Overall Statistics |
Total Trades 27 Average Win 0% Average Loss 0% Compounding Annual Return -0.524% Drawdown 14.800% Expectancy 0 Net Profit -2.249% Sharpe Ratio -0.099 Probabilistic Sharpe Ratio 1.023% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.023 Beta 0.151 Annual Standard Deviation 0.044 Annual Variance 0.002 Information Ratio -0.771 Tracking Error 0.165 Treynor Ratio -0.029 Total Fees $27.00 |
namespace QuantConnect { /* * Basic Template Algorithm * * The underlying QCAlgorithm class has many methods which enable you to use QuantConnect. * We have explained some of these here, but the full base class can be found at: * https://github.com/QuantConnect/Lean/tree/master/Algorithm */ public class BasicTemplateAlgorithm : QCAlgorithm { public override void Initialize() { // backtest parameters SetStartDate(2016, 1, 1); SetEndDate(DateTime.Now); // cash allocation SetCash(1000000); // request specific equities // including forex. Options and futures in beta. var vxx = AddEquity("VXX", Resolution.Minute).Symbol; Schedule.On(DateRules.MonthStart(vxx), TimeRules.AfterMarketOpen(vxx, 10), () => { if (CurrentSlice.ContainsKey(vxx)) { var shares = -100; MarketOrder(vxx, shares); Log("Sold " + shares + " of VXX on " + Time); } }); } } }