Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 15.654% Drawdown 5.600% Expectancy 0 Net Profit 0% Sharpe Ratio 1.344 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.099 Beta 0.031 Annual Standard Deviation 0.077 Annual Variance 0.006 Information Ratio -0.277 Tracking Error 0.117 Treynor Ratio 3.369 |
namespace QuantConnect { /// <summary> /// Custom Data Type: Bitcoin data from Quandl. /// http://www.quandl.com/help/api-for-bitcoin-data /// </summary> public class Bitcoin : BaseData { //Set the defaults: public decimal Open = 0; public decimal High = 0; public decimal Low = 0; public decimal Close = 0; public decimal VolumeBTC = 0; public decimal VolumeUSD = 0; public decimal WeightedPrice = 0; /// <summary> /// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor. /// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory". /// </summary> public Bitcoin() { this.Symbol = "BTC"; } /// <summary> /// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA: /// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year. /// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file. /// </summary> /// <param name="config">Subscription data, symbol name, data type</param> /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param> /// <param name="datafeed">Datafeed type: Backtesting or the Live data broker who will provide live data. You can specify a different source for live trading! </param> /// <returns>string URL end point.</returns> public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed) { switch (datafeed) { //Backtesting Data Source: Example of a data source which varies by day (commented out) default: case DataFeedEndpoint.Backtesting: //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 "http://www.quandl.com/api/v1/datasets/BITCOIN/BITSTAMPUSD.csv?sort_order=asc"; case DataFeedEndpoint.LiveTrading: //Alternative live socket data source for live trading return "...."; } } /// <summary> /// 3. READER METHOD: Read 1 line from data source and convert it into Object. /// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line /// feeds it into your algorithm /// </summary> /// <param name="line">string line from the data source file submitted above</param> /// <param name="config">Subscription data, symbol name, data type</param> /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param> /// <param name="datafeed">Datafeed type - Backtesting or LiveTrading</param> /// <returns>New Bitcoin Object which extends BaseData.</returns> public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed) { //New Bitcoin object Bitcoin coin = new Bitcoin(); try { //Example File Format: //Date, Open High Low Close Volume (BTC) Volume (Currency) Weighted Price //2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356 string[] data = line.Split(','); coin.Time = DateTime.Parse(data[0]); coin.Open = Convert.ToDecimal(data[1]); coin.High = Convert.ToDecimal(data[2]); coin.Low = Convert.ToDecimal(data[3]); coin.Close = Convert.ToDecimal(data[4]); coin.VolumeBTC = Convert.ToDecimal(data[5]); coin.VolumeUSD = Convert.ToDecimal(data[6]); coin.WeightedPrice = Convert.ToDecimal(data[7]); coin.Symbol = "BTC"; coin.Value = coin.Close; } catch { /* Do nothing, skip first title row */ } return coin; } } }
using QuantConnect.Data.Consolidators; namespace QuantConnect { /* * QuantConnect University: Bollinger Bands Example: */ public class IndicatorSuiteAlgorithm : QCAlgorithm { string _symbol = "SPY"; string _customSymbol = "BTC"; BollingerBands _bb; RelativeStrengthIndex _rsi; AverageTrueRange _atr; ExponentialMovingAverage _ema; SimpleMovingAverage _sma; MovingAverageConvergenceDivergence _macd; AroonOscillator _aroon; Momentum _mom; StandardDeviation _std; //RSI Custom Data: RelativeStrengthIndex _rsiCustom; decimal _price; //Initialize the data and resolution you require for your strategy: public override void Initialize() { //Initialize SetStartDate(2013, 1, 1); SetEndDate(2014, 12, 31); SetCash(25000); //Add as many securities as you like. All the data will be passed into the event handler: AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute); //Add the Custom Data: AddData<Bitcoin>("BTC"); //Set up Indicators: _bb = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily); _rsi = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily); _atr = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily); _ema = EMA(_symbol, 14, Resolution.Daily); _sma = SMA(_symbol, 14, Resolution.Daily); _macd = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily); _aroon = AROON(_symbol, 20, Resolution.Daily); _mom = MOM(_symbol, 20, Resolution.Daily); _std = STD(_symbol, 20, Resolution.Daily); //Custom Data Indicator: //1. Manually create instance of indicator class _rsiCustom = new RelativeStrengthIndex(_customSymbol, 14); //2. Create a "consolidator". If you don't need one use "IdentityDataConsolidator" which means "pass data through". var bitcoinIdentityConsolidator = new IdentityDataConsolidator<Bitcoin>(); //3. Manually Register Indicator to receive updates (using data.Value to generate indicator). RegisterIndicator("BTC", _rsiCustom, bitcoinIdentityConsolidator, x => x.Value); //Note: If you want you could manually update the indicator class values with _rsiCustom.Update(): } //Custom data event handler: public void OnData(Bitcoin data) { // } public void OnData(TradeBars data) { if (!_bb.IsReady || !_rsi.IsReady) return; _price = data["SPY"].Close; if (!Portfolio.HoldStock) { int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close); //Order function places trades: enter the string symbol and the quantity you want: Order(_symbol, quantity); //Debug sends messages to the user console: "Time" is the algorithm time keeper object Debug("Purchased SPY on " + Time.ToShortDateString()); } } // Fire plotting events once per day: public override void OnEndOfDay() { if (!_bb.IsReady) return; Plot("BB", "Price", _price); Plot("BB", _bb.UpperBand, _bb.MiddleBand, _bb.LowerBand); Plot("RSI", _rsi); //Custom data indicator Plot("RSI-BTC", _rsiCustom); Plot("ATR", _atr); //Plot("STD", _std); Plot("AROON", _aroon.AroonUp, _aroon.AroonDown); // Plot("MOM", _mom); // Plot("MACD", "Price", _price); // Plot("MACD", _macd.Fast, _macd.Slow); // Plot("Averages", _ema, _sma); } } }