Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 26.440% Drawdown 23.700% Expectancy 0 Net Profit 222.891% Sharpe Ratio 1.075 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.256 Beta 0.404 Annual Standard Deviation 0.246 Annual Variance 0.061 Information Ratio 0.994 Tracking Error 0.246 Treynor Ratio 0.654 Total Fees $9.15 |
using System; using System.Linq; using QuantConnect.Indicators; using QuantConnect.Models; namespace QuantConnect.Algorithm.Examples { /// <summary> /// /// QuantConnect University: EMA + SMA Cross /// /// In this example we look at the canonical 50/150 day moving average cross.This algorithm /// will go long when the 50 crosses above the 150 and will liquidate when the 50 crosses /// back below the 150. /// </summary> public class MovingAverageCross : QCAlgorithm { private const string Symbol = "FB"; private ExponentialMovingAverage fast; private ExponentialMovingAverage slow; private SimpleMovingAverage[] ribbon; public override void Initialize() { // set up our analysis span SetStartDate(2013, 01, 01); SetEndDate(2018, 01, 01); // request SPY data with minute resolution AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute); // create a 50 day exponential moving average fast = EMA(Symbol, 200, Resolution.Daily); // create a 200 day exponential moving average slow = EMA(Symbol, 250, Resolution.Daily); // the following lines produce a simple moving average ribbon, this isn't // actually used in the algorithm's logic, but shows how easy it is to make // indicators and plot them! // note how we can easily define these indicators to receive hourly data int ribbonCount = 7; int ribbonInterval = 15*8; ribbon = new SimpleMovingAverage[ribbonCount]; for(int i = 0; i < ribbonCount; i++) { ribbon[i] = SMA(Symbol, (i + 1)*ribbonInterval, Resolution.Hour); } } private DateTime previous; public void OnData(TradeBars data) { // a couple things to notice in this method: // 1. We never need to 'update' our indicators with the data, the engine takes care of this for us // 2. We can use indicators directly in math expressions // 3. We can easily plot many indicators at the same time // wait for our slow ema to fully initialize if (!slow.IsReady) return; // only once per day if (previous.Date == data.Time.Date) return; // define a small tolerance on our checks to avoid bouncing const decimal tolerance = 0.00015m; var holdings = Portfolio[Symbol].Quantity; // we only want to go long if we're currently short or flat if (holdings <= 0) { // if the fast is greater than the slow, we'll go long if (fast > slow * (1 + tolerance)) { Log("BUY >> " + Securities[Symbol].Price); SetHoldings(Symbol, 1.0); } } // we only want to liquidate if we're currently long // if the fast is less than the slow we'll liquidate our long if (holdings > 0 && fast < slow) { Log("SELL >> " + Securities[Symbol].Price); Liquidate(Symbol); } Plot(Symbol, "Price", data[Symbol].Price); Plot("Ribbon", "Price", data[Symbol].Price); // easily plot indicators, the series name will be the name of the indicator Plot(Symbol, fast, slow); Plot("Ribbon", ribbon); previous = data.Time; } } }