| Overall Statistics |
|
TotalTrades 646 AverageWin 0.05 AverageLoss -0.03 AverageAnnualReturn 2.581 Drawdown 0.5 Expectancy 1.148 NetProfit 9.648 SharpeRatio 0.6 LossRate 20 WinRate 80 ProfitLossRatio 1.7 TradeFrequency 4 |
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using System;
using System.Collections;
using System.Collections.Generic;
namespace QuantConnect
{
using QuantConnect.Securities;
using QuantConnect.Models;
public partial class BasicTemplateAlgorithm : QCAlgorithm, IAlgorithm {
string symbol = "YHOO";
System.Text.StringBuilder sb;
public override void Initialize() {
sb = new System.Text.StringBuilder();
//Initialize the start, end dates for simulation; cash and data required.
SetStartDate(2014, 6, ); SetEndDate(2013, 4, 30);
//SetStartDate(2013, 10, 1); SetEndDate(DateTime.Now.Date.AddDays(-1));
SetCash(30000); //Starting Cash in USD.
// AddSecurity(SecurityType.Equity, symbol, Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AAPL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BAC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JCP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NOK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "YHOO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TSLA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "C", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "INTC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JPM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "F", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NFLX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FCX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GOOG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ORCL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "X", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WFC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CSCO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMZN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VALE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "P", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "T", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ZNGA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BIDU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "POT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VZ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "XOM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GRPN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HLF", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NEM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ABX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AIG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MCP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "QCOM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PBR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LVS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GMCR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DRYS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DAL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PCLN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LNKD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CLF", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PFE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DOW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FSLR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "OPK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WLT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DDD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LULU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VOD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IBM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MGM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JNJ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CAT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EBAY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMAT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HPQ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SLB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BRCM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LNG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MRK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HIMX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NKE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CHK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WAG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RAD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MOS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "YELP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ESRX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HAL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NQ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ALU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AGNC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BMY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ACHN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UAL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FIO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SLW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CRM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MCD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DIS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SINA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CMCSA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "OXY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FDX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LCC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GILD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SHLD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NLY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "STP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LINE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CVX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "M", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IOC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "QIHU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CELG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WMT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MRVL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UPS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SBUX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "STX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "V", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMRN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MNKD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SNDK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BBY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BTU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VLO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "APC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ANR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "QCOR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WMB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DNDN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LOW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GLW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RPRX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "INVN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CIEN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CRUS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SIRI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EMC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ARNA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "YOKU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ADSK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CREE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NVDA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SFD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CZR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IAG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PHM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RSH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RMTI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "APA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LEN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CMG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SPF", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TIBX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HUN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CIE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MAKO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KOG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KBH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GERN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EBIX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "YGE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MBI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MET", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "COP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "USB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DHI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KMI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ACN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "Z", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ACAD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NTAP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ADBE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VVUS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SOHU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LLY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ABT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GPS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMGN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TSL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ASTX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HTZ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BIIB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SAN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AKS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SRPT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WFT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NUAN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IRM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RIO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SPWR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TEVA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NOV", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UNH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CONN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BAX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AKAM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KNDI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EOG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GDP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CLSN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "OCN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RIG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EXPE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CF", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WYNN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DVN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TSO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DRI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SSYS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HES", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UNXL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KGC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JASO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SODA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RHT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UTX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NBG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RDN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ADM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VMW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NFX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CTB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AUY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SWHC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ETFC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KORS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MPEL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TASR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DISH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JDSU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WLP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WPRT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ARO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MHR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CTL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CTAS", Resolution.Minute, false);
SetRunMode(RunMode.Series); //Series or Parallel for intraday strategies.
}
//Handle TradeBar Events: a TradeBar occurs on a time-interval (second or minute bars)
public override void OnTradeBar(Dictionary<string, TradeBar> data) {
// Log(data[symbol].Time + "," + data[symbol].Symbol + "," + data[symbol].Open + "," + data[symbol].Close);
// foreach(KeyValuePair<string, TradeBar> d in data)
// Log(d.Value.Time + "," + d.Value.Symbol + "," + d.Value.Open + "," + d.Value.Close);
foreach(TradeBar v in data.Values)
//Log(v.Time + "," + v.Symbol + "," + v.Open + "," + v.Close + ",");
sb.Append(v.Time + "," + v.Symbol + "," + Math.Round(v.Open, 5) + "," + Math.Round(v.Close, 5) + ",");
}
//Handle Tick Events - Only when you're requesting tick data
public override void OnTick(Dictionary<string, List<Tick>> ticks) {
if (Portfolio[symbol].HoldStock == false) {
Order(symbol, 50);
Debug("Sent order for " + symbol);
}
}
/// <summary>
/// Call this method at the end of the algorithm day
/// </summary>
public override void OnEndOfDay() {
Log(sb.ToString());
sb = new System.Text.StringBuilder();
}
}
}using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;
namespace QuantConnect
{
// Name your algorithm class anything, as long as it inherits QCAlgorithm
public class BackTest : QCAlgorithm
{
string ticker = "BAC";
TimeSpan startTime = new TimeSpan(09,29,00);
TimeSpan endTime = new TimeSpan(17,00,00);
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
SetStartDate(2014, 12, 26);
SetEndDate(2014, 12, 27);
SetCash(5000);
AddSecurity(SecurityType.Equity, ticker, Resolution.Tick, true, 1, true);
}
public void OnData(Ticks ticks)
{
if (!ticks.Keys.Contains(ticker)) return;
foreach (Tick tick in ticks[ticker]) {
if ((tick.Time.TimeOfDay > startTime) && (tick.Time.TimeOfDay < endTime)){
if (tick.Exchange == "N"){
Log("|" + tick.Symbol + "|" + tick.Quantity + "|" + string.Format("{0:0.0000}", tick.Price));
}
}
}
}
}
}using System;
using System.Collections;
using System.Collections.Generic;
namespace QuantConnect
{
using QuantConnect.Securities;
using QuantConnect.Models;
public partial class BasicTemplateAlgorithm : QCAlgorithm, IAlgorithm {
string symbol = "YHOO";
System.Text.StringBuilder sb;
public override void Initialize() {
sb = new System.Text.StringBuilder();
//Initialize the start, end dates for simulation; cash and data required.
SetStartDate(2014, 6, 9); SetEndDate(2014, 6, 30);
//SetStartDate(2013, 10, 1); SetEndDate(DateTime.Now.Date.AddDays(-1));
SetCash(30000); //Starting Cash in USD.
// AddSecurity(SecurityType.Equity, symbol, Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AAPL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BAC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JCP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NOK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "YHOO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TSLA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "C", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "INTC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JPM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "F", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NFLX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FCX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GOOG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ORCL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "X", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WFC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CSCO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMZN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VALE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "P", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "T", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ZNGA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BIDU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "POT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VZ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "XOM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GRPN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HLF", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NEM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ABX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AIG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MCP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "QCOM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PBR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LVS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GMCR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DRYS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DAL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PCLN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LNKD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CLF", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PFE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DOW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FSLR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "OPK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WLT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DDD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LULU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VOD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IBM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MGM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JNJ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CAT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EBAY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMAT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HPQ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SLB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BRCM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LNG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MRK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HIMX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NKE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CHK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WAG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RAD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MOS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "YELP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ESRX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HAL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NQ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ALU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AGNC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BMY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ACHN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UAL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FIO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SLW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CRM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MCD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DIS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SINA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CMCSA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "OXY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "FDX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LCC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GILD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SHLD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NLY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "STP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LINE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CVX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "M", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IOC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "QIHU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CELG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WMT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MRVL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UPS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SBUX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "STX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "V", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMRN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MNKD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SNDK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BBY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BTU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VLO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "APC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ANR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "QCOR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WMB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DNDN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LOW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GLW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RPRX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "INVN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CIEN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CRUS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SIRI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EMC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ARNA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "YOKU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ADSK", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CREE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NVDA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SFD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CZR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IAG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PHM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RSH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RMTI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "APA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LEN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CMG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "PM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SPF", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TIBX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HUN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CIE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MAKO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KOG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KBH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GERN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EBIX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "YGE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MBI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MET", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "COP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "USB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DHI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KMI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ACN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "Z", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ACAD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NTAP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ADBE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VVUS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SOHU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "LLY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ABT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GPS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AMGN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TSL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ASTX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HTZ", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BIIB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SAN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AKS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SRPT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WFT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NUAN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DD", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "IRM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RIO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SPWR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TEVA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NOV", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UNH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CONN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "BAX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AKAM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KNDI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EOG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "GDP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CLSN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "OCN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RIG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "EXPE", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CF", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WYNN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DVN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TSO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DRI", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SSYS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HES", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UNXL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KGC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JASO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SODA", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RHT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "UTX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "HL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NBG", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "RDN", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ADM", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "VMW", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "NFX", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CTB", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "AUY", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "SWHC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ETFC", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "KORS", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MPEL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "TASR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "DISH", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "JDSU", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WLP", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "WPRT", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "ARO", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "MHR", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CTL", Resolution.Minute, false);
AddSecurity(SecurityType.Equity, "CTAS", Resolution.Minute, false);
SetRunMode(RunMode.Series); //Series or Parallel for intraday strategies.
}
//Handle TradeBar Events: a TradeBar occurs on a time-interval (second or minute bars)
public override void OnTradeBar(Dictionary<string, TradeBar> data) {
// Log(data[symbol].Time + "," + data[symbol].Symbol + "," + data[symbol].Open + "," + data[symbol].Close);
// foreach(KeyValuePair<string, TradeBar> d in data)
// Log(d.Value.Time + "," + d.Value.Symbol + "," + d.Value.Open + "," + d.Value.Close);
foreach(TradeBar v in data.Values)
//Log(v.Time + "," + v.Symbol + "," + v.Open + "," + v.Close + ",");
sb.Append(v.Time + "," + v.Symbol + "," + Math.Round(v.Open, 5) + "," + Math.Round(v.Close, 5) + ",");
}
//Handle Tick Events - Only when you're requesting tick data
public override void OnTick(Dictionary<string, List<Tick>> ticks) {
if (Portfolio[symbol].HoldStock == false) {
Order(symbol, 50);
Debug("Sent order for " + symbol);
}
}
/// <summary>
/// Call this method at the end of the algorithm day
/// </summary>
public override void OnEndOfDay() {
Log(sb.ToString());
sb = new System.Text.StringBuilder();
}
}
}