Overall Statistics |
Total Trades 3 Average Win 0% Average Loss -15.25% Compounding Annual Return -98.212% Drawdown 67.800% Expectancy -1 Net Profit -63.736% Sharpe Ratio -3.977 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -2.974 Beta -0.227 Annual Standard Deviation 0.736 Annual Variance 0.541 Information Ratio -3.282 Tracking Error 0.827 Treynor Ratio 12.899 Total Fees $40.06 |
/* * 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.Market; using QuantConnect.Orders; using QuantConnect.Data.Market; namespace QuantConnect.Algorithm.Examples { /// <summary> /// Basic template algorithm simply initializes the date range and cash /// </summary> public class VIXIntraDay : QCAlgorithm { public override void Initialize() { SetStartDate(2011, 7, 22); SetEndDate(2011, 10, 22); SetCash(100000); AddSecurity(SecurityType.Equity, "XIV", Resolution.Minute); } public void OnData(TradeBars data) { var bar = data["XIV"]; if (Portfolio.Invested == false && bar.Time.Hour == 15 && bar.Time.Minute == 58) SetHoldings("XIV", 1); } // OnData } }