Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 11.552% Drawdown 12.500% Expectancy 0 Net Profit 0% Sharpe Ratio 0.955 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.114 Beta 0.009 Annual Standard Deviation 0.121 Annual Variance 0.015 Information Ratio 0.01 Tracking Error 0.17 Treynor Ratio 12.138 Total Fees $1.00 |
namespace QuantConnect { public class BasicTemplateAlgorithm : QCAlgorithm { public override void Initialize() { SetStartDate(2013, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); SetCash(25000); AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute); } public void OnData(TradeBars data) { if (!Portfolio.HoldStock) { int quantity = (int)Math.Floor(Portfolio.Cash / data["SPY"].Close); Order("SPY", quantity); Debug("Purchased SPY on " + Time.ToShortDateString()); } } public override void OnOrderEvent(OrderEvent orderevent) { if(orderevent.Status==OrderStatus.Filled) Log(orderevent.ToString()); } } }