Overall Statistics |
Total Trades 19 Average Win 3.64% Average Loss -2.61% Compounding Annual Return 12.005% Drawdown 12.800% Expectancy 0.730 Net Profit 40.542% Sharpe Ratio 1.04 Loss Rate 28% Win Rate 72% Profit-Loss Ratio 1.40 Alpha 0.036 Beta 4.226 Annual Standard Deviation 0.116 Annual Variance 0.013 Information Ratio 0.867 Tracking Error 0.116 Treynor Ratio 0.028 Total Fees $146.70 |
/* * 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 QuantConnect.Data.Market; using QuantConnect.Indicators; using QuantConnect.Securities; namespace QuantConnect.Algorithm.CSharp { /// <summary> /// Regression Channel algorithm simply initializes the date range and cash /// </summary> /// <meta name="tag" content="indicators" /> /// <meta name="tag" content="indicator classes" /> /// <meta name="tag" content="placing orders" /> /// <meta name="tag" content="plotting indicators" /> public class RegressionChannelAlgorithm : QCAlgorithm { private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA); private SecurityHolding _holdings; private RegressionChannel _rc; /// <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() { SetStartDate(2012, 1, 1); //Set Start Date SetEndDate(2015, 1, 1); //Set End Date SetCash(100000); //Set Strategy Cash // Find more symbols here: http://quantconnect.com/data var equity = AddEquity(_spy, Resolution.Minute); _holdings = equity.Holdings; _rc = RC(_spy, 30, 2, Resolution.Daily); var stockPlot = new Chart("Trade Plot"); stockPlot.AddSeries(new Series("Buy", SeriesType.Scatter, 0)); stockPlot.AddSeries(new Series("Sell", SeriesType.Scatter, 0)); stockPlot.AddSeries(new Series("UpperChannel", SeriesType.Line, 0)); stockPlot.AddSeries(new Series("LowerChannel", SeriesType.Line, 0)); stockPlot.AddSeries(new Series("Regression", SeriesType.Line, 0)); AddChart(stockPlot); } /// <summary> /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// </summary> /// <param name="data">Slice object keyed by symbol containing the stock data</param> public void OnData(TradeBars data) { if (!_rc.IsReady || !data.ContainsKey(_spy)) return; var value = data[_spy].Value; if (Time.Hour < 10 || Time.Hour > 15) Debug(" in OnData " + Time.ToString() + " Close=" + value + " rc_LowerChanngel=" + _rc.LowerChannel ); if (_holdings.Quantity <= 0 && value < _rc.LowerChannel) { SetHoldings(_spy, 1); Plot("Trade Plot", "Buy", value); } if (_holdings.Quantity >= 0 && value > _rc.UpperChannel) { SetHoldings(_spy, -1); Plot("Trade Plot", "Sell", value); } } public override void OnEndOfDay() { Debug(" in OnEndOfDay " + Time.ToString() + " rc_LowerChanngel=" + _rc.LowerChannel ); Plot("Trade Plot", "UpperChannel", _rc.UpperChannel); Plot("Trade Plot", "LowerChannel", _rc.LowerChannel); Plot("Trade Plot", "Regression", _rc.LinearRegression); } } }