Overall Statistics |
Total Trades 434 Average Win 0.98% Average Loss -0.77% Compounding Annual Return 151.613% Drawdown 10.500% Expectancy 0.274 Net Profit 56.812% Sharpe Ratio 2.789 Loss Rate 44% Win Rate 56% Profit-Loss Ratio 1.27 Alpha 0.838 Beta -0.679 Annual Standard Deviation 0.284 Annual Variance 0.081 Information Ratio 2.199 Tracking Error 0.329 Treynor Ratio -1.166 Total Fees $6824.14 |
/* * 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 System; using System.Linq; using QuantConnect.Data; using QuantConnect.Data.UniverseSelection; namespace QuantConnect.Algorithm.CSharp { /// <summary> /// This algorithm shows how to grab symbols from an external api each day /// and load data using the universe selection feature. In this example we /// define a custom data type for the NYSE top gainers and then short the /// top 2 gainers each day /// </summary> public class CustomDataUniverseAlgorithm : QCAlgorithm { private SecurityChanges _changes; public override void Initialize() { UniverseSettings.Resolution = Resolution.Daily; SetStartDate(2015, 01, 05); SetEndDate(2015, 07, 01); SetCash(100000); AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily); SetBenchmark("SPY"); // add a custom universe data source (defaults to usa-equity) AddUniverse<NyseTopGainers>("universe-nyse-top-gainers", Resolution.Daily, data => { // define our selection criteria return from d in data // pick top 2 gainers to bet against where d.TopGainersRank <= 2 select d.Symbol; }); } public override void OnData(Slice slice) { } public override void OnSecuritiesChanged(SecurityChanges changes) { _changes = changes; foreach (var security in changes.RemovedSecurities) { // liquidate securities that have been removed if (security.Invested) { Liquidate(security.Symbol); Log("Exit " + security.Symbol + " at " + security.Close); } } foreach (var security in changes.AddedSecurities) { // enter short positions on new securities if (!security.Invested && security.Close != 0) { var qty = CalculateOrderQuantity(security.Symbol, -0.25m); MarketOnOpenOrder(security.Symbol, qty); Log("Enter " + security.Symbol + " at " + security.Close); } } } /// <summary> /// Custom data type that uses the wall street journal's top 100 nyse gainers /// html page as a live data source, and a csv file that contains the top 10 /// nyse gainers since the beginning of 2009 until 2015/10/19 /// </summary> public class NyseTopGainers : BaseData { public int TopGainersRank; public override DateTime EndTime { // define end time as exactly 1 day after Time get { return Time + QuantConnect.Time.OneDay; } set { Time = value - QuantConnect.Time.OneDay; } } private int count; private DateTime lastDate; public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { if (isLiveMode) { // this is actually an html file, we'll handle the parsing accordingly return new SubscriptionDataSource(@"http://www.wsj.com/mdc/public/page/2_3021-gainnyse-gainer.html", SubscriptionTransportMedium.RemoteFile); } // this has data from 2009.01.01 to 2015.10.19 for top 10 nyse gainers return new SubscriptionDataSource(@"https://www.dropbox.com/s/vrn3p38qberw3df/nyse-gainers.csv?dl=1", SubscriptionTransportMedium.RemoteFile); } public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { if (!isLiveMode) { // backtest gets data from csv file in dropbox var csv = line.Split(','); return new NyseTopGainers { Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null), Symbol = Symbol.Create(csv[1], SecurityType.Equity, Market.USA), TopGainersRank = int.Parse(csv[2]) }; } if (lastDate != date) { // reset our counter for the new day lastDate = date; count = 0; } // parse the html into a symbol if (!line.StartsWith(@"<a href=""/public/quotes/main.html?symbol=")) { // we're only looking for lines that contain the symbols return null; } var lastCloseParen = line.LastIndexOf(")", StringComparison.Ordinal); var lastOpenParen = line.LastIndexOf("(", StringComparison.Ordinal); if (lastOpenParen == -1 || lastCloseParen == -1) { return null; } var symbolString = line.Substring(lastOpenParen + 1, lastCloseParen - lastOpenParen - 1); return new NyseTopGainers { Symbol = Symbol.Create(symbolString, SecurityType.Equity, Market.USA), Time = date, // the html has these in order, so we'll keep incrementing until a new day TopGainersRank = ++count }; } } } }