Overall Statistics |
Total Trades 5 Average Win 0% Average Loss -0.01% Compounding Annual Return -0.282% Drawdown 0.000% Expectancy -1 Net Profit -0.007% Sharpe Ratio -2.748 Probabilistic Sharpe Ratio 26.252% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.003 Beta 0.003 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -4.942 Tracking Error 0.092 Treynor Ratio -0.431 Total Fees $5.00 Estimated Strategy Capacity $2800000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.24% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class TrailingStopOrderAlgorithm : QCAlgorithm { private Symbol _symbol; const decimal _trailingAmount = 0.01m; public override void Initialize() { SetStartDate(2021, 7, 1); SetEndDate(2021, 7, 9); SetCash(100000); _symbol = AddEquity("SPY", dataNormalizationMode: DataNormalizationMode.Raw).Symbol; } public override void OnData(Slice data) { if (!Portfolio.Invested) { var quantity = Time.Day % 2 == 0 ? 1 : -1; MarketOrder(_symbol, quantity); TrailingStopOrder(_symbol, -quantity, _trailingAmount, true); } } } }