Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% 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 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
using System; using System.Linq; using QuantConnect.Data.Market; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Brokerages; using QuantConnect.Data.Consolidators; namespace QuantConnect.Algorithm.CSharp { public class TestAlgorithm : QCAlgorithm { private SimpleMovingAverage spyMovingAverage; /// <summary> /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. /// </summary> public override void Initialize() { //Set trading window SetStartDate(year: 2013, month: 10, day: 1); SetEndDate(year: 2013, month: 10, day: 8); //SetEndDate(DateTime.Now); var benchmark = AddEquity("SPY"); SetBenchmark(benchmark.Symbol); //SetBenchmark(d => 1m); //Set brokermodel SetCash(100000); SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin); //Set moving average var spy = AddEquity("SPY", Resolution.Minute); //var consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(30)); //consolidator.DataConsolidated += OnTradeBarDataConsolidated; //SubscriptionManager.AddConsolidator("SPY", consolidator); spyMovingAverage = SMA(spy.Symbol, 60, Resolution.Minute); // RegisterIndicator("SPY", spyMovingAverage, consolidator); PlotIndicator("SPY", spyMovingAverage); } public void OnData(TradeBars data) { Plot("SPY", "Price", Securities["SPY"].Close); Plot("SPY", spyMovingAverage); Log(string.Format("{0}, {1}", Securities["SPY"].Price, spyMovingAverage)); if (IsWarmingUp) { //Log("IsWarmingUp"); return; } if (!spyMovingAverage.IsReady) { return; } if (spyMovingAverage == 0) { Log("spyMovingAverage == 0"); } } } }