| 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 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
using System;
using System.Linq;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Brokerages;
using QuantConnect.Data.Consolidators;
namespace QuantConnect.Algorithm.CSharp
{
public class TestAlgorithm : QCAlgorithm
{
private SimpleMovingAverage spyMovingAverage;
/// <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 trading window
SetStartDate(year: 2013, month: 10, day: 1);
SetEndDate(year: 2013, month: 10, day: 8);
//SetEndDate(DateTime.Now);
var benchmark = AddEquity("SPY");
SetBenchmark(benchmark.Symbol);
//SetBenchmark(d => 1m);
//Set brokermodel
SetCash(100000);
SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);
//Set moving average
var spy = AddEquity("SPY", Resolution.Minute);
//var consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(30));
//consolidator.DataConsolidated += OnTradeBarDataConsolidated;
//SubscriptionManager.AddConsolidator("SPY", consolidator);
spyMovingAverage = SMA(spy.Symbol, 60, Resolution.Minute);
// RegisterIndicator("SPY", spyMovingAverage, consolidator);
PlotIndicator("SPY", spyMovingAverage);
}
public void OnData(TradeBars data)
{
Plot("SPY", "Price", Securities["SPY"].Close);
Plot("SPY", spyMovingAverage);
Log(string.Format("{0}, {1}", Securities["SPY"].Price, spyMovingAverage));
if (IsWarmingUp)
{
//Log("IsWarmingUp");
return;
}
if (!spyMovingAverage.IsReady)
{
return;
}
if (spyMovingAverage == 0)
{
Log("spyMovingAverage == 0");
}
}
}
}