Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -9.502 Tracking Error 0.096 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 |
using System; using QuantConnect.Data.Market; using QuantConnect.Data; using QuantConnect.Securities; using System.Collections.Generic; namespace QuantConnect.Algorithm.CSharp { public class ExampleRS : QCAlgorithm { // Contains all of our equity symbols public readonly IReadOnlyList<string> EquitySymbols = new List<string> { "NIO" }; public readonly IReadOnlyList<string> FSIPSymbols = new List<string> { "AMD","CCL","AAL","PLTR" }; private readonly DateTime startDate = new DateTime(2021, 4, 12, 0, 0, 0); private readonly DateTime endDate = new DateTime(2021, 4, 15, 0, 0, 0); private readonly decimal startingCash = 100000; public override void Initialize() { SetStartDate(startDate.Date); // Set Start Date SetEndDate(endDate.Date); // Set End Date SetCash(startingCash); // Set Strategy Cash foreach (var symbol in EquitySymbols) { const bool fillDataForward = true; // returns the last available data even if none in that timeslice const bool extendedMarketHours = true; // Show pre/post market data var equity = AddEquity(symbol, Resolution.Minute, Market.USA, fillDataForward, Security.NullLeverage, extendedMarketHours); } Schedule.On(DateRules.Every(DayOfWeek.Tuesday), TimeRules.AfterMarketOpen(EquitySymbols[0], -20), FindStocksToTrade); } public void FindStocksToTrade() { Log("--- FindStocksToTrade ENTRY ---"); const bool fillDataForward = true; // returns the last available data even if none in that timeslice const bool extendedMarketHours = true; // Show pre/post market data foreach (var fsip in FSIPSymbols) { var equity = AddEquity(fsip, Resolution.Minute, Market.USA, fillDataForward, Security.NullLeverage, extendedMarketHours); Log($" Add {equity.Symbol}"); var histBars = History<TradeBar>(equity.Symbol, 60, Resolution.Minute); foreach (var histBar in histBars) { // Do stuff } Log($" Remove {equity.Symbol}"); RemoveSecurity(equity.Symbol); } Log("--- FindStocksToTrade EXIT ---"); } public override void OnData(Slice data) { if (Time.Hour == 9 && Time.Minute == 45) { foreach (var kvp in Securities) { Log($"OnData: symbol = {kvp.Key}, hasData = {kvp.Value.HasData}"); } if (data.HasData) { foreach (var kvp in data) { Log($"OnData: symbol = {kvp.Key}, Price = {kvp.Value.Price}, EndTime = {kvp.Value.EndTime}"); } } } } } }