Overall Statistics |
Total Trades 3 Average Win 37.46% Average Loss -3.10% Annual Return 44.338% Drawdown 14.300% Expectancy 7.735 Net Profit 70.657% Sharpe Ratio 1.595 Loss Rate 33% Win Rate 67% Profit-Loss Ratio 12.10 Alpha 0.18 Beta 0.853 Annual Standard Deviation 0.226 Annual Variance 0.051 Information Ratio 0.722 Tracking Error 0.207 Treynor Ratio 0.423 |
using System; using System.Collections; using System.Collections.Generic; using QuantConnect.Securities; using QuantConnect.Models; namespace QuantConnect { /*************************************************************************** ORDERS Orders are placed through the Order() Method. Here you simply enter the string symbol and int quantity of the asset you'd like to buy or sell ***************************************************************************/ public class OrdersExample : QCAlgorithm { public override void Initialize() { SetStartDate(2013, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); SetCash(50000); AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute); } public void OnData(TradeBars securityData) { try { //If we don't hold any MSFT stocks, buy all possible with the money aviable if (securityData["MSFT"].Open <= 44.45m && !Portfolio.HoldStock) { Order("MSFT", (int)Math.Floor(Portfolio.Cash / securityData["MSFT"].Close)); } //If the price of the stock is bigger than $44.5, sell them all (If we have any) if (securityData["MSFT"].Open >= 45.1m && Portfolio.HoldStock) { Order("MSFT", -Portfolio["MSFT"].Quantity); } } catch(Exception err) { Error("OnData Err: " + err.Message); } } } }