Overall Statistics |
Total Trades 1 Average Win 96.42% Average Loss 0% Compounding Annual Return 37.618% Drawdown 14.200% Expectancy 0 Net Profit 96.417% Sharpe Ratio 1.77 Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.01 Beta 1.622 Annual Standard Deviation 0.19 Annual Variance 0.036 Information Ratio 1.643 Tracking Error 0.082 Treynor Ratio 0.207 |
namespace QuantConnect { /* * QuantConnect University: Full Basic Template: * * The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect. * We have explained some of these here, but the full algorithm can be found at: * https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs */ public class BasicTemplateAlgorithm : QCAlgorithm { //Initialize the data and resolution you require for your strategy: LogReturn returnIndicator; SequentialIndicator<IndicatorDataPoint> sma; RelativeStrengthIndex rsi; SequentialIndicator<IndicatorDataPoint> emaOfRsi; public override void Initialize() { //Start and End Date range for the backtest: SetStartDate(2013, 1, 1); //SetEndDate(2013, 1, 28); SetEndDate(DateTime.Now.Date.AddDays(-1)); //Cash allocation SetCash(25000); //Add as many securities as you like. All the data will be passed into the event handler: AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute); //Set up Indicators: returnIndicator = new LogReturn("SPY"); // // when using sequential indicators it is only necessary to subscribe the 'outter' indicator // this is because the sequential indicator takes the output of one and pumps it into the other // so we want to register the indicator that is the most derived, in this case, sma. // we want to send data into sma, then he will control sending data into the returnIndicator // //RegisterIndicator("SPY", returnIndicator, Resolution.Minute, x => x.Value); // define an SMA 5 of our returnIndicator and register this new indicator. sma = new SimpleMovingAverage(5).Of(returnIndicator); RegisterIndicator("SPY", sma, Resolution.Minute, x => x.Value); // we want to create the momentum of the EMA, so in this case, our EMA is our inner indicator // and the momentum is our outter indicator. // define the indicators rsi = new RelativeStrengthIndex(14); emaOfRsi = new ExponentialMovingAverage(14).Of(rsi); // now we only need to register the outter, momOfEma, since it will control sending data into our ema RegisterIndicator("SPY",emaOfRsi, Resolution.Daily, x => x.Value); } //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) { // "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol: // // e.g. data["MSFT"] data["GOOG"] if (!Portfolio.HoldStock) { //Order function places trades: enter the string symbol and the quantity you want: SetHoldings("SPY", 1.0); //Debug sends messages to the user console: "Time" is the algorithm time keeper object Log("Purchased SPY on " + Time.ToShortDateString()); } } public override void OnEndOfDay() { // don't plot until ready if (!returnIndicator.IsReady) return; Plot("Return","Instantaneous",returnIndicator); // don't plot until ready if (!emaOfRsi.IsReady) return; Plot("Return","5 Period Average",sma); Plot("EMA of RSI", emaOfRsi, rsi); } } }
using System; using QuantConnect.Data.Market; namespace QuantConnect.Indicators { /// <summary> /// This indicator is meant to compute log returns. /// </summary> public class LogReturn : Indicator { public LogReturn() : this(string.Format("Return")) { } decimal _last; public decimal Return; public LogReturn(String name) : base(name) { _last = 0m; Return = 0m; } /// <summary> /// Gets a flag indicating when this indicator is ready and fully initialized /// </summary> public override bool IsReady { get { return Samples > 1; } } public decimal total; protected override decimal ComputeNextValue(IndicatorDataPoint input) { if (IsReady && _last != 0) { Return = (decimal)Math.Log((double)(input / _last)); } _last = input; return Return*10000m; } /// <summary> /// Resets this indicator to its initial state /// </summary> public override void Reset() { Return = 0m; base.Reset(); } } }