Overall Statistics |
Total Trades 248 Average Win 0.00% Average Loss 0.00% Compounding Annual Return 0.391% Drawdown 0.100% Expectancy 7.648 Net Profit 0.391% Sharpe Ratio 1.44 Loss Rate 24% Win Rate 76% Profit-Loss Ratio 10.44 Alpha 0.003 Beta 0.011 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio -0.003 Tracking Error 0.141 Treynor Ratio 0.29 Total Fees $248.00 |
namespace QuantConnect { public class FUB_MissingTrades : QCAlgorithm { List<string> _symbols = new List<string>() {"AAPL", "AMZN" /*, "NFLX", "TSLA"*/}; //---------------------------------------------------------------------- // Initialize the data and resolution you require for your strategy: public override void Initialize() { SetStartDate(2015, 1, 1); SetEndDate(2015, 12, 31); SetCash(2e6); foreach(var symbol in _symbols) { AddSecurity(SecurityType.Equity, symbol, Resolution.Daily); } } //---------------------------------------------------------------------- // Data Event Handler: New data arrives here. public void OnData(TradeBars data) { foreach(var bar in data.Values) { // adjust investment to $10k var netValue = Portfolio[bar.Symbol].Quantity * Portfolio[bar.Symbol].Price; int deltaShares = (int)Math.Floor((10000 - netValue) / Portfolio[bar.Symbol].Price); if (deltaShares != 0) { var newTicket = MarketOnOpenOrder(bar.Symbol, deltaShares); } } } } }