Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 12.094% Drawdown 5.900% Expectancy 0 Net Profit 0% Sharpe Ratio 1.737 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.12 Beta -0.022 Annual Standard Deviation 0.066 Annual Variance 0.004 Information Ratio -0.649 Tracking Error 0.13 Treynor Ratio -5.178 Total Fees $1.00 |
namespace QuantConnect { public class FiveMinuteIndicatorsAlgorithm : QCAlgorithm { string _symbol = "SPY"; SimpleMovingAverage _sma; TradeBarConsolidator _consolidator; public override void Initialize() { SetStartDate(2013, 1, 1); SetEndDate(2015, 1, 1); SetCash(25000); AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute); //Create an indicator object _sma = new SimpleMovingAverage(200); //Create a new 5 minute bar consolidator. _consolidator = new TradeBarConsolidator( TimeSpan.FromMinutes(5) ); _consolidator.DataConsolidated += (sender, args) => { //"args" here is a 5 minute trade bar. //Update my SMA with the consolidated 5 minute bars. _sma.Update(args.Time, args.Close); }; //Make sure we pipe SPY data to our consolidator. SubscriptionManager.AddConsolidator(_symbol, _consolidator); } //Handle our data event. public void OnData(TradeBars data) { if (!_sma.IsReady) return; if (!Portfolio.HoldStock && data[_symbol].Close > _sma) { Order(_symbol, 100); Debug(Time.ToString("o") + " Purchased " + _symbol); } } } }