Overall Statistics |
Total Trades 1 Average Win 60.64% Average Loss 0.00% Annual Return 4.178% Drawdown 26.300% Expectancy 0.000 Net Profit 60.552% Sharpe Ratio 0.5 Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Trade Frequency Weekly trades |
///<summary> /// QCU - S&P 500 Dollar Averaging Over Time. /// Typical, simple investment strategy - invest a fixed amount each month regardless of market conditions. /// How would this have performed over the last few years? ///</summary> using System; using System.Collections; using System.Collections.Generic; namespace QuantConnect { using QuantConnect.Securities; using QuantConnect.Models; // Dollar Cost Averaging Algorithm // Buy a little amount of SPY at regular time intervals. public class QCUDollarCostAverage : QCAlgorithm, IAlgorithm { private string symbol = "SPY"; private DateTime startDate = new DateTime(2004, 03, 01); private DateTime endDate = new DateTime(2014, 03, 01); private decimal monthlyDollarValue = 1000; private DateTime nextTradeDate = DateTime.MinValue; //Initialize the Code public override void Initialize() { //Dynamic start and end dates configured above. SetStartDate(startDate); SetEndDate(endDate); //Set the cash as a function of the number of months we're investing decimal investments = Convert.ToDecimal((endDate - startDate).TotalDays / 30); SetCash(investments * monthlyDollarValue); SetRunMode(RunMode.Series); AddSecurity(SecurityType.Equity, symbol, Resolution.Minute, true, false); } //Handle the Data Event: public override void OnTradeBar(Dictionary<string, TradeBar> data) { //Its good practise to wrap our code in "Try-Catch" to handle errors: try { decimal price = data[symbol].Price; DateTime today = data[symbol].Time; int quantity = (int)(monthlyDollarValue / price); //Check we've past the required date of our next investment if (today.Date >= nextTradeDate.Date && Time.Hour >= 12) { //Now place the order to purchase more SPY stock. Order(symbol, quantity); //symbol, quantity // Set the next date we'll place an order: nextTradeDate = today.AddMonths(1); } return; } catch (Exception err) { //Errors will be logged to the console Error("Error in Data Event:" + err.Message); } } } }