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 |
/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Indicators; using System.Linq; namespace QuantConnect.Algorithm.CSharp { /// <summary> /// Using rolling windows for efficient storage of historical data; which automatically clears after a period of time. /// </summary> /// <meta name="tag" content="using data" /> /// <meta name="tag" content="history and warm up" /> /// <meta name="tag" content="history" /> /// <meta name="tag" content="warm up" /> /// <meta name="tag" content="indicators" /> /// <meta name="tag" content="rolling windows" /> public class RollingWindowAlgorithm : QCAlgorithm { private RollingWindow<TradeBar> _window; private RollingWindow<IndicatorDataPoint> _smaWin; /// <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() { SetStartDate(2018,03,1); // Set Start Date //SetEndDate(2013,11,1); // Set End Date SetCash(100000); // Set Strategy Cash // Find more symbols here: http://quantconnect.com/data AddEquity("SPY", Resolution.Daily); // Creates a Rolling Window indicator to keep the 2 TradeBar _window = new RollingWindow<TradeBar>(20); // For other security types, use QuoteBar // Creates an indicator and adds to a rolling window when it is updated SMA("SPY", 5).Updated += (sender, updated) => _smaWin.Add(updated); _smaWin = new RollingWindow<IndicatorDataPoint>(20); } /// <summary> /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// </summary> /// <param name="data">Slice object keyed by symbol containing the stock data</param> public override void OnData(Slice data) { // Add SPY TradeBar in rollling window _window.Add(data["SPY"]); // Wait for windows to be ready. if (!_window.IsReady || !_smaWin.IsReady) return; var currBar = _window[0]; // Current bar had index zero. var pastBar = _window[1]; // Past bar has index one. //Log($"Price: {pastBar.Time} -> {pastBar.Close} ... {currBar.Time} -> {currBar.Close}"); var currSma = _smaWin[0]; // Current SMA had index zero. var pastSma = _smaWin[_smaWin.Count - 1]; // Oldest SMA has index of window count minus 1. //Log($"SMA: {pastSma.Time} -> {pastSma.Value} ... {currSma.Time} -> {currSma.Value}"); var bars = from bar in _window orderby bar.Low select bar; foreach (TradeBar bar in bars) { Log(bar.Low.ToString()); } Log(bars.First().Time.ToString() + " " + bars.First().Low.ToString() + " " + bars.First().Close.ToString()); TradeBar lowestbar = BubbleSort(_window.ToArray()); Log(lowestbar.Time.ToString() + " " + lowestbar.Low.ToString() + " " + lowestbar.Close.ToString()); } public TradeBar BubbleSort(TradeBar[] array) { int length = array.Length; TradeBar temp = array[0]; for (int i = 0; i < length; i++) { for (int j = i+1; j < length; j++) { if (array[i].Low > array[j].Low) { temp = array[i]; array[i] = array[j]; array[j] = temp; } } } return array[0]; } } }