| Overall Statistics |
|
Total Orders 3 Average Win 0% Average Loss 0% Compounding Annual Return 345.071% Drawdown 1.900% Expectancy 0 Start Equity 100000 End Equity 101927.28 Net Profit 1.927% Sharpe Ratio 13.184 Sortino Ratio 0 Probabilistic Sharpe Ratio 70.325% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 1.109 Beta 0.987 Annual Standard Deviation 0.232 Annual Variance 0.054 Information Ratio 14.479 Tracking Error 0.075 Treynor Ratio 3.099 Total Fees $17.52 Estimated Strategy Capacity $20000000.00 Lowest Capacity Asset NB R735QTJ8XC9X Portfolio Turnover 19.78% |
#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.Portfolio.SignalExports;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Api;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Commands;
using QuantConnect.Configuration;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Custom.IconicTypes;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.Shortable;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.OptionExercise;
using QuantConnect.Orders.Slippage;
using QuantConnect.Orders.TimeInForces;
using QuantConnect.Python;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Positions;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.CryptoFuture;
using QuantConnect.Securities.IndexOption;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Securities.Volatility;
using QuantConnect.Storage;
using QuantConnect.Statistics;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
using Calendar = QuantConnect.Data.Consolidators.Calendar;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
public class MeasuredTanCaribou : QCAlgorithm
{
public override void Initialize()
{
// Locally Lean installs free sample data, to download more data please visit https://www.quantconnect.com/docs/v2/lean-cli/datasets/downloading-data
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 11);
SetCash(100000);
AddEquity("SPY", Resolution.Minute);
AddEquity("BAC", Resolution.Minute);
AddEquity("IBM", Resolution.Minute);
}
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// Slice object keyed by symbol containing the stock data
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
SetHoldings("SPY", 0.33);
SetHoldings("BAC", 0.33);
SetHoldings("IBM", 0.33);
}
}
}
}