Overall Statistics |
Total Trades 49 Average Win 10.27% Average Loss -3.61% Compounding Annual Return 9.003% Drawdown 21.300% Expectancy 1.084 Net Profit 264.701% Sharpe Ratio 0.681 Probabilistic Sharpe Ratio 5.923% Loss Rate 46% Win Rate 54% Profit-Loss Ratio 2.85 Alpha 0.036 Beta 0.351 Annual Standard Deviation 0.098 Annual Variance 0.01 Information Ratio -0.152 Tracking Error 0.133 Treynor Ratio 0.189 Total Fees $241.57 Estimated Strategy Capacity $52000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System; using System.Linq; using QuantConnect.Data.Market; using QuantConnect.Indicators; namespace QuantConnect.Algorithm.CSharp { /// <summary> /// In this example we look at the canonical 15/30 day moving average cross. This algorithm /// will go long when the 15 crosses above the 30 and will liquidate when the 15 crosses /// back below the 30. /// </summary> /// <meta name="tag" content="indicators" /> /// <meta name="tag" content="indicator classes" /> /// <meta name="tag" content="moving average cross" /> /// <meta name="tag" content="strategy example" /> public class MovingAverageCrossAlgorithm : QCAlgorithm { private string _symbol = "SPY"; private DateTime _previous; private ExponentialMovingAverage _fast; private ExponentialMovingAverage _slow; private SimpleMovingAverage[] _ribbon; /// <summary> /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. /// </summary> public override void Initialize() { // set up our analysis span SetStartDate(2007, 01, 01); SetEndDate(2022, 01, 01); // cash allocation SetCash(100000); // request SPY data with minute resolution AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute); // create a 15 day exponential moving average _fast = EMA(_symbol, 10, Resolution.Daily); // create a 30 day exponential moving average _slow = EMA(_symbol, 90, Resolution.Daily); var ribbonCount = 8; var ribbonInterval = 15; _ribbon = Enumerable.Range(0, ribbonCount).Select(x => SMA(_symbol, (x + 1)*ribbonInterval, Resolution.Daily)).ToArray(); } /// <summary> /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// </summary> /// <param name="data">TradeBars IDictionary object with your stock data</param> public void OnData(TradeBars data) { // a couple things to notice in this method: // 1. We never need to 'update' our indicators with the data, the engine takes care of this for us // 2. We can use indicators directly in math expressions // 3. We can easily plot many indicators at the same time // wait for our slow ema to fully initialize if (!_slow.IsReady) return; // only once per day if (_previous.Date == Time.Date) return; // define a small tolerance on our checks to avoid bouncing const decimal tolerance = 0.00015m; var holdings = Portfolio[_symbol].Quantity; // we only want to go long if we're currently short or flat if (holdings <= 0) { // if the fast is greater than the slow, we'll go long if (_fast > _slow * (1 + tolerance)) { Log("BUY >> " + Securities[_symbol].Price); SetHoldings(_symbol, 1.0); } } // we only want to liquidate if we're currently long // if the fast is less than the slow we'll liquidate our long if (holdings > 0 && _fast < _slow) { Log("SELL >> " + Securities[_symbol].Price); Liquidate(_symbol); } Plot(_symbol, "Price", data[_symbol].Price); // easily plot indicators, the series name will be the name of the indicator Plot(_symbol, _fast, _slow); Plot("Ribbon", _ribbon); _previous = Time; } } }