QuantConnect Community

using System;
using System.Collections;
using System.Collections.Generic;

namespace QuantConnect
{
using QuantConnect.Securities;
using QuantConnect.Models;

public partial class DollarCostAverageAlgorithm : QCAlgorithm, IAlgorithm
{

private string etf = "SPY";
private DateTime startDate = new DateTime(2009, 10, 01);
private DateTime endDate = new DateTime(2010, 03, 31);
private DateTime nextTradeDate = DateTime.MinValue;

// Monthly Dollar Value to be used, say every month you have 1000 to invest.
private decimal monthlyDollarValue = 1000;


public override void Initialize()
{
SetRunMode(RunMode.Series);
Resolution resolution = Resolution.Minute;
nextTradeDate = startDate.AddDays(15);

SetStartDate(startDate);
SetEndDate(endDate);
SetCash(SetupCapital(startDate, endDate));
AddSecurity(SecurityType.Equity, etf, resolution);
}

private decimal SetupCapital(DateTime startDate, DateTime endDate)
{
if (startDate.Date < endDate.Date )
{
int months = (int) ((endDate.Date - startDate.Date).Days / 30);

return (decimal) months * monthlyDollarValue * 10 ;
}

//Default 100,000 dollars,
return (decimal) 100000.0;
}

private int Quantity(decimal price)
{
int quantity = (int) (monthlyDollarValue / price);
return quantity;
}

public override void OnTradeBar(Dictionary securityData)
{
try
{
//trade in the on a midday
if (Time.Date >= nextTradeDate.Date && Time.Hour >= 12)
{

// finally we will make our investment. Ho Ho HO Ho father christmas has arrived early.
int quantity = Quantity(securityData[etf].Price);
Order(etf, quantity); //symbol, quantity

nextTradeDate = nextTradeDate.AddMonths(1);

}
return;
}
catch (Exception err)
{
Error("This is an error handler." + err.Message);
}
}
}
}

Hi,

This is my code base. Dollar cost being 1000 Dollar per month say at 15th each month or soon after that.

I get result fine for a small simulation day 4 months (simulation id: b1e60c72-3d4e-48db-a9dd-948dba8d084b). I have checked the trades, they seem to be fine.

Anything longer simulation time seems not be working. The simulation ids are as follows:
c1747beb-2f47-4de5-9e03-6d45b57a7b34
ae50851a-a685-4a04-beeb-39466b8f661d
097beabe-1652-49dc-a972-1a966c7cc985

Yeah I am taking slices of time. Any simulation that deals with data more than 6 months seem not to work, at least for this dollar coast average that I have listed above.

Please feel free to copy/paste it and have a play with different start and end dates.



Joyanta

Good catch, thank you. We pushed out code a little too fast last night and missed a bug ;) We'll patch this today -

cool cheers.

Cool done --> 1. Fixed the series bug. It was from the new dynamic scatter plotting, again only visual no backtests affected. 2. Fixed the bug restricting data from July 31st -> December 31st. Gustavo is finishing the charting tonight.

Now will add the daily update server so data is always current until yesterday...

Series analysis take too long I think so perhaps we'll work on some optimization there as well. At least now you'll get dynamic beautiful charts while the results stream in.