Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 20.783% Drawdown 21.500% Expectancy 0 Net Profit 0% Sharpe Ratio 0.83 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.015 Beta 1.58 Annual Standard Deviation 0.175 Annual Variance 0.031 Information Ratio 0.913 Tracking Error 0.069 Treynor Ratio 0.092 Total Fees $0.00 |
namespace QuantConnect { /* * QuantConnect University: Generic Quandl Data Importer * * Using the underlying dynamic data class "Quandl" we take care of the data * importing and definition for you. Simply point QuantConnect to the Quandl Short Code. * * The Quandl object has properties which match the spreadsheet headers. * If you have multiple quandl streams look at data.Symbol to distinguish them. */ public class QCUQuandlImporter : QCAlgorithm { string _quandlCode = "YAHOO/INDEX_SPY"; Security security; //Initialize the data and resolution you require for your strategy: public override void Initialize() { //Start and End Date range for the backtest: SetStartDate(2013, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); //Cash allocation SetCash(25000); //Add Generic Quandl Data: AddData<Quandl>(_quandlCode, Resolution.Minute); security = Securities[_quandlCode]; security.SetLeverage(2); Debug("Leverage: " + security.Leverage); } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(Quandl data) { if (!Portfolio.HoldStock) { //SetHoldings sets out our cash allocation from +1 to -1; SetHoldings(_quandlCode, 1 * security.Leverage); //Debug sends messages to the user console: "Time" is the algorithm time keeper object Debug("Purchased " + _quandlCode + " >> " + Time.ToShortDateString()); } } } }