac79493f 100644 --- a/Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomOptionAssignmentRegressionAlgorithm.cs @@ -70,7 +70,7 @@ public override OptionAssignmentResult GetAssignment(OptionAssignmentParameters {"Net Profit", "-0.462%"}, {"Sharpe Ratio", "3.755"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.713%"}, + {"Probabilistic Sharpe Ratio", "67.784%"}, {"Loss Rate", "67%"}, {"Win Rate", "33%"}, {"Profit-Loss Ratio", "0.57"}, diff --git a/Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs b/Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs index cb57aea29042..8fa51466c84d 100644 --- a/Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomOptionExerciseModelRegressionAlgorithm.cs @@ -78,7 +78,7 @@ public override IEnumerable OptionExercise(Option option, OptionExer {"Net Profit", "157.114%"}, {"Sharpe Ratio", "107.743"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.713%"}, + {"Probabilistic Sharpe Ratio", "95.613%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomPartialFillModelAlgorithm.cs b/Algorithm.CSharp/CustomPartialFillModelAlgorithm.cs index de37c6f44252..4b7fe0690ece 100644 --- a/Algorithm.CSharp/CustomPartialFillModelAlgorithm.cs +++ b/Algorithm.CSharp/CustomPartialFillModelAlgorithm.cs @@ -147,7 +147,7 @@ public override OrderEvent MarketFill(Security asset, MarketOrder order) {"Net Profit", "0.613%"}, {"Sharpe Ratio", "-0.227"}, {"Sortino Ratio", "-0.24"}, - {"Probabilistic Sharpe Ratio", "64.126%"}, + {"Probabilistic Sharpe Ratio", "27.509%"}, {"Loss Rate", "42%"}, {"Win Rate", "58%"}, {"Profit-Loss Ratio", "1.47"}, diff --git a/Algorithm.CSharp/CustomPortfolioOptimizerRegressionAlgorithm.cs b/Algorithm.CSharp/CustomPortfolioOptimizerRegressionAlgorithm.cs index 27adcaa4288e..cd5d3f7a6a93 100644 --- a/Algorithm.CSharp/CustomPortfolioOptimizerRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomPortfolioOptimizerRegressionAlgorithm.cs @@ -57,7 +57,7 @@ public double[] Optimize(double[,] historicalReturns, double[] expectedReturns = {"Net Profit", "3.013%"}, {"Sharpe Ratio", "12.422"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "62.198%"}, + {"Probabilistic Sharpe Ratio", "62.141%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/CustomUniverseSelectionModelRegressionAlgorithm.cs b/Algorithm.CSharp/CustomUniverseSelectionModelRegressionAlgorithm.cs index 4026277e2a0c..0984299f5fdc 100644 --- a/Algorithm.CSharp/CustomUniverseSelectionModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/CustomUniverseSelectionModelRegressionAlgorithm.cs @@ -109,7 +109,7 @@ public override IEnumerable Select(QCAlgorithm algorithm, IEnumerable values) {"Net Profit", "153.075%"}, {"Sharpe Ratio", "1.05"}, {"Sortino Ratio", "1.078"}, - {"Probabilistic Sharpe Ratio", "56.405%"}, + {"Probabilistic Sharpe Ratio", "48.708%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/DividendRegressionAlgorithm.cs b/Algorithm.CSharp/DividendRegressionAlgorithm.cs index dfa8625f830f..531a4d63a0f4 100644 --- a/Algorithm.CSharp/DividendRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DividendRegressionAlgorithm.cs @@ -132,7 +132,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "20.462%"}, {"Sharpe Ratio", "-0.063"}, {"Sortino Ratio", "-0.078"}, - {"Probabilistic Sharpe Ratio", "0.462%"}, + {"Probabilistic Sharpe Ratio", "0.015%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/DropboxBaseDataUniverseSelectionAlgorithm.cs b/Algorithm.CSharp/DropboxBaseDataUniverseSelectionAlgorithm.cs index 8aa219c0cfab..6d82c1dab08e 100644 --- a/Algorithm.CSharp/DropboxBaseDataUniverseSelectionAlgorithm.cs +++ b/Algorithm.CSharp/DropboxBaseDataUniverseSelectionAlgorithm.cs @@ -229,7 +229,7 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date {"Net Profit", "15.563%"}, {"Sharpe Ratio", "0.844"}, {"Sortino Ratio", "0.788"}, - {"Probabilistic Sharpe Ratio", "48.632%"}, + {"Probabilistic Sharpe Ratio", "40.414%"}, {"Loss Rate", "46%"}, {"Win Rate", "54%"}, {"Profit-Loss Ratio", "0.98"}, diff --git a/Algorithm.CSharp/DropboxUniverseSelectionAlgorithm.cs b/Algorithm.CSharp/DropboxUniverseSelectionAlgorithm.cs index 01a871e5d40e..46f17b31b11b 100644 --- a/Algorithm.CSharp/DropboxUniverseSelectionAlgorithm.cs +++ b/Algorithm.CSharp/DropboxUniverseSelectionAlgorithm.cs @@ -187,7 +187,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "16.401%"}, {"Sharpe Ratio", "0.891"}, {"Sortino Ratio", "0.831"}, - {"Probabilistic Sharpe Ratio", "50.543%"}, + {"Probabilistic Sharpe Ratio", "42.279%"}, {"Loss Rate", "47%"}, {"Win Rate", "53%"}, {"Profit-Loss Ratio", "1.03"}, diff --git a/Algorithm.CSharp/DuplicateOptionAssignmentRegressionAlgorithm.cs b/Algorithm.CSharp/DuplicateOptionAssignmentRegressionAlgorithm.cs index ababd3677a6f..60d78822ddaf 100644 --- a/Algorithm.CSharp/DuplicateOptionAssignmentRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DuplicateOptionAssignmentRegressionAlgorithm.cs @@ -241,7 +241,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.730%"}, {"Sharpe Ratio", "2.317"}, {"Sortino Ratio", "5.211"}, - {"Probabilistic Sharpe Ratio", "61.993%"}, + {"Probabilistic Sharpe Ratio", "60.613%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/DynamicSecurityDataRegressionAlgorithm.cs b/Algorithm.CSharp/DynamicSecurityDataRegressionAlgorithm.cs index 604845104e41..f976e373ff93 100644 --- a/Algorithm.CSharp/DynamicSecurityDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/DynamicSecurityDataRegressionAlgorithm.cs @@ -126,7 +126,7 @@ public override void OnData(Slice slice) {"Net Profit", "-0.118%"}, {"Sharpe Ratio", "-2.151"}, {"Sortino Ratio", "-1.743"}, - {"Probabilistic Sharpe Ratio", "30.061%"}, + {"Probabilistic Sharpe Ratio", "27.257%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ETFConstituentsFrameworkAlgorithm.cs b/Algorithm.CSharp/ETFConstituentsFrameworkAlgorithm.cs index ac72c489c918..dd08173583d8 100644 --- a/Algorithm.CSharp/ETFConstituentsFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/ETFConstituentsFrameworkAlgorithm.cs @@ -91,7 +91,7 @@ private protected IEnumerable ETFConstituentsFilter(IEnumerable requests) {"Net Profit", "-3.500%"}, {"Sharpe Ratio", "-2.407"}, {"Sortino Ratio", "-5.131"}, - {"Probabilistic Sharpe Ratio", "18.859%"}, + {"Probabilistic Sharpe Ratio", "18.781%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/NoMinimumOrderMarginRegressionAlgorithm.cs b/Algorithm.CSharp/NoMinimumOrderMarginRegressionAlgorithm.cs index ca64300ba9b4..d3b5bfb3acc9 100644 --- a/Algorithm.CSharp/NoMinimumOrderMarginRegressionAlgorithm.cs +++ b/Algorithm.CSharp/NoMinimumOrderMarginRegressionAlgorithm.cs @@ -87,7 +87,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.421%"}, {"Sharpe Ratio", "5.45"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.350%"}, + {"Probabilistic Sharpe Ratio", "66.749%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "0.76"}, diff --git a/Algorithm.CSharp/NoUniverseSelectorRegressionAlgorithm.cs b/Algorithm.CSharp/NoUniverseSelectorRegressionAlgorithm.cs index d4ee06a6bfd0..f143d0a46f3c 100644 --- a/Algorithm.CSharp/NoUniverseSelectorRegressionAlgorithm.cs +++ b/Algorithm.CSharp/NoUniverseSelectorRegressionAlgorithm.cs @@ -113,7 +113,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "-1.550%"}, {"Sharpe Ratio", "-4.375"}, {"Sortino Ratio", "-3.048"}, - {"Probabilistic Sharpe Ratio", "2.821%"}, + {"Probabilistic Sharpe Ratio", "2.531%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/NullOptionAssignmentRegressionAlgorithm.cs b/Algorithm.CSharp/NullOptionAssignmentRegressionAlgorithm.cs index aa24e13b3123..18cb63d3fde2 100644 --- a/Algorithm.CSharp/NullOptionAssignmentRegressionAlgorithm.cs +++ b/Algorithm.CSharp/NullOptionAssignmentRegressionAlgorithm.cs @@ -56,7 +56,7 @@ public override void Initialize() {"Net Profit", "-0.462%"}, {"Sharpe Ratio", "-6.902"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.713%"}, + {"Probabilistic Sharpe Ratio", "24.882%"}, {"Loss Rate", "67%"}, {"Win Rate", "33%"}, {"Profit-Loss Ratio", "0.57"}, diff --git a/Algorithm.CSharp/ObjectStoreExampleAlgorithm.cs b/Algorithm.CSharp/ObjectStoreExampleAlgorithm.cs index ce3d2c31cb9a..2705515914ca 100644 --- a/Algorithm.CSharp/ObjectStoreExampleAlgorithm.cs +++ b/Algorithm.CSharp/ObjectStoreExampleAlgorithm.cs @@ -170,7 +170,7 @@ public override void OnData(Slice slice) {"Net Profit", "1.692%"}, {"Sharpe Ratio", "8.854"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.609%"}, + {"Probabilistic Sharpe Ratio", "67.459%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OnEndOfDayRegressionAlgorithm.cs b/Algorithm.CSharp/OnEndOfDayRegressionAlgorithm.cs index 856cf62e7f13..1a154d6efd16 100644 --- a/Algorithm.CSharp/OnEndOfDayRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OnEndOfDayRegressionAlgorithm.cs @@ -149,7 +149,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "2.295%"}, {"Sharpe Ratio", "15.661"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "78.483%"}, + {"Probabilistic Sharpe Ratio", "78.318%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs b/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs index 8622e8720b9d..bd46d9aec1d5 100644 --- a/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionAssignmentRegressionAlgorithm.cs @@ -120,7 +120,7 @@ public override void OnData(Slice slice) {"Net Profit", "-2.886%"}, {"Sharpe Ratio", "-7.473"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "1.125%"}, + {"Probabilistic Sharpe Ratio", "0.159%"}, {"Loss Rate", "75%"}, {"Win Rate", "25%"}, {"Profit-Loss Ratio", "0.57"}, diff --git a/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs b/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs index 53116d96fb5e..1a10e4912a88 100644 --- a/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionAssignmentStatisticsRegressionAlgorithm.cs @@ -289,7 +289,7 @@ private static bool AreEqual(decimal expected, decimal actual) {"Net Profit", "0.267%"}, {"Sharpe Ratio", "4.957"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "71.274%"}, + {"Probabilistic Sharpe Ratio", "70.276%"}, {"Loss Rate", "33%"}, {"Win Rate", "67%"}, {"Profit-Loss Ratio", "2.53"}, diff --git a/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs index bca3c938ae18..78045373c5cf 100644 --- a/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionChainedAndUniverseSelectionRegressionAlgorithm.cs @@ -125,7 +125,7 @@ public override DateTime GetNextRefreshTimeUtc() {"Net Profit", "0.007%"}, {"Sharpe Ratio", "-3.983"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "79.393%"}, + {"Probabilistic Sharpe Ratio", "32.788%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm.cs b/Algorithm.CSharp/OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm.cs index d4867599a759..4f49041491a7 100644 --- a/Algorithm.CSharp/OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm.cs @@ -140,7 +140,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "1.172%"}, {"Sharpe Ratio", "4.049"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "94.902%"}, + {"Probabilistic Sharpe Ratio", "81.227%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OptionOTMExpiryOrderHasZeroPriceRegressionAlgorithm.cs b/Algorithm.CSharp/OptionOTMExpiryOrderHasZeroPriceRegressionAlgorithm.cs index 4a0c6a701dfb..c5127ffb3013 100644 --- a/Algorithm.CSharp/OptionOTMExpiryOrderHasZeroPriceRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionOTMExpiryOrderHasZeroPriceRegressionAlgorithm.cs @@ -188,7 +188,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-3.851%"}, {"Sharpe Ratio", "-1.221"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "0.131%"}, + {"Probabilistic Sharpe Ratio", "0.006%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OptionRenameDailyRegressionAlgorithm.cs b/Algorithm.CSharp/OptionRenameDailyRegressionAlgorithm.cs index 198bb8098250..33c6e4a87ea6 100644 --- a/Algorithm.CSharp/OptionRenameDailyRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionRenameDailyRegressionAlgorithm.cs @@ -181,7 +181,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "-0.004%"}, {"Sharpe Ratio", "-9.76"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "32.662%"}, + {"Probabilistic Sharpe Ratio", "1.985%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs b/Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs index 180898b9cea5..d6d10a0e5794 100644 --- a/Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OptionRenameRegressionAlgorithm.cs @@ -169,7 +169,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "-0.006%"}, {"Sharpe Ratio", "-9.182"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "29.496%"}, + {"Probabilistic Sharpe Ratio", "4.391%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs b/Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs index 3018f93677e3..6ca24bf4ec2c 100644 --- a/Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs +++ b/Algorithm.CSharp/OptionShortCallMarginCallEventsAlgorithm.cs @@ -107,7 +107,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.208%"}, {"Sharpe Ratio", "5.427"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.221%"}, + {"Probabilistic Sharpe Ratio", "88.369%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs b/Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs index 5fb54088b678..3a335df74b59 100644 --- a/Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs @@ -109,7 +109,7 @@ private void PlaceTrade(string ticker) {"Net Profit", "1.716%"}, {"Sharpe Ratio", "11.391"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.016%"}, + {"Probabilistic Sharpe Ratio", "66.913%"}, {"Loss Rate", "38%"}, {"Win Rate", "62%"}, {"Profit-Loss Ratio", "0.93"}, diff --git a/Algorithm.CSharp/OrderTicketAssignmentDemoAlgorithm.cs b/Algorithm.CSharp/OrderTicketAssignmentDemoAlgorithm.cs index 066b0337d1c1..04d087127781 100644 --- a/Algorithm.CSharp/OrderTicketAssignmentDemoAlgorithm.cs +++ b/Algorithm.CSharp/OrderTicketAssignmentDemoAlgorithm.cs @@ -119,7 +119,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.046%"}, {"Sharpe Ratio", "4.618"}, {"Sortino Ratio", "13.697"}, - {"Probabilistic Sharpe Ratio", "73.517%"}, + {"Probabilistic Sharpe Ratio", "67.022%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/OrderTicketDemoAlgorithm.cs b/Algorithm.CSharp/OrderTicketDemoAlgorithm.cs index 2a5d04366847..ee958d62b17a 100644 --- a/Algorithm.CSharp/OrderTicketDemoAlgorithm.cs +++ b/Algorithm.CSharp/OrderTicketDemoAlgorithm.cs @@ -659,7 +659,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.710%"}, {"Sharpe Ratio", "12.469"}, {"Sortino Ratio", "429.347"}, - {"Probabilistic Sharpe Ratio", "99.495%"}, + {"Probabilistic Sharpe Ratio", "99.226%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.cs b/Algorithm.CSharp/PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.cs index 6263ec9d4619..8538dda82086 100644 --- a/Algorithm.CSharp/PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.cs +++ b/Algorithm.CSharp/PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.cs @@ -107,7 +107,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.295%"}, {"Sharpe Ratio", "4.205"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "61.706%"}, + {"Probabilistic Sharpe Ratio", "61.122%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "1.18"}, diff --git a/Algorithm.CSharp/PortfolioRebalanceOnCustomFuncRegressionAlgorithm.cs b/Algorithm.CSharp/PortfolioRebalanceOnCustomFuncRegressionAlgorithm.cs index 8bb360ec864b..b3038d46a744 100644 --- a/Algorithm.CSharp/PortfolioRebalanceOnCustomFuncRegressionAlgorithm.cs +++ b/Algorithm.CSharp/PortfolioRebalanceOnCustomFuncRegressionAlgorithm.cs @@ -151,7 +151,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "45.959%"}, {"Sharpe Ratio", "0.697"}, {"Sortino Ratio", "0.77"}, - {"Probabilistic Sharpe Ratio", "30.183%"}, + {"Probabilistic Sharpe Ratio", "24.141%"}, {"Loss Rate", "25%"}, {"Win Rate", "75%"}, {"Profit-Loss Ratio", "8.97"}, diff --git a/Algorithm.CSharp/PortfolioRebalanceOnDateRulesRegressionAlgorithm.cs b/Algorithm.CSharp/PortfolioRebalanceOnDateRulesRegressionAlgorithm.cs index afe036033d52..3f26a14f0e2c 100644 --- a/Algorithm.CSharp/PortfolioRebalanceOnDateRulesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/PortfolioRebalanceOnDateRulesRegressionAlgorithm.cs @@ -113,7 +113,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "22.745%"}, {"Sharpe Ratio", "0.535"}, {"Sortino Ratio", "0.625"}, - {"Probabilistic Sharpe Ratio", "23.534%"}, + {"Probabilistic Sharpe Ratio", "20.369%"}, {"Loss Rate", "24%"}, {"Win Rate", "76%"}, {"Profit-Loss Ratio", "1.98"}, diff --git a/Algorithm.CSharp/PortfolioRebalanceOnInsightChangesRegressionAlgorithm.cs b/Algorithm.CSharp/PortfolioRebalanceOnInsightChangesRegressionAlgorithm.cs index af216e290542..60d857171131 100644 --- a/Algorithm.CSharp/PortfolioRebalanceOnInsightChangesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/PortfolioRebalanceOnInsightChangesRegressionAlgorithm.cs @@ -117,7 +117,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "22.219%"}, {"Sharpe Ratio", "0.521"}, {"Sortino Ratio", "0.615"}, - {"Probabilistic Sharpe Ratio", "22.822%"}, + {"Probabilistic Sharpe Ratio", "19.735%"}, {"Loss Rate", "12%"}, {"Win Rate", "88%"}, {"Profit-Loss Ratio", "2.11"}, diff --git a/Algorithm.CSharp/PortfolioRebalanceOnSecurityChangesRegressionAlgorithm.cs b/Algorithm.CSharp/PortfolioRebalanceOnSecurityChangesRegressionAlgorithm.cs index 129d5163054c..4325eb5bd33b 100644 --- a/Algorithm.CSharp/PortfolioRebalanceOnSecurityChangesRegressionAlgorithm.cs +++ b/Algorithm.CSharp/PortfolioRebalanceOnSecurityChangesRegressionAlgorithm.cs @@ -136,7 +136,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "4.561%"}, {"Sharpe Ratio", "0.117"}, {"Sortino Ratio", "0.106"}, - {"Probabilistic Sharpe Ratio", "8.398%"}, + {"Probabilistic Sharpe Ratio", "6.672%"}, {"Loss Rate", "50%"}, {"Win Rate", "50%"}, {"Profit-Loss Ratio", "1.16"}, diff --git a/Algorithm.CSharp/PortfolioTargetTagsRegressionAlgorithm.cs b/Algorithm.CSharp/PortfolioTargetTagsRegressionAlgorithm.cs index 025f2876e038..a4c81ba4c45e 100644 --- a/Algorithm.CSharp/PortfolioTargetTagsRegressionAlgorithm.cs +++ b/Algorithm.CSharp/PortfolioTargetTagsRegressionAlgorithm.cs @@ -161,7 +161,7 @@ public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets) {"Net Profit", "1.655%"}, {"Sharpe Ratio", "8.472"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "66.840%"}, + {"Probabilistic Sharpe Ratio", "66.693%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/ProcessSplitSymbolsRegressionAlgorithm.cs b/Algorithm.CSharp/ProcessSplitSymbolsRegressionAlgorithm.cs index 1be6bc4b2db4..6c9bd9243e53 100644 --- a/Algorithm.CSharp/ProcessSplitSymbolsRegressionAlgorithm.cs +++ b/Algorithm.CSharp/ProcessSplitSymbolsRegressionAlgorithm.cs @@ -101,7 +101,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.728%"}, {"Sharpe Ratio", "6.14"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "71.723%"}, + {"Probabilistic Sharpe Ratio", "71.211%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RawDataRegressionAlgorithm.cs b/Algorithm.CSharp/RawDataRegressionAlgorithm.cs index 6d1c9393aa4c..050fce2971d7 100644 --- a/Algorithm.CSharp/RawDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RawDataRegressionAlgorithm.cs @@ -140,7 +140,7 @@ public override void OnData(Slice slice) {"Net Profit", "-6.946%"}, {"Sharpe Ratio", "-2.925"}, {"Sortino Ratio", "-2.881"}, - {"Probabilistic Sharpe Ratio", "3.662%"}, + {"Probabilistic Sharpe Ratio", "3.572%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs index cd4f4f8eea06..6cb645ce1521 100644 --- a/Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs @@ -119,7 +119,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "-2.547%"}, {"Sharpe Ratio", "-3.372"}, {"Sortino Ratio", "-3.889"}, - {"Probabilistic Sharpe Ratio", "10.352%"}, + {"Probabilistic Sharpe Ratio", "9.872%"}, {"Loss Rate", "63%"}, {"Win Rate", "37%"}, {"Profit-Loss Ratio", "0.75"}, diff --git a/Algorithm.CSharp/RegisterIndicatorAndConsolidatorWithoutSubscriptionRegressionAlgorithm.cs b/Algorithm.CSharp/RegisterIndicatorAndConsolidatorWithoutSubscriptionRegressionAlgorithm.cs index 96cc321a2066..df750af3c608 100644 --- a/Algorithm.CSharp/RegisterIndicatorAndConsolidatorWithoutSubscriptionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegisterIndicatorAndConsolidatorWithoutSubscriptionRegressionAlgorithm.cs @@ -175,7 +175,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.080%"}, {"Sharpe Ratio", "3.91"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "64.635%"}, + {"Probabilistic Sharpe Ratio", "62.503%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegisterIndicatorRegressionAlgorithm.cs b/Algorithm.CSharp/RegisterIndicatorRegressionAlgorithm.cs index e972576ae513..3b2d2128f079 100644 --- a/Algorithm.CSharp/RegisterIndicatorRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegisterIndicatorRegressionAlgorithm.cs @@ -188,7 +188,7 @@ protected override decimal ComputeNextValue(QuoteBar input) {"Net Profit", "9.332%"}, {"Sharpe Ratio", "157.927"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.713%"}, + {"Probabilistic Sharpe Ratio", "95.511%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs index 3cd4e9f43430..ee8e43656717 100644 --- a/Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs @@ -138,7 +138,7 @@ public override void OnData(Slice slice) {"Net Profit", "-0.015%"}, {"Sharpe Ratio", "-15.229"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "0.781%"}, + {"Probabilistic Sharpe Ratio", "0.000%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/CustomData/CustomDataIconicTypesAddDataRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/CustomData/CustomDataIconicTypesAddDataRegressionAlgorithm.cs index 94c8d650a0fa..a4b6f8794613 100644 --- a/Algorithm.CSharp/RegressionTests/CustomData/CustomDataIconicTypesAddDataRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/CustomData/CustomDataIconicTypesAddDataRegressionAlgorithm.cs @@ -136,7 +136,7 @@ public override void OnData(Slice slice) {"Net Profit", "0.383%"}, {"Sharpe Ratio", "2.947"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "56.825%"}, + {"Probabilistic Sharpe Ratio", "56.505%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/CustomData/CustomDataLinkedIconicTypeAddDataCoarseSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/CustomData/CustomDataLinkedIconicTypeAddDataCoarseSelectionRegressionAlgorithm.cs index 286bda81af43..29acde2ee9c8 100644 --- a/Algorithm.CSharp/RegressionTests/CustomData/CustomDataLinkedIconicTypeAddDataCoarseSelectionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/CustomData/CustomDataLinkedIconicTypeAddDataCoarseSelectionRegressionAlgorithm.cs @@ -125,7 +125,7 @@ public override void OnData(Slice slice) {"Net Profit", "-1.658%"}, {"Sharpe Ratio", "-4.844"}, {"Sortino Ratio", "-5.768"}, - {"Probabilistic Sharpe Ratio", "5.401%"}, + {"Probabilistic Sharpe Ratio", "4.986%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/CustomData/CustomDataLinkedIconicTypeAddDataOnSecuritiesChangedRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/CustomData/CustomDataLinkedIconicTypeAddDataOnSecuritiesChangedRegressionAlgorithm.cs index c19952466fb7..cdc8bb458a62 100644 --- a/Algorithm.CSharp/RegressionTests/CustomData/CustomDataLinkedIconicTypeAddDataOnSecuritiesChangedRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/CustomData/CustomDataLinkedIconicTypeAddDataOnSecuritiesChangedRegressionAlgorithm.cs @@ -130,7 +130,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "-1.658%"}, {"Sharpe Ratio", "-4.844"}, {"Sortino Ratio", "-5.768"}, - {"Probabilistic Sharpe Ratio", "5.401%"}, + {"Probabilistic Sharpe Ratio", "4.986%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs index 4b918fd42be9..d76a7beadff2 100644 --- a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs @@ -178,7 +178,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "3.893%"}, {"Sharpe Ratio", "1.291"}, {"Sortino Ratio", "1.876"}, - {"Probabilistic Sharpe Ratio", "53.929%"}, + {"Probabilistic Sharpe Ratio", "53.581%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseFilterFunctionRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseFilterFunctionRegressionAlgorithm.cs index d9d1fcdc45b8..5953ab4c889c 100644 --- a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseFilterFunctionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseFilterFunctionRegressionAlgorithm.cs @@ -222,7 +222,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.323%"}, {"Sharpe Ratio", "0.838"}, {"Sortino Ratio", "1.122"}, - {"Probabilistic Sharpe Ratio", "50.081%"}, + {"Probabilistic Sharpe Ratio", "46.747%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseFrameworkRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseFrameworkRegressionAlgorithm.cs index e26b9b931a84..138b19e47243 100644 --- a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseFrameworkRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseFrameworkRegressionAlgorithm.cs @@ -252,7 +252,7 @@ public void OnOrderEvent(QCAlgorithm algorithm, OrderEvent orderEvent) {"Net Profit", "0.485%"}, {"Sharpe Ratio", "1.055"}, {"Sortino Ratio", "1.53"}, - {"Probabilistic Sharpe Ratio", "53.609%"}, + {"Probabilistic Sharpe Ratio", "50.834%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseMappedCompositeRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseMappedCompositeRegressionAlgorithm.cs index 736c48767c7c..ff09911d521e 100644 --- a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseMappedCompositeRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseMappedCompositeRegressionAlgorithm.cs @@ -185,7 +185,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-1.743%"}, {"Sharpe Ratio", "-0.95"}, {"Sortino Ratio", "-0.832"}, - {"Probabilistic Sharpe Ratio", "17.000%"}, + {"Probabilistic Sharpe Ratio", "15.715%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseRSIAlphaModelAlgorithm.cs b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseRSIAlphaModelAlgorithm.cs index 60f91a6dc1b3..c68699f1aee9 100644 --- a/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseRSIAlphaModelAlgorithm.cs +++ b/Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseRSIAlphaModelAlgorithm.cs @@ -229,7 +229,7 @@ public SymbolData(Symbol symbol, QCAlgorithm algorithm, ETFConstituentUniverse c {"Net Profit", "0.535%"}, {"Sharpe Ratio", "1.377"}, {"Sortino Ratio", "1.963"}, - {"Probabilistic Sharpe Ratio", "60.081%"}, + {"Probabilistic Sharpe Ratio", "56.920%"}, {"Loss Rate", "63%"}, {"Win Rate", "37%"}, {"Profit-Loss Ratio", "1.83"}, diff --git a/Algorithm.CSharp/RestingMarketOrderFillsAtBarOpenRegressionAlgorithm.cs b/Algorithm.CSharp/RestingMarketOrderFillsAtBarOpenRegressionAlgorithm.cs index 4ead5eadd757..415108731285 100644 --- a/Algorithm.CSharp/RestingMarketOrderFillsAtBarOpenRegressionAlgorithm.cs +++ b/Algorithm.CSharp/RestingMarketOrderFillsAtBarOpenRegressionAlgorithm.cs @@ -193,7 +193,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.657%"}, {"Sharpe Ratio", "1.931"}, {"Sortino Ratio", "2.91"}, - {"Probabilistic Sharpe Ratio", "89.795%"}, + {"Probabilistic Sharpe Ratio", "70.540%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/RiskParityPortfolioAlgorithm.cs b/Algorithm.CSharp/RiskParityPortfolioAlgorithm.cs index 72bd9e91d9f1..ec7e61e0f6a2 100644 --- a/Algorithm.CSharp/RiskParityPortfolioAlgorithm.cs +++ b/Algorithm.CSharp/RiskParityPortfolioAlgorithm.cs @@ -83,7 +83,7 @@ public override void Initialize() {"Net Profit", "0.510%"}, {"Sharpe Ratio", "0.265"}, {"Sortino Ratio", "0.371"}, - {"Probabilistic Sharpe Ratio", "39.108%"}, + {"Probabilistic Sharpe Ratio", "38.927%"}, {"Loss Rate", "58%"}, {"Win Rate", "42%"}, {"Profit-Loss Ratio", "0.75"}, diff --git a/Algorithm.CSharp/RiskParityPortfolioWeightsCheckAlgorithm.cs b/Algorithm.CSharp/RiskParityPortfolioWeightsCheckAlgorithm.cs index 5ca923fef278..e3fa0b647554 100644 --- a/Algorithm.CSharp/RiskParityPortfolioWeightsCheckAlgorithm.cs +++ b/Algorithm.CSharp/RiskParityPortfolioWeightsCheckAlgorithm.cs @@ -122,7 +122,7 @@ protected override Dictionary DetermineTargetPercent(List statist {"Net Profit", "0.222%"}, {"Sharpe Ratio", "6.406"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "69.072%"}, + {"Probabilistic Sharpe Ratio", "68.575%"}, {"Loss Rate", "70%"}, {"Win Rate", "30%"}, {"Profit-Loss Ratio", "2.73"}, diff --git a/Algorithm.CSharp/StopLimitOrderRegressionAlgorithm.cs b/Algorithm.CSharp/StopLimitOrderRegressionAlgorithm.cs index a158e98a9991..ea0bf5e5ef37 100644 --- a/Algorithm.CSharp/StopLimitOrderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/StopLimitOrderRegressionAlgorithm.cs @@ -180,7 +180,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "1.278%"}, {"Sharpe Ratio", "-0.791"}, {"Sortino Ratio", "-0.433"}, - {"Probabilistic Sharpe Ratio", "4.702%"}, + {"Probabilistic Sharpe Ratio", "0.000%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/TimeInForceAlgorithm.cs b/Algorithm.CSharp/TimeInForceAlgorithm.cs index 6f18f8ca9fb7..1fa8ae8bbebe 100644 --- a/Algorithm.CSharp/TimeInForceAlgorithm.cs +++ b/Algorithm.CSharp/TimeInForceAlgorithm.cs @@ -176,7 +176,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.070%"}, {"Sharpe Ratio", "4.241"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.468%"}, + {"Probabilistic Sharpe Ratio", "63.999%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/TotalPortfolioValueRegressionAlgorithm.cs b/Algorithm.CSharp/TotalPortfolioValueRegressionAlgorithm.cs index b16825482d0d..b61dfaba3a8b 100644 --- a/Algorithm.CSharp/TotalPortfolioValueRegressionAlgorithm.cs +++ b/Algorithm.CSharp/TotalPortfolioValueRegressionAlgorithm.cs @@ -140,7 +140,7 @@ public override void OnData(Slice slice) {"Net Profit", "-5.186%"}, {"Sharpe Ratio", "0.439"}, {"Sortino Ratio", "0.44"}, - {"Probabilistic Sharpe Ratio", "23.379%"}, + {"Probabilistic Sharpe Ratio", "22.919%"}, {"Loss Rate", "46%"}, {"Win Rate", "54%"}, {"Profit-Loss Ratio", "0.86"}, diff --git a/Algorithm.CSharp/TradeStationBrokerageTradeWithOutsideRegularMarketHoursParameter.cs b/Algorithm.CSharp/TradeStationBrokerageTradeWithOutsideRegularMarketHoursParameter.cs index 7c2459432f5e..5ef6d9159e3b 100644 --- a/Algorithm.CSharp/TradeStationBrokerageTradeWithOutsideRegularMarketHoursParameter.cs +++ b/Algorithm.CSharp/TradeStationBrokerageTradeWithOutsideRegularMarketHoursParameter.cs @@ -111,7 +111,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "0.056%"}, {"Sharpe Ratio", "8.327"}, {"Sortino Ratio", "59.174"}, - {"Probabilistic Sharpe Ratio", "97.096%"}, + {"Probabilistic Sharpe Ratio", "85.314%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/TrailingStopOrderRegressionAlgorithm.cs b/Algorithm.CSharp/TrailingStopOrderRegressionAlgorithm.cs index 332015def485..cbbd17a1bd11 100644 --- a/Algorithm.CSharp/TrailingStopOrderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/TrailingStopOrderRegressionAlgorithm.cs @@ -180,7 +180,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.023%"}, {"Sharpe Ratio", "3.926"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "95.977%"}, + {"Probabilistic Sharpe Ratio", "66.249%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/TrailingStopRiskFrameworkRegressionAlgorithm.cs b/Algorithm.CSharp/TrailingStopRiskFrameworkRegressionAlgorithm.cs index c500bf767ffb..21d8c1fe69fe 100644 --- a/Algorithm.CSharp/TrailingStopRiskFrameworkRegressionAlgorithm.cs +++ b/Algorithm.CSharp/TrailingStopRiskFrameworkRegressionAlgorithm.cs @@ -53,7 +53,7 @@ public override void Initialize() { "Expectancy", "-1" }, { "Net Profit", "-0.407%" }, { "Sharpe Ratio", "-3.521"}, - { "Probabilistic Sharpe Ratio", "0.370%" }, + { "Probabilistic Sharpe Ratio", "0.003%" }, { "Loss Rate", "100%" }, { "Win Rate", "0%" }, { "Profit-Loss Ratio", "0" }, diff --git a/Algorithm.CSharp/UniverseSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/UniverseSelectionRegressionAlgorithm.cs index 2a123a33c17f..b5cfd0b0c422 100644 --- a/Algorithm.CSharp/UniverseSelectionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/UniverseSelectionRegressionAlgorithm.cs @@ -198,7 +198,7 @@ private void AssertQuantity(Security security, int expected) {"Net Profit", "-4.083%"}, {"Sharpe Ratio", "-2.753"}, {"Sortino Ratio", "-3.15"}, - {"Probabilistic Sharpe Ratio", "12.507%"}, + {"Probabilistic Sharpe Ratio", "12.292%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs b/Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs index aff4c7fb7d1c..9dace3069530 100644 --- a/Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs +++ b/Algorithm.CSharp/UniverseSelectionSymbolCacheRemovalRegressionTest.cs @@ -128,7 +128,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-0.221%"}, {"Sharpe Ratio", "-3.185"}, {"Sortino Ratio", "-4.277"}, - {"Probabilistic Sharpe Ratio", "17.836%"}, + {"Probabilistic Sharpe Ratio", "14.015%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/UniverseSharingSubscriptionRequestRegressionAlgorithm.cs b/Algorithm.CSharp/UniverseSharingSubscriptionRequestRegressionAlgorithm.cs index 32f4f20d69c4..69980c5fbb45 100644 --- a/Algorithm.CSharp/UniverseSharingSubscriptionRequestRegressionAlgorithm.cs +++ b/Algorithm.CSharp/UniverseSharingSubscriptionRequestRegressionAlgorithm.cs @@ -135,7 +135,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "2.128%"}, {"Sharpe Ratio", "4.345"}, {"Sortino Ratio", "7.134"}, - {"Probabilistic Sharpe Ratio", "91.767%"}, + {"Probabilistic Sharpe Ratio", "90.299%"}, {"Loss Rate", "0%"}, {"Win Rate", "100%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/UniverseSharingSubscriptionTradableRegressionAlgorithm.cs b/Algorithm.CSharp/UniverseSharingSubscriptionTradableRegressionAlgorithm.cs index 510a26f91332..fc33c8b21dd0 100644 --- a/Algorithm.CSharp/UniverseSharingSubscriptionTradableRegressionAlgorithm.cs +++ b/Algorithm.CSharp/UniverseSharingSubscriptionTradableRegressionAlgorithm.cs @@ -142,7 +142,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "5.106%"}, {"Sharpe Ratio", "5.253"}, {"Sortino Ratio", "11.491"}, - {"Probabilistic Sharpe Ratio", "88.500%"}, + {"Probabilistic Sharpe Ratio", "87.932%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/UniverseUnchangedRegressionAlgorithm.cs b/Algorithm.CSharp/UniverseUnchangedRegressionAlgorithm.cs index 58d491161fc9..e8a44a64375c 100644 --- a/Algorithm.CSharp/UniverseUnchangedRegressionAlgorithm.cs +++ b/Algorithm.CSharp/UniverseUnchangedRegressionAlgorithm.cs @@ -131,7 +131,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "-2.295%"}, {"Sharpe Ratio", "-3.77"}, {"Sortino Ratio", "-4.881"}, - {"Probabilistic Sharpe Ratio", "10.598%"}, + {"Probabilistic Sharpe Ratio", "10.272%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/UnregisterIndicatorRegressionAlgorithm.cs b/Algorithm.CSharp/UnregisterIndicatorRegressionAlgorithm.cs index 9cb6b234df46..10023087cebc 100644 --- a/Algorithm.CSharp/UnregisterIndicatorRegressionAlgorithm.cs +++ b/Algorithm.CSharp/UnregisterIndicatorRegressionAlgorithm.cs @@ -116,7 +116,7 @@ public override void OnData(Slice slice) {"Net Profit", "1.549%"}, {"Sharpe Ratio", "10.888"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "66.376%"}, + {"Probabilistic Sharpe Ratio", "66.276%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/UpdateOrderRegressionAlgorithm.cs b/Algorithm.CSharp/UpdateOrderRegressionAlgorithm.cs index f81d8a4130e4..09f7e670ef31 100644 --- a/Algorithm.CSharp/UpdateOrderRegressionAlgorithm.cs +++ b/Algorithm.CSharp/UpdateOrderRegressionAlgorithm.cs @@ -224,7 +224,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "-28.214%"}, {"Sharpe Ratio", "-1.107"}, {"Sortino Ratio", "-1.357"}, - {"Probabilistic Sharpe Ratio", "0.024%"}, + {"Probabilistic Sharpe Ratio", "0.015%"}, {"Loss Rate", "100%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/VolumeRenkoConsolidatorAlgorithm.cs b/Algorithm.CSharp/VolumeRenkoConsolidatorAlgorithm.cs index 6c10e5448903..38e7dfd261a5 100644 --- a/Algorithm.CSharp/VolumeRenkoConsolidatorAlgorithm.cs +++ b/Algorithm.CSharp/VolumeRenkoConsolidatorAlgorithm.cs @@ -147,7 +147,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "-0.840%"}, {"Sharpe Ratio", "-0.987"}, {"Sortino Ratio", "-7.639"}, - {"Probabilistic Sharpe Ratio", "41.344%"}, + {"Probabilistic Sharpe Ratio", "41.222%"}, {"Loss Rate", "87%"}, {"Win Rate", "13%"}, {"Profit-Loss Ratio", "5.05"}, diff --git a/Algorithm.CSharp/VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm.cs b/Algorithm.CSharp/VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm.cs index 7522e0f65283..11ac896e2eb3 100644 --- a/Algorithm.CSharp/VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm.cs +++ b/Algorithm.CSharp/VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm.cs @@ -101,7 +101,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "2.166%"}, {"Sharpe Ratio", "11.638"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "70.318%"}, + {"Probabilistic Sharpe Ratio", "70.184%"}, {"Loss Rate", "31%"}, {"Win Rate", "69%"}, {"Profit-Loss Ratio", "3.26"}, diff --git a/Algorithm.CSharp/WarmupIndicatorRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupIndicatorRegressionAlgorithm.cs index 6aef0f39b5b7..790a7dbedfe9 100644 --- a/Algorithm.CSharp/WarmupIndicatorRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupIndicatorRegressionAlgorithm.cs @@ -102,7 +102,7 @@ public override void OnData(Slice slice) {"Net Profit", "1.237%"}, {"Sharpe Ratio", "1.636"}, {"Sortino Ratio", "3.633"}, - {"Probabilistic Sharpe Ratio", "62.183%"}, + {"Probabilistic Sharpe Ratio", "59.456%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/WarmupLowerResolutionSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupLowerResolutionSelectionRegressionAlgorithm.cs index 9ed54dbd089f..0c3794418048 100644 --- a/Algorithm.CSharp/WarmupLowerResolutionSelectionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupLowerResolutionSelectionRegressionAlgorithm.cs @@ -135,7 +135,7 @@ public override void OnData(Slice slice) {"Net Profit", "-1.369%"}, {"Sharpe Ratio", "-0.749"}, {"Sortino Ratio", "-0.822"}, - {"Probabilistic Sharpe Ratio", "35.938%"}, + {"Probabilistic Sharpe Ratio", "35.295%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Algorithm.CSharp/WarmupSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/WarmupSelectionRegressionAlgorithm.cs index 79a7d3b8ffb9..13ccd1dbfe71 100644 --- a/Algorithm.CSharp/WarmupSelectionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WarmupSelectionRegressionAlgorithm.cs @@ -165,7 +165,7 @@ public override void OnOrderEvent(OrderEvent orderEvent) {"Net Profit", "0.374%"}, {"Sharpe Ratio", "1.048"}, {"Sortino Ratio", "1.627"}, - {"Probabilistic Sharpe Ratio", "50.929%"}, + {"Probabilistic Sharpe Ratio", "50.021%"}, {"Loss Rate", "67%"}, {"Win Rate", "33%"}, {"Profit-Loss Ratio", "4.81"}, diff --git a/Algorithm.CSharp/WeeklyUniverseSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/WeeklyUniverseSelectionRegressionAlgorithm.cs index ff2f84feb2f5..a754a46732ed 100644 --- a/Algorithm.CSharp/WeeklyUniverseSelectionRegressionAlgorithm.cs +++ b/Algorithm.CSharp/WeeklyUniverseSelectionRegressionAlgorithm.cs @@ -125,7 +125,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes) {"Net Profit", "-0.953%"}, {"Sharpe Ratio", "-1.559"}, {"Sortino Ratio", "-1.723"}, - {"Probabilistic Sharpe Ratio", "19.083%"}, + {"Probabilistic Sharpe Ratio", "17.675%"}, {"Loss Rate", "75%"}, {"Win Rate", "25%"}, {"Profit-Loss Ratio", "1.21"}, diff --git a/Algorithm.CSharp/YearlyUniverseSelectionScheduleRegressionAlgorithm.cs b/Algorithm.CSharp/YearlyUniverseSelectionScheduleRegressionAlgorithm.cs index 0570b76fda4f..32d8f6dea216 100644 --- a/Algorithm.CSharp/YearlyUniverseSelectionScheduleRegressionAlgorithm.cs +++ b/Algorithm.CSharp/YearlyUniverseSelectionScheduleRegressionAlgorithm.cs @@ -113,7 +113,7 @@ public override void OnEndOfAlgorithm() {"Net Profit", "0.532%"}, {"Sharpe Ratio", "0.28"}, {"Sortino Ratio", "0.283"}, - {"Probabilistic Sharpe Ratio", "39.422%"}, + {"Probabilistic Sharpe Ratio", "38.189%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Common/Statistics/PortfolioStatistics.cs b/Common/Statistics/PortfolioStatistics.cs index dd8498741759..ef036c86688e 100644 --- a/Common/Statistics/PortfolioStatistics.cs +++ b/Common/Statistics/PortfolioStatistics.cs @@ -309,7 +309,7 @@ public PortfolioStatistics( // deannualize a 1 sharpe ratio var benchmarkSharpeRatio = 1.0d / Math.Sqrt(tradingDaysPerYear); - ProbabilisticSharpeRatio = Statistics.ProbabilisticSharpeRatio(listPerformance, benchmarkSharpeRatio).SafeDecimalCast(); + ProbabilisticSharpeRatio = Statistics.ProbabilisticSharpeRatio(listPerformance, benchmarkSharpeRatio, (double)riskFreeRate / tradingDaysPerYear).SafeDecimalCast(); ValueAtRisk99 = GetValueAtRisk(listPerformance, tradingDaysPerYear, 0.99d); ValueAtRisk95 = GetValueAtRisk(listPerformance, tradingDaysPerYear, 0.95d); diff --git a/Common/Statistics/Statistics.cs b/Common/Statistics/Statistics.cs index da5813eb04f4..788fca27988f 100644 --- a/Common/Statistics/Statistics.cs +++ b/Common/Statistics/Statistics.cs @@ -195,11 +195,13 @@ public static double SortinoRatio(List algoPerformance, double riskFreeR /// /// The list of algorithm performance values /// The benchmark sharpe ratio to use + /// The risk free rate for each performance sample /// Probabilistic Sharpe Ratio public static double ProbabilisticSharpeRatio(List listPerformance, - double benchmarkSharpeRatio) + double benchmarkSharpeRatio, + double riskFreeRate = 0) { - var observedSharpeRatio = ObservedSharpeRatio(listPerformance); + var observedSharpeRatio = ObservedSharpeRatio(listPerformance, riskFreeRate); var skewness = listPerformance.Skewness(); var kurtosis = listPerformance.Kurtosis(); @@ -224,10 +226,11 @@ public static double ProbabilisticSharpeRatio(List listPerformance, /// Calculates the observed sharpe ratio /// /// The performance samples to use + /// The risk free rate for each performance sample /// The observed sharpe ratio - public static double ObservedSharpeRatio(List listPerformance) + public static double ObservedSharpeRatio(List listPerformance, double riskFreeRate = 0) { - var performanceAverage = listPerformance.Average(); + var performanceAverage = listPerformance.Average() - riskFreeRate; var standardDeviation = listPerformance.StandardDeviation(); // we don't annualize it return standardDeviation.IsNaNOrZero() ? 0 : performanceAverage / standardDeviation; diff --git a/Report/ReportElements/PSRReportElement.cs b/Report/ReportElements/PSRReportElement.cs index 3208aa1a615b..2e0e043b44c6 100644 --- a/Report/ReportElements/PSRReportElement.cs +++ b/Report/ReportElements/PSRReportElement.cs @@ -16,6 +16,7 @@ using System; using System.Linq; using Deedle; +using QuantConnect.Data; using QuantConnect.Packets; namespace QuantConnect.Report.ReportElements @@ -75,14 +76,17 @@ public override string Render() } var sixMonthsBefore = equityCurvePerformance.LastKey() - TimeSpan.FromDays(180); + var lastSixMonthsPerformance = equityCurvePerformance.Where(kvp => kvp.Key >= sixMonthsBefore); var benchmarkSharpeRatio = 1.0d / Math.Sqrt(_tradingDaysPerYear); + // Use the same excess-return basis as the reported PSR by subtracting the deannualized risk-free rate + var riskFreeRate = new InterestRateProvider().GetAverageRiskFreeRate(lastSixMonthsPerformance.Keys); psr = Statistics.Statistics.ProbabilisticSharpeRatio( - equityCurvePerformance - .Where(kvp => kvp.Key >= sixMonthsBefore) + lastSixMonthsPerformance .Values - .ToList(), - benchmarkSharpeRatio) + .ToList(), + benchmarkSharpeRatio, + (double)riskFreeRate / _tradingDaysPerYear) .SafeDecimalCast(); Result = psr; diff --git a/Tests/Common/Commands/CallbackCommandTests.cs b/Tests/Common/Commands/CallbackCommandTests.cs index dd0ae18b311e..4d74c4a7d262 100644 --- a/Tests/Common/Commands/CallbackCommandTests.cs +++ b/Tests/Common/Commands/CallbackCommandTests.cs @@ -97,7 +97,7 @@ public void CommanCallback(Language language) {"Net Profit", "0.003%"}, {"Sharpe Ratio", "-5.552"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "66.765%"}, + {"Probabilistic Sharpe Ratio", "20.550%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Tests/Common/Data/Fundamental/FundamentalUniverseSelectionModelTests.cs b/Tests/Common/Data/Fundamental/FundamentalUniverseSelectionModelTests.cs index ac81b133b086..9d7c4e7e7f50 100644 --- a/Tests/Common/Data/Fundamental/FundamentalUniverseSelectionModelTests.cs +++ b/Tests/Common/Data/Fundamental/FundamentalUniverseSelectionModelTests.cs @@ -35,7 +35,7 @@ public void PythonAlgorithmUsingCSharpSelection() {"Expectancy", "0"}, {"Net Profit", "-0.122%"}, {"Sharpe Ratio", "-5.568"}, - {"Probabilistic Sharpe Ratio", "11.594%"}, + {"Probabilistic Sharpe Ratio", "6.292%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Tests/Common/ExtendedDictionaryTests.cs b/Tests/Common/ExtendedDictionaryTests.cs index d494227181c7..dbd7de14dbb0 100644 --- a/Tests/Common/ExtendedDictionaryTests.cs +++ b/Tests/Common/ExtendedDictionaryTests.cs @@ -38,7 +38,7 @@ public void RunPythonDictionaryFeatureRegressionAlgorithm() {"Expectancy", "0"}, {"Net Profit", "1.940%"}, {"Sharpe Ratio", "10.771"}, - {"Probabilistic Sharpe Ratio", "66.098%"}, + {"Probabilistic Sharpe Ratio", "66.000%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Tests/Common/Packets/BacktestNodePacketTests.cs b/Tests/Common/Packets/BacktestNodePacketTests.cs index 41e904f79939..8278479e713e 100644 --- a/Tests/Common/Packets/BacktestNodePacketTests.cs +++ b/Tests/Common/Packets/BacktestNodePacketTests.cs @@ -182,7 +182,7 @@ public void InitialCashAmountIsRespected() {"Expectancy", "0"}, {"Net Profit", "4.487%"}, {"Sharpe Ratio", "17.306"}, - {"Probabilistic Sharpe Ratio", "96.835%"}, + {"Probabilistic Sharpe Ratio", "96.710%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, @@ -218,7 +218,7 @@ public void ClearsOtherCashAmounts() {"Expectancy", "0"}, {"Net Profit", "4.487%"}, {"Sharpe Ratio", "15.085"}, - {"Probabilistic Sharpe Ratio", "97.122%"}, + {"Probabilistic Sharpe Ratio", "96.987%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Tests/Common/Statistics/PortfolioStatisticsTests.cs b/Tests/Common/Statistics/PortfolioStatisticsTests.cs index c3288b19f228..628fb124fdea 100644 --- a/Tests/Common/Statistics/PortfolioStatisticsTests.cs +++ b/Tests/Common/Statistics/PortfolioStatisticsTests.cs @@ -88,6 +88,41 @@ public void ITMOptionAssignmentWithDifferentTradingDaysPerYearValue( Assert.AreEqual(expectedProbabilisticSharpeRatio, statistics.ProbabilisticSharpeRatio); } + [Test] + public void SharpeRatioAndProbabilisticSharpeRatioStayConsistent() + { + // A low-volatility asset with small positive daily returns + var start = new DateTime(2023, 1, 1); + var performance = new List(); + var equity = new SortedDictionary(); + var value = 1_000_000m; + var random = new Random(42); + for (var i = 0; i < 500; i++) + { + // Random daily return drawn from a normal distribution + var z = Math.Sqrt(-2.0 * Math.Log(1 - random.NextDouble())) * Math.Cos(2.0 * Math.PI * random.NextDouble()); + var dailyReturn = 0.00018 + 0.00016 * z; + performance.Add(dailyReturn); + value *= (decimal)(1 + dailyReturn); + equity[start.AddDays(i)] = value; + } + + PortfolioStatistics BuildStatistics(decimal riskFreeRate) => new PortfolioStatistics( + new SortedDictionary(), equity, new SortedDictionary(), + performance, performance, 1_000_000m, + new ConstantRiskFreeRateInterestRateModel(riskFreeRate), _tradingDaysPerYear); + + // Without a risk-free rate both the Sharpe ratio and the PSR are high + var grossStatistics = BuildStatistics(0m); + Assert.Greater(grossStatistics.SharpeRatio, 0m); + Assert.Greater(grossStatistics.ProbabilisticSharpeRatio, 0.5m); + + // A risk-free rate above the return turns the Sharpe ratio negative, and the PSR drops with it + var excessStatistics = BuildStatistics(0.068m); + Assert.Less(excessStatistics.SharpeRatio, 0m); + Assert.Less(excessStatistics.ProbabilisticSharpeRatio, 0.1m); + } + [Test] public void VaRMatchesExternalData() { diff --git a/Tests/Common/Statistics/ProbabilisticSharpeRatioTests.cs b/Tests/Common/Statistics/ProbabilisticSharpeRatioTests.cs index a184de5a11a7..e69a0183f49a 100644 --- a/Tests/Common/Statistics/ProbabilisticSharpeRatioTests.cs +++ b/Tests/Common/Statistics/ProbabilisticSharpeRatioTests.cs @@ -77,5 +77,34 @@ public void ZeroValues() Assert.AreEqual(0d, result, 0.001); } + + [Test] + public void UsesRiskFreeRateForObservedSharpeRatio() + { + // Gross returns clear the benchmark, so on a gross basis the PSR is high + var performance = new List { 0.01, 0.02, 0.01, 0, 0, 3 }; + var benchmarkSharpeRatio = 1.0d / System.Math.Sqrt(252); + + var grossResult = QuantConnect.Statistics.Statistics.ProbabilisticSharpeRatio(performance, benchmarkSharpeRatio); + // A per-sample risk free rate above the average return makes the excess return negative, + // so the PSR must collapse below the gross one + var excessReturnResult = QuantConnect.Statistics.Statistics.ProbabilisticSharpeRatio(performance, benchmarkSharpeRatio, 0.6); + + Assert.Greater(grossResult, 0.5d); + Assert.Less(excessReturnResult, 0.5d); + Assert.Greater(grossResult, excessReturnResult); + } + + [Test] + public void ObservedSharpeRatioSubtractsRiskFreeRate() + { + var performance = new List { 0.02, 0.04 }; + + // A risk free rate equal to the average return zeroes the excess observed sharpe ratio + Assert.AreEqual(0d, QuantConnect.Statistics.Statistics.ObservedSharpeRatio(performance, 0.03d), 1e-12); + // and it is strictly lower than the gross observed sharpe ratio + Assert.Greater(QuantConnect.Statistics.Statistics.ObservedSharpeRatio(performance), + QuantConnect.Statistics.Statistics.ObservedSharpeRatio(performance, 0.03d)); + } } } diff --git a/Tests/Engine/CustomBrokerageMessageHandlerTests.cs b/Tests/Engine/CustomBrokerageMessageHandlerTests.cs index 1fe95b8f0898..071510eae392 100644 --- a/Tests/Engine/CustomBrokerageMessageHandlerTests.cs +++ b/Tests/Engine/CustomBrokerageMessageHandlerTests.cs @@ -77,7 +77,7 @@ public void RunPartialCustomBrokerageMessageHandlerRegressionAlgorithm([Values(L {"Net Profit", "-0.157%"}, {"Sharpe Ratio", "-5.199"}, {"Sortino Ratio", "-6.546"}, - {"Probabilistic Sharpe Ratio", "24.692%"}, + {"Probabilistic Sharpe Ratio", "22.824%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, @@ -120,7 +120,7 @@ public void RunCustomBrokerageMessageHandlerRegressionAlgorithm([Values(Language {"Net Profit", "-0.157%"}, {"Sharpe Ratio", "-5.199"}, {"Sortino Ratio", "-6.546"}, - {"Probabilistic Sharpe Ratio", "24.692%"}, + {"Probabilistic Sharpe Ratio", "22.824%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Tests/Python/DataConsolidatorPythonWrapperTests.cs b/Tests/Python/DataConsolidatorPythonWrapperTests.cs index 91789712d556..cb91e6506f52 100644 --- a/Tests/Python/DataConsolidatorPythonWrapperTests.cs +++ b/Tests/Python/DataConsolidatorPythonWrapperTests.cs @@ -180,7 +180,7 @@ public void RunRegressionAlgorithm() {"Expectancy", "4.239"}, {"Net Profit", "1.203%"}, {"Sharpe Ratio", "7.908"}, - {"Probabilistic Sharpe Ratio", "95.063%"}, + {"Probabilistic Sharpe Ratio", "94.373%"}, {"Loss Rate", "62%"}, {"Win Rate", "38%"}, {"Profit-Loss Ratio", "12.97"}, diff --git a/Tests/Python/PythonSliceGetByTypeTest.cs b/Tests/Python/PythonSliceGetByTypeTest.cs index 3bfa68b4e560..ad43d772f727 100644 --- a/Tests/Python/PythonSliceGetByTypeTest.cs +++ b/Tests/Python/PythonSliceGetByTypeTest.cs @@ -35,7 +35,7 @@ public void RunPythonSliceGetByTypeRegressionAlgorithm() {"Expectancy", "0"}, {"Net Profit", "1.736%"}, {"Sharpe Ratio", "8.86"}, - {"Probabilistic Sharpe Ratio", "67.609%"}, + {"Probabilistic Sharpe Ratio", "67.459%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, diff --git a/Tests/Python/PythonWrapperTests.cs b/Tests/Python/PythonWrapperTests.cs index 5d231318d6a8..88ffb01cf84e 100644 --- a/Tests/Python/PythonWrapperTests.cs +++ b/Tests/Python/PythonWrapperTests.cs @@ -72,7 +72,7 @@ public void SettlementModelPythonWrapperWorks() {"Net Profit", "1.010%"}, {"Sharpe Ratio", "-5.989"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "1.216%"}, + {"Probabilistic Sharpe Ratio", "1.011%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, @@ -150,7 +150,7 @@ public void PEP8StyleAlgorithmsImplementationsWork() {"Net Profit", "1.692%"}, {"Sharpe Ratio", "8.854"}, {"Sortino Ratio", "0"}, - {"Probabilistic Sharpe Ratio", "67.609%"}, + {"Probabilistic Sharpe Ratio", "67.459%"}, {"Loss Rate", "0%"}, {"Win Rate", "0%"}, {"Profit-Loss Ratio", "0"}, @@ -190,7 +190,7 @@ public void PEP8StyleCustomModelsWork() {"Net Profit", "-0.617%"}, {"Sharpe Ratio", "-1.441"}, {"Sortino Ratio", "-1.977"}, - {"Probabilistic Sharpe Ratio", "22.128%"}, + {"Probabilistic Sharpe Ratio", "20.329%"}, {"Loss Rate", "69%"}, {"Win Rate", "31%"}, {"Profit-Loss Ratio", "1.64"},