Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 11.198% Drawdown 5.400% Expectancy 0 Net Profit 0% Sharpe Ratio 1.759 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.111 Beta -0.02 Annual Standard Deviation 0.061 Annual Variance 0.004 Information Ratio -0.732 Tracking Error 0.127 Treynor Ratio -5.26 Total Fees $1.81 |
namespace QuantConnect { /* * Shows how to use the scheduled events feature to run code * every day at a specific time */ public class BasicTemplateAlgorithm : QCAlgorithm { public const string Symbol = "SPY"; public Security Security; public ExponentialMovingAverage ema; //Initialize the data and resolution you require for your strategy: public override void Initialize() { SetStartDate(2013, 01, 01); SetEndDate(2015, 01, 01); AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute); // save off our security to reference the price later Security = Securities[Symbol]; // we'll build an ema of open/close prices (not sure what it's good for!) ema = new ExponentialMovingAverage(14); PlotIndicator(Symbol, ema, Identity(Symbol, Resolution.Hour)); // schedules the 'OnFiveMinutesAfterMarketOpen' function to run 5 minutes after the Symbol's market open Schedule.On(DateRules.EveryDay(Symbol), TimeRules.AfterMarketOpen(Symbol, 5/*minutes after open*/), OnFiveMinutesAfterMarketOpen); // schedules the 'OnFiveMinutesBeforeMarketClose' function to run 5 minutes before the Symbol's market close Schedule.On(DateRules.EveryDay(Symbol), TimeRules.BeforeMarketClose(Symbol, 5/*minutes before close*/), OnFiveMinutesBeforeMarketClose); } public void OnFiveMinutesAfterMarketOpen() { // updates using the price at 9:35pm ema.Update(Time, Security.Close); } public void OnFiveMinutesBeforeMarketClose() { // updates using the price at 3:55pm ema.Update(Time, Security.Close); } //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.Invested) { SetHoldings(Symbol, 0.5m); } } } }