Overall Statistics |
Total Trades 508 Average Win 0.31% Average Loss -0.38% Compounding Annual Return 7.142% Drawdown 6.200% Expectancy 0.075 Net Profit 7.236% Sharpe Ratio 1.006 Loss Rate 41% Win Rate 59% Profit-Loss Ratio 0.82 Alpha 0.113 Beta -2.08 Annual Standard Deviation 0.071 Annual Variance 0.005 Information Ratio 0.725 Tracking Error 0.071 Treynor Ratio -0.034 Total Fees $0.00 |
namespace QuantConnect.Algorithm.CSharp { /// <summary> /// Basic template algorithm simply initializes the date range and cash. This is a skeleton /// framework you can use for designing an algorithm. /// </summary> public class BasicTemplateAlgorithm : QCAlgorithm { private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA); /// <summary> /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. /// </summary> public override void Initialize() { SetStartDate(2012, 10, 07); //Set Start Date SetEndDate(2013, 10, 11); //Set End Date SetCash(100000); //Set Strategy Cash // Find more symbols here: http://quantconnect.com/data // Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily. // Futures Resolution: Tick, Second, Minute // Options Resolution: Minute Only. AddEquity("SPY", Resolution.Minute); Securities[_spy].FeeModel = new ConstantFeeModel(0); // There are other assets with similar methods. See "Selecting Options" etc for more details. // AddFuture, AddForex, AddCfd, AddOption Schedule.Event().EveryDay().AfterMarketOpen(_spy, 10).Run(() => { SetHoldings(_spy, 0.9); }); Schedule.Event().EveryDay().BeforeMarketClose(_spy, 15).Run(() => { SetHoldings(_spy, 0); //Liquidate(); }); } /// <summary> /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// </summary> /// <param name="data">Slice object keyed by symbol containing the stock data</param> public override void OnData(Slice data) { if (!Portfolio.Invested) { //SetHoldings(_spy, 1); //Debug("Purchased Stock"); } } } }