Overall Statistics |
Total Trades 67 Average Win 3.48% Average Loss -4.67% Compounding Annual Return 9.799% Drawdown 20.500% Expectancy 0.270 Net Profit 45.405% Sharpe Ratio 0.708 Loss Rate 27% Win Rate 73% Profit-Loss Ratio 0.75 Alpha -0.018 Beta 0.769 Annual Standard Deviation 0.147 Annual Variance 0.021 Information Ratio -0.672 Tracking Error 0.081 Treynor Ratio 0.135 Total Fees $289.52 |
/* * 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 QuantConnect.Data.Market; namespace QuantConnect.Algorithm.Examples { /// <summary> /// 4.0 DEMONSTRATION OF CUSTOM CHARTING FLEXIBILITY: /// /// The entire charting system of quantconnect is adaptable. You can adjust it to draw whatever you'd like. /// /// Charts can be stacked, or overlayed on each other. /// Series can be candles, lines or scatter plots. /// /// Even the default behaviours of QuantConnect can be overridden /// /// </summary> public class CustomChartingAlgorithm : QCAlgorithm { decimal lastPrice = 0; decimal fastMA = 0; decimal slowMA = 0; DateTime resample = new DateTime(); TimeSpan resamplePeriod = new TimeSpan(); DateTime startDate = new DateTime(2010, 3, 3); DateTime endDate = new DateTime(2014, 3, 3); /// <summary> /// Called at the start of your algorithm to setup your requirements: /// </summary> public override void Initialize() { //Set the date range you want to run your algorithm: SetStartDate(startDate); SetEndDate(endDate); //Set the starting cash for your strategy: SetCash(100000); //Add any stocks you'd like to analyse, and set the resolution: // Find more symbols here: http://quantconnect.com/data AddSecurity(SecurityType.Equity, "SPY", resolution: Resolution.Minute); //Chart - Master Container for the Chart: Chart stockPlot = new Chart("Trade Plot"); //On the Trade Plotter Chart we want 3 series: trades and price: Series buyOrders = new Series("Buy", SeriesType.Scatter, 0); Series sellOrders = new Series("Sell", SeriesType.Scatter, 0); Series assetPrice = new Series("Price", SeriesType.Line, 0); stockPlot.AddSeries(buyOrders); stockPlot.AddSeries(sellOrders); stockPlot.AddSeries(assetPrice); AddChart(stockPlot); Chart avgCross = new Chart("Strategy Equity"); Series fastMA = new Series("FastMA", SeriesType.Line, 1); Series slowMA = new Series("SlowMA", SeriesType.Line, 1); avgCross.AddSeries(fastMA); avgCross.AddSeries(slowMA); AddChart(avgCross); resamplePeriod = TimeSpan.FromMinutes((endDate - startDate).TotalMinutes / 2000); } /// <summary> /// OnEndOfDay Event Handler - At the end of each trading day we fire this code. /// To avoid flooding, we recommend running your plotting at the end of each day. /// </summary> public override void OnEndOfDay() { //Log the end of day prices: Plot("Trade Plot", "Price", lastPrice); } /// <summary> /// On receiving new tradebar data it will be passed into this function. The general pattern is: /// "public void OnData( CustomType name ) {...s" /// </summary> /// <param name="data">TradeBars data type synchronized and pushed into this function. The tradebars are grouped in a dictionary.</param> public void OnData(TradeBars data) { lastPrice = data["SPY"].Close; if (fastMA == 0) fastMA = lastPrice; if (slowMA == 0) slowMA = lastPrice; fastMA = (0.01m * lastPrice) + (0.99m * fastMA); slowMA = (0.001m * lastPrice) + (0.999m * slowMA); if (Time > resample) { resample = Time.Add(resamplePeriod); Plot("Strategy Equity", "FastMA", fastMA); Plot("Strategy Equity", "SlowMA", slowMA); } //On the 5th days when not invested buy: if (!Portfolio.Invested && Time.Day % 13 == 0) { Order("SPY", (int)(Portfolio.Cash / data["SPY"].Close)); Plot("Trade Plot", "Buy", lastPrice); } else if (Time.Day % 21 == 0 && Portfolio.Invested) { Plot("Trade Plot", "Sell", lastPrice); Liquidate(); } } } }