| Overall Statistics |
|
Total Trades 4781 Average Win 0.10% Average Loss -0.15% Compounding Annual Return -4.133% Drawdown 29.700% Expectancy -0.042 Net Profit -13.768% Sharpe Ratio -0.068 Probabilistic Sharpe Ratio 0.806% Loss Rate 41% Win Rate 59% Profit-Loss Ratio 0.63 Alpha 0.058 Beta -0.484 Annual Standard Deviation 0.182 Annual Variance 0.033 Information Ratio -0.512 Tracking Error 0.307 Treynor Ratio 0.026 Total Fees $5172.01 Estimated Strategy Capacity $71000000.00 Lowest Capacity Asset MMM R735QTJ8XC9X |
namespace QuantConnect.Algorithm.CSharp
{
public class DeterminedFluorescentYellowDinosaur : QCAlgorithm
{
public override void Initialize()
{
SetStartDate(2018, 5, 18); //Set Start Date
SetCash(100000); //Set Strategy Cash
// AddEquity("SPY", Resolution.Minute);
SetAlpha(new HistoricalReturnsAlphaModel(30, Resolution.Daily));
SetExecution(new ImmediateExecutionModel());
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(dt => null));
SetRiskManagement(new MaximumDrawdownPercentPortfolio());
UniverseSettings.Resolution = Resolution.Daily;
var tickers = new[] {"IBM", "AAPL", "MSFT", "GE", "JNJ", "AA", "MMM"};
var symbols = tickers.Select(t => QuantConnect.Symbol.Create(t, SecurityType.Equity, Market.USA));
SetUniverseSelection( new ManualUniverseSelectionModel(symbols) );
DebugMode = true;
}
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// Slice object keyed by symbol containing the stock data
public override void OnData(Slice data)
{
// if (!Portfolio.Invested)
// {
// SetHoldings("SPY", 1);
// Debug("Purchased Stock");
//}
}
}
}