Overall Statistics |
Total Trades 1 Average Win 59.58% Average Loss 0% Compounding Annual Return 59.648% Drawdown 11.700% Expectancy 0 Net Profit 59.58% Sharpe Ratio 2.497 Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.007 Beta 1.726 Annual Standard Deviation 0.194 Annual Variance 0.038 Information Ratio 2.272 Tracking Error 0.088 Treynor Ratio 0.281 |
-no value-
using System; using QuantConnect; using QuantConnect.Algorithm; using QuantConnect.Data.Market; using QuantConnect.Indicators; namespace Sandbox { public class SimpleMovingAverageExample : QCAlgorithm { private SimpleMovingAverage sma; public override void Initialize() { // set start/end dates of backtest SetStartDate(2013, 01, 01); SetEndDate(2014, 01, 01); // request data AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute); // define our 10 period sma sma = new SimpleMovingAverage(10); } private DateTime previous; public void OnData(TradeBars data) { if (!Portfolio.HoldStock) { SetHoldings("SPY", 1); } TradeBar spy; if (data.TryGetValue("SPY", out spy) && spy.Time.Date != previous.Date) { // pump the daily data into our sma sma.Update(spy.Time, spy.Value); // plot our s Plot("SPY", sma); previous = spy.Time; } } } }