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Merged
JosueNina merged 2 commits into from
Jun 24, 2026
+45 −55
Merged

Make CustomDataPropertiesRegressionAlgorithm deterministic #9559

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bd0dfda
Use local data source in CustomDataPropertiesRegressionAlgorithm
JosueNina Jun 23, 2026
499aa24
Use crypto data source instead of equity
JosueNina Jun 23, 2026
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68 changes: 32 additions & 36 deletions Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@
using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using Newtonsoft.Json;
using QuantConnect.Data;
using QuantConnect.Interfaces;
Expand All @@ -40,8 +41,8 @@ public class CustomDataPropertiesRegressionAlgorithm : QCAlgorithm, IRegressionA
/// </summary>
public override void Initialize()
{
SetStartDate(2020, 01, 05);
SetEndDate(2020, 01, 10);
SetStartDate(2018, 04, 05);
SetEndDate(2018, 04, 10);

//Set the cash for the strategy:
SetCash(100000);
Expand Down Expand Up @@ -109,7 +110,7 @@ public override void OnEndOfAlgorithm()
/// <summary>
/// Data Points count of all timeslices of algorithm
/// </summary>
public long DataPoints => 57;
public long DataPoints => 50;

/// <summary>
/// Data Points count of the algorithm history
Expand All @@ -129,31 +130,31 @@ public override void OnEndOfAlgorithm()
{"Total Orders", "1"},
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "34781.071%"},
{"Drawdown", "4.300%"},
{"Compounding Annual Return", "-45.767%"},
{"Drawdown", "4.000%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "110102.2"},
{"Net Profit", "10.102%"},
{"Sharpe Ratio", "283.719"},
{"Sortino Ratio", "1123.876"},
{"Probabilistic Sharpe Ratio", "81.716%"},
{"End Equity", "98999.21"},
{"Net Profit", "-1.001%"},
{"Sharpe Ratio", "0.907"},
{"Sortino Ratio", "3.722"},
{"Probabilistic Sharpe Ratio", "48.891%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "184.11"},
{"Beta", "-6.241"},
{"Annual Standard Deviation", "0.635"},
{"Annual Variance", "0.403"},
{"Information Ratio", "260.511"},
{"Tracking Error", "0.689"},
{"Treynor Ratio", "-28.849"},
{"Alpha", "0.514"},
{"Beta", "0.649"},
{"Annual Standard Deviation", "0.5"},
{"Annual Variance", "0.25"},
{"Information Ratio", "1.127"},
{"Tracking Error", "0.485"},
{"Treynor Ratio", "0.699"},
{"Total Fees", "$0.00"},
{"Estimated Strategy Capacity", "$0"},
{"Lowest Capacity Asset", "BTC.Bitcoin 2S"},
{"Portfolio Turnover", "16.73%"},
{"Portfolio Turnover", "16.93%"},
{"Drawdown Recovery", "2"},
{"OrderListHash", "b890a8e73bf118e943ad2f2e712f12d0"}
{"OrderListHash", "b9aecea6ebe672324d20a389ac004b1e"}
};

/// <summary>
Expand Down Expand Up @@ -216,12 +217,9 @@ public override SubscriptionDataSource GetSource(SubscriptionDataConfig config,
return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
}

//return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
// OR simply return a fixed small data file. Large files will slow down your backtest
return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/nasdaq/api/v3/datatables/QDL/BITFINEX.csv?code=BTCUSD&api_key=WyAazVXnq7ATy_fefTqm")
{
Sort = true
};
// Read from a local data file so the test is deterministic instead of depending on a remote source
var source = Path.Combine(Globals.DataFolder, "crypto", "coinbase", "daily", "btcusd_trade.zip");
return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
}

/// <summary>
Expand Down Expand Up @@ -251,24 +249,22 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date
return coin;
}

//Example Line Format:
// code date high low mid last bid ask volume
// BTCUSD 2024-10-08 63248.0 61940.0 62246.5 62245.0 62246.0 62247.0 5.929230648356
// Example Line Format:
// date open high low close volume
// 20180405 00:00 6791.68 6933.11 6568.64 6785.85 13832.668772
try
{
string[] data = line.Split(',');
coin.Time = DateTime.Parse(data[1], CultureInfo.InvariantCulture);
var data = line.Split(',');
coin.Time = DateTime.ParseExact(data[0], "yyyyMMdd HH:mm", CultureInfo.InvariantCulture);
coin.EndTime = coin.Time.AddDays(1);
coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
coin.Mid = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
coin.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
coin.Bid = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
coin.Ask = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
coin.VolumeBTC = Convert.ToDecimal(data[8], CultureInfo.InvariantCulture);
coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
coin.Value = coin.Close;
}
catch { /* Do nothing, skip first title row */ }
catch { /* Do nothing, skip malformed rows */ }

return coin;
}
Expand Down
32 changes: 13 additions & 19 deletions Algorithm.Python/CustomDataPropertiesRegressionAlgorithm.py
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Original file line number Diff line number Diff line change
Expand Up @@ -25,8 +25,8 @@
class CustomDataPropertiesRegressionAlgorithm(QCAlgorithm):

def initialize(self) -> None:
self.set_start_date(2020, 1, 5) # Set Start Date
self.set_end_date(2020, 1, 10) # Set End Date
self.set_start_date(2018, 4, 5) # Set Start Date
self.set_end_date(2018, 4, 10) # Set End Date
self.set_cash(100000) # Set Strategy Cash

# Define our custom data properties and exchange hours
Expand Down Expand Up @@ -67,11 +67,9 @@ def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mod
if is_live_mode:
return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.REST)

#return "http://my-ftp-server.com/futures-data-" + date.to_string("Ymd") + ".zip"
# OR simply return a fixed small data file. Large files will slow down your backtest
subscription = SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/nasdaq/api/v3/datatables/QDL/BITFINEX.csv?code=BTCUSD&api_key=WyAazVXnq7ATy_fefTqm")
subscription.sort = True
return subscription
# Read from a local data file so the test is deterministic instead of depending on a remote source
source = f"{Globals.data_folder}/crypto/coinbase/daily/btcusd_trade.zip"
return SubscriptionDataSource(source, SubscriptionTransportMedium.LOCAL_FILE, FileFormat.CSV)

def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> DynamicData:
coin = Bitcoin()
Expand Down Expand Up @@ -103,24 +101,20 @@ def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_l
return coin

# Example Line Format:
#code date high low mid last bid ask volume
#BTCUSD 2024-10-08 63248.0 61940.0 62246.5 62245.0 62246.0 62247.0 5.929230648356
if not (line.strip() and line[7].isdigit()): return coin

# date open high low close volume
# 20180405 00:00 6791.68 6933.11 6568.64 6785.85 13832.668772
try:
data = line.split(',')
coin.time = datetime.strptime(data[1], "%Y-%m-%d")
coin.time = datetime.strptime(data[0], "%Y%m%d %H:%M")
coin.end_time = coin.time + timedelta(1)
coin.value = float(data[5])
coin.value = float(data[4])
coin["Open"] = float(data[1])
coin["High"] = float(data[2])
coin["Low"] = float(data[3])
coin["Mid"] = float(data[4])
coin["Close"] = float(data[5])
coin["Bid"] = float(data[6])
coin["Ask"] = float(data[7])
coin["VolumeBTC"] = float(data[8])
coin["Close"] = float(data[4])
coin["VolumeBTC"] = float(data[5])
return coin

except ValueError:
# Do nothing, possible error in json decoding
# Do nothing, skip malformed rows
return coin
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