Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 77.494% Drawdown 1.100% Expectancy 0 Net Profit 0% Sharpe Ratio 4.563 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.118 Beta 0.782 Annual Standard Deviation 0.097 Annual Variance 0.009 Information Ratio 0.554 Tracking Error 0.05 Treynor Ratio 0.565 Total Fees $3.19 |
from QuantConnect.Data.Market import TradeBar class RollingWindowAlgorithm(QCAlgorithm): '''Example on how to use Rolling Window with bar and indicator''' def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2013,10,1) #Set Start Date self.SetEndDate(2013,11,1) #Set End Date self.SetCash(100000) #Set Strategy Cash # Find more symbols here: http://quantconnect.com/data self.AddEquity("SPY", Resolution.Daily) # Creates a Rolling Window indicator to keep the 2 TradeBar self.window = RollingWindow[TradeBar](2) # For other security types, use QuoteBar # Creates an indicator and adds to a rolling window when it is updated self.SMA("SPY", 5).Updated += self.SmaUpdated self.smaWin = RollingWindow[IndicatorDataPoint](5) def SmaUpdated(self, sender, updated): '''Adds updated values to rolling window''' self.smaWin.Add(updated) def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.''' # Add SPY TradeBar in rollling window self.window.Add(data["SPY"]) # Wait for windows to be ready. if not (self.window.IsReady and self.smaWin.IsReady): return currBar = self.window[0] # Current bar had index zero. pastBar = self.window[1] # Past bar has index one. self.Log("Price: {0} -> {1} ... {2} -> {3}".format(pastBar.Time, pastBar.Close, currBar.Time, currBar.Close)) currSma = self.smaWin[0] # Current SMA had index zero. pastSma = self.smaWin[self.smaWin.Count-1] # Oldest SMA has index of window count minus 1. self.Log("SMA: {0} -> {1} ... {2} -> {3}".format(pastSma.Time, pastSma.Value, currSma.Time, currSma.Value)) if not self.Portfolio.Invested and currSma.Value > pastSma.Value: self.SetHoldings("SPY", 1)