| Overall Statistics |
|
Total Trades 100 Average Win 2.01% Average Loss -1.40% Compounding Annual Return 8.241% Drawdown 11.900% Expectancy 0.459 Net Profit 35.905% Sharpe Ratio 0.721 Loss Rate 40% Win Rate 60% Profit-Loss Ratio 1.43 Alpha -0.005 Beta 0.669 Annual Standard Deviation 0.096 Annual Variance 0.009 Information Ratio -0.625 Tracking Error 0.067 Treynor Ratio 0.104 Total Fees $100.00 |
namespace QuantConnect
{
/*
* QuantConnect University: Full Basic Template:
*
* The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect.
* We have explained some of these here, but the full algorithm can be found at:
* https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs
*/
public class BasicTemplateAlgorithm : QCAlgorithm
{
private Random Random;
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
//Start and End Date range for the backtest:
SetStartDate(2013, 1, 1);
SetEndDate(DateTime.Now.Date.AddDays(-1));
//Cash allocation
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
Random = new Random();
}
//Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
public void OnData(TradeBars data)
{
// "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol:
//
// e.g. data["MSFT"] data["GOOG"]
// Only trade if the random number is above 0.9
var rand = Random.NextDouble();
if (rand < .9) return;
Log("#" + rand);
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data["SPY"].Close);
//Order function places trades: enter the string symbol and the quantity you want:
Order("SPY", quantity);
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased SPY on " + Time.ToShortDateString());
//You can also use log to send longer messages to a file. You are capped to 10kb
//Log("This is a longer message send to log.");
}
else
{
// Liquidate all holdings
Liquidate();
}
}
}
}