Overall Statistics |
Total Trades 466 Average Win 0.93% Average Loss -0.63% Compounding Annual Return 9.266% Drawdown 26.200% Expectancy 0.353 Net Profit 65.332% Sharpe Ratio 0.612 Loss Rate 45% Win Rate 55% Profit-Loss Ratio 1.48 Alpha -0.031 Beta 0.929 Annual Standard Deviation 0.133 Annual Variance 0.018 Information Ratio -0.526 Tracking Error 0.076 Treynor Ratio 0.087 Total Fees $658.00 |
using System.Collections.Generic; using System.Linq; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; namespace QuantConnect.Algorithm.CSharp { /// <summary> /// In this algorithm we demonstrate how to use the coarse fundamental data to /// define a universe as the top dollar volume /// </summary> public class CoarseFundamentalTop5Algorithm : QCAlgorithm { private const int NumberOfSymbols = 5; // initialize our changes to nothing SecurityChanges _changes = SecurityChanges.None; public override void Initialize() { UniverseSettings.Resolution = Resolution.Daily; SetStartDate(2012, 01, 01); SetEndDate(2017, 09, 01); SetCash(50000); // this add universe method accepts a single parameter that is a function that // accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol> AddUniverse(CoarseSelectionFunction); } // sort the data by daily dollar volume and take the top 'NumberOfSymbols' public static IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse) { // sort descending by daily dollar volume var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume); // take the top entries from our sorted collection var top5 = sortedByDollarVolume.Take(NumberOfSymbols); // we need to return only the symbol objects return top5.Select(x => x.Symbol); } //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) { // if we have no changes, do nothing if (_changes == SecurityChanges.None) return; // liquidate removed securities foreach (var security in _changes.RemovedSecurities) { if (security.Invested) { Liquidate(security.Symbol); } } // we want 20% allocation in each security in our universe foreach (var security in _changes.AddedSecurities) { SetHoldings(security.Symbol, 0.2m); } _changes = SecurityChanges.None; } // this event fires whenever we have changes to our universe public override void OnSecuritiesChanged(SecurityChanges changes) { _changes = changes; } } }