| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 105.015% Drawdown 0.700% Expectancy 0 Net Profit 0% Sharpe Ratio 8.028 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.203 Beta 1.092 Annual Standard Deviation 0.079 Annual Variance 0.006 Information Ratio -5.1 Tracking Error 0.026 Treynor Ratio 0.578 Total Fees $1.00 |
namespace QuantConnect
{
/*
* QuantConnect University: Full Basic Template:
*
* The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect.
* We have explained some of these here, but the full algorithm can be found at:
* https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs
*/
public class BasicTemplateAlgorithm : QCAlgorithm
{
Dictionary<Symbol, decimal> _open = new Dictionary<Symbol, decimal>();
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
//Start and End Date range for the backtest:
SetStartDate(2016, 12, 1);
SetEndDate(DateTime.Now.Date.AddDays(-1));
//Cash allocation
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
OnEndOfDay();
}
//Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
public void OnData(TradeBars data)
{
// "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol:
//
// e.g. data["MSFT"] data["GOOG"]
foreach(var item in data.Where(x => _open[x.Key] == 0))
{
_open[item.Key] = item.Value.Open;
Debug(Time + " -> " + _open[item.Key]);
}
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data["SPY"].Close);
//Order function places trades: enter the string symbol and the quantity you want:
Order("SPY", quantity);
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased SPY on " + Time.ToShortDateString());
//You can also use log to send longer messages to a file. You are capped to 10kb
//Log("This is a longer message send to log.");
}
}
public override void OnEndOfDay()
{
foreach(var kvp in Securities)
{
if(_open.ContainsKey(kvp.Key))
{
_open[kvp.Key] = 0m;
}
else
{
_open.Add(kvp.Key, 0m);
}
}
}
}
}