Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -91.717% Drawdown 2.100% Expectancy 0 Net Profit 0% Sharpe Ratio -37.995 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -1.253 Beta 0.021 Annual Standard Deviation 0.034 Annual Variance 0.001 Information Ratio 2.238 Tracking Error 0.139 Treynor Ratio -62.592 Total Fees $2.00 |
/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using QuantConnect.Data; namespace QuantConnect.Algorithm.CSharp { /// <summary> /// Basic template algorithm simply initializes the date range and cash /// </summary> public class BasicTemplateAlgorithmTest : QCAlgorithm { private string _spy = "GBPJPY"; /// <summary> /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. /// </summary> public override void Initialize() { SetStartDate(2016, 1,4); //Set Start Date SetEndDate(2016, 1, 6); //Set End Date SetCash(100000); //Set Strategy Cash // Find more symbols here: http://quantconnect.com/data AddForex("USDJPY", Resolution.Minute); AddForex("GBPJPY", Resolution.Minute); } /// <summary> /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// </summary> /// <param name="data">Slice object keyed by symbol containing the stock data</param> public override void OnData(Slice data) { if (!Portfolio.Invested) { SetHoldings(_spy, 1); Debug("Purchased Stock"); } Plot("USDJPY", "USDJPY", data.QuoteBars["USDJPY"].Price); Plot("USDJPYs", "USDJPYs", Securities["usdjpy"].Close); } } }