| Overall Statistics |
|
Total Trades 1 Average Win 6.97% Average Loss 0% Compounding Annual Return 4.609% Drawdown 14.500% Expectancy 0 Net Profit 6.969% Sharpe Ratio 0.347 Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.066 Beta -0.057 Annual Standard Deviation 0.173 Annual Variance 0.03 Information Ratio -0.182 Tracking Error 0.211 Treynor Ratio -1.05 Total Fees $2.00 |
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 buy_short_hold_limit_orderAlgorithm : QCAlgorithm
{
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
// Code Automaticly Generated
AddSecurity(SecurityType.Equity, "GOOG", Resolution.Minute);
//Start and End Date range for the backtest:
SetStartDate(2014, 1, 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);
}
//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"]
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data["GOOG"].Close);
float closeprice = (float)data["GOOG"].Close;
Console.WriteLine(closeprice);
//Order function places trades: enter the string symbol and the quantity you want:
if(closeprice<450)
{ Order("GOOG", quantity);}
else
{ Order("GOOG", -quantity);}
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased GOOG 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.");
}
}
}
}