Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 21.705% Drawdown 7.400% Expectancy 0 Net Profit 0% Sharpe Ratio 1.795 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.213 Beta -0.059 Annual Standard Deviation 0.112 Annual Variance 0.013 Information Ratio -0.069 Tracking Error 0.162 Treynor Ratio -3.397 Total Fees $1.00 |
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 { //Initialize the data and resolution you require for your strategy: public override void Initialize() { SetStartDate(2013, 1, 1); SetEndDate(2015, 1, 1); SetCash(25000); AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily); var price = Identity("SPY"); var fast = EMA("SPY", 7); var slow = EMA("SPY", 14); PlotIndicator("SPY", price, fast, slow); } //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) { if (!Portfolio.HoldStock) { SetHoldings("SPY", 1.0); } } } }