/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System.Linq;
using System.Collections.Generic;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Interfaces;
using QuantConnect.Data.UniverseSelection;

namespace QuantConnect.Algorithm.CSharp
{
    public class BlackLittermanPortfolioOptimizationFrameworkAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private IEnumerable<Symbol> _symbols = (new string[] { "AIG", "BAC", "IBM", "SPY" }).Select(s => QuantConnect.Symbol.Create(s, SecurityType.Equity, Market.USA));

        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            // Set requested data resolution
            UniverseSettings.Resolution = Resolution.Minute;

            // Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
            // Commented so regression algorithm is more sensitive
            //Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;

            SetStartDate(2013, 10, 07);  //Set Start Date
            SetEndDate(2013, 10, 11);    //Set End Date
            SetCash(100000);             //Set Strategy Cash

            // Find more symbols here: http://quantconnect.com/data
            // Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
            // Futures Resolution: Tick, Second, Minute
            // Options Resolution: Minute Only.

            var optimizer = new UnconstrainedMeanVariancePortfolioOptimizer();

            // set algorithm framework models
            SetUniverseSelection(new CoarseFundamentalUniverseSelectionModel(CoarseSelector));
            SetAlpha(new HistoricalReturnsAlphaModel(resolution: Resolution.Daily));
            SetPortfolioConstruction(new BlackLittermanOptimizationPortfolioConstructionModel(optimizer: optimizer));
            SetExecution(new ImmediateExecutionModel());
            SetRiskManagement(new NullRiskManagementModel());
        }

        public IEnumerable<Symbol> CoarseSelector(IEnumerable<CoarseFundamental> coarse)
        {
            int last = Time.Day > 8 ? 3 : _symbols.Count();
            return _symbols.Take(last);
        }

        public bool CanRunLocally => true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 14082;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 256;

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Orders", "22"},
            {"Average Win", "0.00%"},
            {"Average Loss", "-0.14%"},
            {"Compounding Annual Return", "71.152%"},
            {"Drawdown", "1.100%"},
            {"Expectancy", "-0.797"},
            {"Start Equity", "100000"},
            {"End Equity", "100738.86"},
            {"Net Profit", "0.739%"},
            {"Sharpe Ratio", "4.46"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "60.106%"},
            {"Loss Rate", "80%"},
            {"Win Rate", "20%"},
            {"Profit-Loss Ratio", "0.02"},
            {"Alpha", "-0.552"},
            {"Beta", "0.579"},
            {"Annual Standard Deviation", "0.133"},
            {"Annual Variance", "0.018"},
            {"Information Ratio", "-13.953"},
            {"Tracking Error", "0.099"},
            {"Treynor Ratio", "1.024"},
            {"Total Fees", "$46.24"},
            {"Estimated Strategy Capacity", "$2600000.00"},
            {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
            {"Portfolio Turnover", "69.06%"},
            {"Drawdown Recovery", "2"},
            {"OrderListHash", "44a85134cd1c91c9720549bc0e007f80"}
        };
    }
}