Overall Statistics |
Total Trades 4 Average Win 0.01% Average Loss -4.16% Compounding Annual Return -3.679% Drawdown 15.000% Expectancy -0.499 Net Profit -1.519% Sharpe Ratio -0.048 Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0.00 Alpha -0.171 Beta 1.411 Annual Standard Deviation 0.204 Annual Variance 0.042 Information Ratio -0.904 Tracking Error 0.137 Treynor Ratio -0.007 Total Fees $43.03 |
namespace QuantConnect { /* * Basic Template Algorithm * * The underlying QCAlgorithm class has many methods which enable you to use QuantConnect. * We have explained some of these here, but the full base class can be found at: * https://github.com/QuantConnect/Lean/tree/master/Algorithm */ public class BasicTemplateAlgorithm : QCAlgorithm { public int counter = 0; public override void Initialize() { // backtest parameters SetStartDate(2016, 5, 5); SetEndDate(2016, 10, 2); // cash allocation SetCash(100000); // request specific equities // including forex. Options and futures in beta. AddEquity("GOOG", Resolution.Daily); AddEquity("GS", Resolution.Daily); AddEquity("MS", Resolution.Daily); //AddForex("EURUSD", Resolution.Minute); } public override void OnData(Slice data) { // slice has lots of useful information TradeBars bars = data.Bars; Splits splits = data.Splits; Dividends dividends = data.Dividends; if(counter == 1) { SetHoldings("GS", 1); SetHoldings("MS", -1); } if (counter == 10) { Liquidate("MS"); SetHoldings("GS", 1); SetHoldings("GOOG", -1); } counter = counter + 1; } } }