Overall Statistics |
Total Orders 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Start Equity 100000 End Equity 100000 Net Profit 0% Sharpe Ratio 0 Sortino Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.78 Tracking Error 0.173 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Algorithm.Selection; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class CreativeFluorescentPinkFlamingo : QCAlgorithm { public override void Initialize() { SetStartDate(2018, 1, 1); SetEndDate(2022, 1, 1); SetCash(100000); var ticker = "SPX"; var toSelect = 0; SetName($"v{Globals.Version.Split(".").Last()} - {ticker} - {StartDate:yyyyMMdd} - {EndDate:yyyyMMdd} - {toSelect} selected"); var spx = AddIndex(ticker, Resolution.Minute).Symbol; var spxOptions = AddIndexOption(spx, Resolution.Minute); spxOptions.SetFilter(u => { return u.Contracts(x => x.Take(toSelect)); }); // ---- // Plot active securities var chart = new Chart("Active Securities"); AddChart(chart); chart.AddSeries(new Series("Count", SeriesType.Line)); Schedule.On(DateRules.WeekStart(), TimeRules.Midnight, () => { Plot("Active Securities", "Count", ActiveSecurities.Count); }); } } }