Overall Statistics
Total Trades
8
Average Win
25.41%
Average Loss
-1.83%
Compounding Annual Return
29.549%
Drawdown
16.300%
Expectancy
12.047
Net Profit
366.278%
Sharpe Ratio
1.209
Loss Rate
12%
Win Rate
88%
Profit-Loss Ratio
13.91
Alpha
0.128
Beta
0.91
Annual Standard Deviation
0.235
Annual Variance
0.055
Information Ratio
0.661
Tracking Error
0.17
Treynor Ratio
0.313
-no value-
/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Indicators;
using QuantConnect.Models;

namespace QuantConnect.Algorithm.Examples
{
    /// <summary>
    /// Constructs a displaced moving average ribbon and buys when all are lined up, liquidates when they all line down
    /// Ribbons are great for visualizing trends
    ///   Signals are generated when they all line up in a paricular direction
    ///     A buy signal is when the values of the indicators are increasing (from slowest to fastest)
    ///     A sell signal is when the values of the indicators are decreasing (from slowest to fastest)
    /// </summary>
    public class DisplacedMovingAverageRibbon : QCAlgorithm
    {
        private const string Symbol = "SPY";
        private Indicator[] ribbon;
        public override void Initialize()
        {
            SetStartDate(2009, 01, 01);
            SetEndDate(2015, 01, 01);

            AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute);

            int count = 6;
            int offset = 5;
            int period = 15;

            // define our sma as the base of the ribbon
            var sma = new SimpleMovingAverage(period);

            ribbon = Enumerable.Range(0, count).Select(x =>
            {
                // define our offset to the zero sma, these various offsets will create our 'displaced' ribbon
                var delay = new Delay(offset*(x+1));

                // define an indicator that takes the output of the sma and pipes it into our delay indicator
                var delayedSma = delay.Of(sma);

                // register our new 'delayedSma' for automaic updates on a daily resolution
                RegisterIndicator(Symbol, delayedSma, Resolution.Daily, data => data.Value);

                return delayedSma;
            }).ToArray();
        }

        private DateTime previous;

        public void OnData(TradeBars data)
        {
            // wait for our entire ribbon to be ready
            if (!ribbon.All(x => x.IsReady)) return;

            // only once per day
            if (previous.Date == data.Time.Date) return;

            Plot(Symbol, "Price", data[Symbol].Price);
            Plot(Symbol, ribbon);


            // check for a buy signal
            var values = ribbon.Select(x => x.Value.Data).ToArray();

            var holding = Portfolio[Symbol];
            if (holding.Quantity <= 0 && IsAscending(values))
            {
                SetHoldings(Symbol, 1.0);
            }
            else if (holding.Quantity > 0 && IsDescending(values))
            {
                Liquidate(Symbol);
            }

            previous = data.Time;
        }

        /// <summary>
        /// Returns true if the specified values are in ascending order
        /// </summary>
        private bool IsAscending(IEnumerable<decimal> values)
        {
            decimal? last = null;
            foreach (var val in values)
            {
                if (last == null)
                {
                    last = val;
                    continue;
                }

                if (last.Value < val)
                {
                    return false;
                }
                last = val;
            }
            return true;
        }

        /// <summary>
        /// Returns true if the specified values are in descending order
        /// </summary>
        private bool IsDescending(IEnumerable<decimal> values)
        {
            decimal? last = null;
            foreach (var val in values)
            {
                if (last == null)
                {
                    last = val;
                    continue;
                }

                if (last.Value > val)
                {
                    return false;
                }
                last = val;
            }
            return true;
        }
    }
}
/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/


namespace QuantConnect.Indicators
{
    /// <summary>
    /// This indicator is capable of wiring up two separate indicators into a single indicator
    /// such that data will be pumped into the First, and the output of the First will be pumped
    /// into the Second, after the First IsReady
    /// </summary>
    public class SequentialIndicator : Indicator
    {
        /// <summary>
        /// Gets the first indicator to receive data
        /// </summary>
        public Indicator First { get; private set; }

        /// <summary>
        /// Gets the second indicator that receives the output from the first as its input data
        /// </summary>
        public Indicator Second { get; private set; }

        /// <summary>
        /// Gets a flag indicating when this indicator is ready and fully initialized
        /// </summary>
        public override bool IsReady
        {
            get { return Second.IsReady && First.IsReady; }
        }

        /// <summary>
        /// Creates a new SequentialIndicator that will pipe the output of the first into the second
        /// </summary>
        /// <param name="name">The name of this indicator</param>
        /// <param name="first">The first indicator to receive data</param>
        /// <param name="second">The indicator to receive the first's output data</param>
        public SequentialIndicator(string name, Indicator first, Indicator second)
            : base(name)
        {
            First = first;
            Second = second;
        }

        /// <summary>
        /// Creates a new SequentialIndicator that will pipe the output of the first into the second
        /// </summary>
        /// <param name="first">The first indicator to receive data</param>
        /// <param name="second">The indicator to receive the first's output data</param>
        public SequentialIndicator(Indicator first, Indicator second)
            : base(string.Format("SEQUENTIAL({0}->{1})", first.Name, second.Name))
        {
            First = first;
            Second = second;
        }

        /// <summary>
        /// Computes the next value of this indicator from the given state
        /// </summary>
        /// <param name="previousValue">The most recent value of this indicator</param>
        /// <param name="input">The input given to the indicator</param>
        /// <returns>A new value for this indicator</returns>
        protected override decimal ComputeNextValue(IndicatorDataPoint previousValue, IndicatorDataPoint input)
        {
            First.Update(input);
            if (!First.IsReady)
            {
                // if the first isn't ready just send out a default value
                return 0m;
            }

            Second.Update(First.Value);
            return Second.Value.Data;
        }
    }
}
/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

namespace QuantConnect.Indicators
{
    /// <summary>
    /// An indicator that delays its input for a certain period
    /// </summary>
    public class Delay : WindowIndicator
    {
        /// <summary>
        /// Creates a new Delay indicator that delays its input by the specified period
        /// </summary>
        /// <param name="period">The period to delay input, must be greater than zero</param>
        public Delay(int period)
            : this("DELAY" + period, period)
        {
            
        }

        /// <summary>
        /// Creates a new Delay indicator that delays its input by the specified period
        /// </summary>
        /// <param name="period">The period to delay input, must be greater than zero</param>
        public Delay(string name, int period) 
            : base(name, period)
        {
        }

        /// <summary>
        ///     Computes the next value for this indicator from the given state.
        /// </summary>
        /// <param name="window">The window of data held in this indicator</param>
        /// <param name="previousValue">The previous value of this indicator</param>
        /// <param name="input">The input value to this indicator on this time step</param>
        /// <returns>A new value for this indicator</returns>
        protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint previousValue, IndicatorDataPoint input)
        {
            if (!window.IsReady)
            {
                // grab the initial value until we're ready
                return window[window.Count - 1];
            }

            return window.MostRecentlyRemoved;
        }
    }
}
/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

namespace QuantConnect.Indicators
{
    /// <summary>
    /// Provides extension methods for Indicator
    /// </summary>
    public static class IndicatorExtensions
    {
        /// <summary>
        /// Creates a new SequentialIndicator such that data from 'first' is piped into 'second'
        /// </summary>
        /// <param name="second">The indicator that wraps the first</param>
        /// <param name="first">The indicator to be wrapped</param>
        /// <returns>A new SequentialIndicator that pipes data from first to second</returns>
        public static SequentialIndicator Of(this Indicator second, Indicator first)
        {
            return new SequentialIndicator(first, second);
        }

        /// <summary>
        /// Creates a new SequentialIndicator such that data from 'first' is piped into 'second'
        /// </summary>
        /// <param name="second">The indicator that wraps the first</param>
        /// <param name="first">The indicator to be wrapped</param>
        /// <param name="name">The name of the new indicator</param>
        /// <returns>A new SequentialIndicator that pipes data from first to second</returns>
        public static SequentialIndicator Of(this Indicator second, Indicator first, string name)
        {
            return new SequentialIndicator(first, second);
        }
    }
}