Overall Statistics |
Total Trades 2 Average Win 0.22% Average Loss 0% Compounding Annual Return 1234.850% Drawdown 0.200% Expectancy 0 Net Profit 0.712% Sharpe Ratio 11.225 Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 1.796 Beta 0.508 Annual Standard Deviation 0.08 Annual Variance 0.006 Information Ratio 34.394 Tracking Error 0.077 Treynor Ratio 1.768 Total Fees $0.00 |
using System; using System.Globalization; using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Indicators.CandlestickPatterns; namespace QuantConnect.Algorithm.CSharp { public class CandlestickClosingMarubozu5minESData : QCAlgorithm { private string _symbol = "ES"; private ClosingMarubozu _pattern4 = new ClosingMarubozu(); /// <summary> /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must be initialized. /// </summary> public override void Initialize() { SetStartDate(2016, 01, 04); //Set Start Date SetEndDate(2016, 01, 04); //Set End Date SetCash(100000); //Set Strategy Cash AddData<CloseMaribo>(_symbol); _pattern4 = CandlestickPatterns.ClosingMarubozu(_symbol); } /// <summary> /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// </summary> public void OnData(CloseMaribo data) { if (data.Time.TimeOfDay < new TimeSpan(8, 35, 00) || data.Time.TimeOfDay > new TimeSpan(11, 00, 00)) { return; } else { if (_pattern4 == 1) { // Bullish ClosingMarubozu, go long Debug(Time + " -> found Bullish ClosingMarubozu"); SetHoldings(_symbol, 1); } else if (_pattern4 == -1) { // Bearish ClosingMarubozu, go short Debug(Time + " -> found Bearish ClosingMarubozu"); SetHoldings(_symbol, -1); } } } } public class CloseMaribo : TradeBar { /// <summary> /// Return the URL external source for the data: QuantConnect will download it an read it line by line automatically: /// </summary> public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { return new SubscriptionDataSource("https://www.dropbox.com/s/jni2cm5r9d22a60/ES%202016-01-04%20-%202016-12-19.csv?dl=1", SubscriptionTransportMedium.RemoteFile); } /// <summary> /// Convert each line of the file above into an object. /// </summary> public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { CloseMaribo cmBar = new CloseMaribo(); try { var data = line.Split(','); //Required. cmBar.Symbol = "ES"; cmBar.Time = DateTime.ParseExact(data[0] + data[1], "yyyyMMddhhmmss", CultureInfo.InvariantCulture); //User configured / optional data on each bar: cmBar.Open = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture); cmBar.High = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture); cmBar.Low = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture); cmBar.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture); cmBar.Volume = Convert.ToInt32(data[6], CultureInfo.InvariantCulture); //This is the value the engine uses for portfolio calculations cmBar.Value = cmBar.Close; } catch (Exception exception) { Console.WriteLine(exception.Message); } return cmBar; } } }