| Overall Statistics |
|
Total Trades 26 Average Win 0.90% Average Loss 0.00% Compounding Annual Return 26.658% Drawdown 4.700% Expectancy 255.054 Net Profit 10.315% Sharpe Ratio 2.733 Probabilistic Sharpe Ratio 92.250% Loss Rate 31% Win Rate 69% Profit-Loss Ratio 371.44 Alpha 0.105 Beta 0.331 Annual Standard Deviation 0.066 Annual Variance 0.004 Information Ratio -0.495 Tracking Error 0.095 Treynor Ratio 0.546 Total Fees $33.21 Estimated Strategy Capacity $99000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
#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.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 QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
public class DemoAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private RollingWindow<decimal> _window = new(24);
public override void Initialize()
{
SetStartDate(2021, 1, 1);
SetEndDate(2021, 6, 1);
SetCash(100000);
_symbol = AddEquity("SPY", Resolution.Hour).Symbol;
// warm up the rolling window
var history = History<TradeBar>(_symbol, 24, Resolution.Hour);
foreach (var bar in history)
{
_window.Add(bar.Volume);
}
}
public override void OnData(Slice slice)
{
// volume is only available in trade bar
if (slice.Bars.ContainsKey(_symbol))
{
_window.Add(slice.Bars[_symbol].Volume);
if (_window.Sum() >= 300000000)
{
SetHoldings(_symbol, 1);
}
else
{
Liquidate(_symbol);
}
}
}
}
}