Overall Statistics |
Total Trades 2 Average Win 0% Average Loss -41.56% Compounding Annual Return -12.370% Drawdown 71.700% Expectancy -1 Net Profit -69.264% Sharpe Ratio -0.844 Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.082 Beta -0.285 Annual Standard Deviation 0.119 Annual Variance 0.014 Information Ratio -0.638 Tracking Error 0.263 Treynor Ratio 0.353 Total Fees $2.00 |
namespace QuantConnect { public class BasicTemplateAlgorithm : QCAlgorithm { string[] symbols = new string[]{"VXX"}; public override void Initialize() { SetStartDate(2008,6,1); foreach(var symbol in symbols) { AddEquity(symbol, Resolution.Daily); } } public void OnData(TradeBars data) { if(!Portfolio.Invested) SetHoldings(symbols.First(), 1); } public override void OnEndOfDay() { foreach(var symbol in symbols) { Plot(symbol, "EOD Close", Securities[symbol].Price); } } } }