| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss -0.07% Compounding Annual Return -0.125% Drawdown 3.400% Expectancy -1 Net Profit -0.073% Sharpe Ratio -0.015 Probabilistic Sharpe Ratio 20.881% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.002 Beta -0.006 Annual Standard Deviation 0.035 Annual Variance 0.001 Information Ratio -2.287 Tracking Error 0.183 Treynor Ratio 0.081 Total Fees $10.44 |
namespace QuantConnect
{
public class BuyOneSecurity : QCAlgorithm
{
string _ticker = "GSB";
private Symbol _symbol;
private Identity _price;
public override void Initialize()
{
SetStartDate(2020, 06, 01);
SetEndDate(2021, 01, 01);
SetCash(100000);
_symbol = AddEquity(_ticker, Resolution.Daily, Market.USA).Symbol;
_price = Identity(_symbol);
PlotIndicator($"{_symbol.Value} Price", _price);
}
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
SetHoldings(_symbol, 0.1);
Log($"Purchased Security {_symbol.ID}");
}
}
public override void OnSecuritiesChanged(SecurityChanges changes)
{
foreach (var securityChange in changes.RemovedSecurities)
{
Log(securityChange.Symbol.ID.ToString() + " - Delisted");
}
}
public void OnData(Splits data)
{
Log("_ticker: " + Securities[_ticker].Price);
var split = data[_ticker];
Log($"{split.Time.ToIso8601Invariant()} >> SPLIT >> {split.Symbol} - " +
$"{split.SplitFactor.ToStringInvariant()} - " +
$"{Portfolio.Cash.ToStringInvariant()} - " +
$"{Portfolio[_ticker].Quantity.ToStringInvariant()}"
);
}
public override void OnEndOfAlgorithm()
{
Liquidate();
}
}
}