Overall Statistics |
Total Trades 5 Average Win 0.13% Average Loss -0.08% Compounding Annual Return 0.745% Drawdown 0.300% Expectancy 0.293 Net Profit 0.044% Sharpe Ratio 1.393 Loss Rate 50% Win Rate 50% Profit-Loss Ratio 1.59 Alpha 0.005 Beta -0.01 Annual Standard Deviation 0.004 Annual Variance 0 Information Ratio 0.42 Tracking Error 0.082 Treynor Ratio -0.546 Total Fees $5.00 |
namespace QuantConnect { /* * QuantConnect University: Full Basic Template: * * The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect. * We have explained some of these here, but the full algorithm can be found at: * https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs */ public class BasicTemplateAlgorithm : QCAlgorithm { private decimal lastClose = -1m; private decimal lastBuy = -1m; private string symbol = "AAPL"; //Initialize the data and resolution you require for your strategy: public override void Initialize() { //Start and End Date range for the backtest: SetStartDate(2015, 7, 15); SetEndDate(DateTime.Now.Date.AddDays(-1)); //Cash allocation SetCash(25000); //Add as many securities as you like. All the data will be passed into the event handler: AddSecurity(SecurityType.Equity, symbol, Resolution.Minute, true, 1, true); } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(TradeBars data) { // "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol: // // e.g. data["MSFT"] data["GOOG"] TradeBar d = data[symbol]; // Record the previous closing price if (d.Time.Hour == 15) { lastClose = d.Close; lastBuy = -1m; } // Buy on a 1% dip in extended hours trading, keep buying as long as it keeps going down if (d.Time.Hour >= 16 && lastClose > 0m) { if (d.Low < lastClose * 0.99m) { if (lastBuy < 0m || d.Low < lastBuy) { LimitOrder(symbol, 10, d.Low); lastBuy = d.Low; } } } // Liquidate at the next day open if (d.Time.Hour == 9 && d.Time.Minute >=30) { if (Portfolio[symbol].HoldStock) { Liquidate(symbol); } } } } }