| Overall Statistics |
|
Total Trades 216 Average Win 0.04% Average Loss -0.08% Annual Return -4.391% Drawdown 16.200% Expectancy -0.527 Net Profit -8.786% Sharpe Ratio -0.534 Loss Rate 68% Win Rate 32% Profit-Loss Ratio 0.46 Alpha -0.065 Beta 0.169 Annual Standard Deviation 0.08 Annual Variance 0.006 Information Ratio -0.952 Tracking Error 0.184 Treynor Ratio -0.251 |
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;
namespace QuantConnect {
/***************************************************************************
PORTFOLIO MANAGER
Collection of SecurityHolding objects for the securities you have
selected, indexed by the string symbol. This is accessed anywhere in
your algorithm: e.g. Portfolio["AA"].
Also automatically calculates important portfolio information and
exposes them with public properties: e.g. Portfolio.HoldStock.
THIS IS AN EXAMPLE ALGORITHM FROM THE QUANTCONNECT'S API DOCUMENTATION
***************************************************************************/
public class PortfolioManagerExample : QCAlgorithm
{
string[] symbols = {"IBM", "AOL", "MSFT", "AAPL"};
public override void Initialize()
{
SetCash(30000);
SetStartDate(2010, 2, 2);
SetEndDate(2012, 2, 2);
foreach (var symbol in symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
}
}
public void OnData(TradeBars securityData)
{
//Build a portfolio which 25% of each stock if portfolio is empty
if (!Portfolio.HoldStock)
{
foreach (var symbol in symbols)
{
SetHoldings(symbol, 0.25);
}
}
foreach (var symbol in symbols)
{
//Access a single Security from the Portfolio Manager
if (Portfolio[symbol].UnrealizedProfit >= 0.05m && Portfolio.HoldStock)
{
Order(symbol, -Portfolio[symbol].Quantity);
}
}
}
}
}