Overall Statistics |
Total Trades 100 Average Win 2.01% Average Loss -1.40% Compounding Annual Return 8.241% Drawdown 11.900% Expectancy 0.459 Net Profit 35.905% Sharpe Ratio 0.721 Loss Rate 40% Win Rate 60% Profit-Loss Ratio 1.43 Alpha -0.005 Beta 0.669 Annual Standard Deviation 0.096 Annual Variance 0.009 Information Ratio -0.625 Tracking Error 0.067 Treynor Ratio 0.104 Total Fees $100.00 |
namespace QuantConnect { /* * QuantConnect University: Full Basic Template: * * The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect. * We have explained some of these here, but the full algorithm can be found at: * https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs */ public class BasicTemplateAlgorithm : QCAlgorithm { private Random Random; //Initialize the data and resolution you require for your strategy: public override void Initialize() { //Start and End Date range for the backtest: SetStartDate(2013, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); //Cash allocation SetCash(25000); //Add as many securities as you like. All the data will be passed into the event handler: AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily); Random = new Random(); } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(TradeBars data) { // "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol: // // e.g. data["MSFT"] data["GOOG"] // Only trade if the random number is above 0.9 var rand = Random.NextDouble(); if (rand < .9) return; Log("#" + rand); if (!Portfolio.HoldStock) { int quantity = (int)Math.Floor(Portfolio.Cash / data["SPY"].Close); //Order function places trades: enter the string symbol and the quantity you want: Order("SPY", quantity); //Debug sends messages to the user console: "Time" is the algorithm time keeper object Debug("Purchased SPY on " + Time.ToShortDateString()); //You can also use log to send longer messages to a file. You are capped to 10kb //Log("This is a longer message send to log."); } else { // Liquidate all holdings Liquidate(); } } } }