Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 93.225% Drawdown 1.100% Expectancy 0 Net Profit 0.846% Sharpe Ratio 6.514 Probabilistic Sharpe Ratio 67.535% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.265 Beta 0.496 Annual Standard Deviation 0.11 Annual Variance 0.012 Information Ratio -11.27 Tracking Error 0.112 Treynor Ratio 1.45 Total Fees $1.77 Estimated Strategy Capacity $87000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class BasicTemplateAlgorithm : QCAlgorithm { private Symbol _spy = QuantConnect.Symbol.Create("SPY", 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() { SetStartDate(2013, 10, 07); //Set Start Date SetEndDate(2013, 10, 11); //Set End Date SetCash(100000); //Set Strategy Cash AddEquity("SPY", Resolution.Minute); } public override void OnData(Slice data) { if (!Portfolio.Invested) { Debug(Portfolio[_spy].Quantity); SetHoldings(_spy, 0.5); Debug(Portfolio[_spy].Quantity); } } } }