Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -4.074 Tracking Error 0.243 Treynor Ratio 0 Total Fees $0.00 |
using System; using System.Collections.Generic; using System.Globalization; using System.Linq; using QuantConnect.Data; namespace QuantConnect.Algorithm.CSharp { public class CustomDataNiftyAlgorithm : QCAlgorithm { public override void Initialize() { SetStartDate(2020, 5, 1); SetCash(100000); AddData<Signal>("SIGNAL", Resolution.Daily); } public void OnData(Slice data) { if (!data.ContainsKey("SIGNAL")) { return; } Log(Convert.ToDouble(data["SIGNAL"].Sig1m)); Log(Convert.ToDouble(data["SIGNAL"].Sig3d)); } } public class Signal : BaseData { public decimal Sig3d; public decimal Sig1m; public Signal() { Symbol = "SIGNAL"; } public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { return new SubscriptionDataSource("https://www.dropbox.com/s/gzde6jsllzotxgv/QEPsignals%281%29.csv?dl=1", SubscriptionTransportMedium.RemoteFile); } public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { //New Signal object var index = new Signal(); string[] data = line.Split(',')[0].Split(';'); if (char.IsLetter(data[0][0])) return index; try { index.Symbol = "SIGNAL"; index.Sig3d = Convert.ToDecimal(data[1]); index.Sig1m = Convert.ToDecimal(data[2]); index.Time = DateTime.Parse(Convert.ToString(data[0])); } catch { } return index; } } }