Overall Statistics |
Total Trades 7754 Average Win 0.17% Average Loss -0.25% Compounding Annual Return 6.281% Drawdown 19.100% Expectancy 0.031 Net Profit 32.158% Sharpe Ratio 0.629 Loss Rate 38% Win Rate 62% Profit-Loss Ratio 0.66 Alpha -0.049 Beta 5.794 Annual Standard Deviation 0.106 Annual Variance 0.011 Information Ratio 0.44 Tracking Error 0.106 Treynor Ratio 0.012 Total Fees $16661.38 |
namespace QuantConnect.Algorithm.CSharp { public class TachyonQuantumComputer : QCAlgorithm { private Security _sec; private AverageDirectionalIndex _adx; private SimpleMovingAverage _ma20; private RelativeStrengthIndex _rsi2; public override void Initialize() { SetStartDate(2014, 11, 1); //Set Start Date SetCash(100000); //Set Strategy Cash _sec = AddEquity("TSLA", Resolution.Minute); var symbol = _sec.Symbol; _adx = ADX(symbol, 14); _ma20 = SMA(symbol, 20); _rsi2 = RSI(symbol, 2); } /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// Slice object keyed by symbol containing the stock data public override void OnData(Slice data) { var diPlus = _adx.PositiveDirectionalIndex; var diMinus = _adx.NegativeDirectionalIndex; var price = _sec.Price; bool buy = _adx > 30 && price > _ma20 && diPlus > diMinus && _rsi2 < 25; bool sell = _rsi2 > 75; if (sell) { if (Portfolio.Invested) { SetHoldings(_sec.Symbol, 0); } } else if (buy && !sell) { if (!Portfolio.Invested) { SetHoldings(_sec.Symbol, 1); } } } } }