Overall Statistics |
Total Trades 3 Average Win 89.96% Average Loss -2.48% Compounding Annual Return 3.931% Drawdown 71.800% Expectancy 11.443 Net Profit 80.664% Sharpe Ratio 0.28 Loss Rate 67% Win Rate 33% Profit-Loss Ratio 36.33 Alpha 0.085 Beta 0.037 Annual Standard Deviation 0.312 Annual Variance 0.098 Information Ratio 0.07 Tracking Error 0.369 Treynor Ratio 2.36 |
namespace QuantConnect { /* * QuantConnect University: Futures Example * * QuantConnect allows importing generic data sources! This example demonstrates importing a futures * data from the popular open data source Quandl. * * QuantConnect has a special deal with Quandl giving you access to Stevens Continuous Futurs (SCF) for free. * If you'd like to download SCF for local backtesting, you can download it through Quandl.com. */ public class QCUQuandlFutures : QCAlgorithm { string _crude = "SCF/CME_CL1_ON"; SimpleMovingAverage _smaSlow; SimpleMovingAverage _smaFast; //Initialize the data and resolution you require for your strategy: public override void Initialize() { SetStartDate(2000, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); SetCash(25000); AddData<QuandlFuture>(_crude, Resolution.Daily); _smaFast = new SimpleMovingAverage(_crude, 15); _smaSlow = new SimpleMovingAverage(_crude, 60); //Manually creating and subscribing indicator for data updates. //This allows the indicator to automatically be the right value. var crudeSlowConsolidator = new DynamicDataConsolidator(period: TimeSpan.FromDays(1), isTradeBar: false, hasVolume: false); RegisterIndicator(_crude, _smaSlow, crudeSlowConsolidator, x => x.Value); var crudeFastConsolidator = new DynamicDataConsolidator(period: TimeSpan.FromDays(1), isTradeBar:false, hasVolume: false); RegisterIndicator(_crude, _smaFast, crudeFastConsolidator, x => x.Value); } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(Quandl data) { if (!Portfolio.HoldStock && _smaFast > _smaSlow) { SetHoldings(_crude, 1); Debug(Time.ToString("u") + " Purchased Crude Oil: " + _crude); } } } // Custom quandl data type for setting customized value column name. // Value column is used for the primary trading calculations and charting. public class QuandlFuture : Quandl { public QuandlFuture() : base(valueColumnName: "Settle") { } } }