| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 18.833% Drawdown 5.600% Expectancy 0 Net Profit 0% Sharpe Ratio 1.816 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.032 Beta 0.624 Annual Standard Deviation 0.084 Annual Variance 0.007 Information Ratio -0.62 Tracking Error 0.065 Treynor Ratio 0.245 Total Fees $1.00 |
using System.Drawing;
namespace QuantConnect
{
/*
* QuantConnect University: Full Basic Template:
*
* The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect.
* We have explained some of these here, but the full algorithm can be found at:
* https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs
*/
public class BasicTemplateAlgorithm : QCAlgorithm
{
Identity _identity;
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
//Start and End Date range for the backtest:
SetStartDate(2013, 1, 1);
SetEndDate(2014, 1, 11);
//Cash allocation
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
_identity = Identity("SPY");
var chart = new Chart("SPY");
chart.AddSeries(new Series("History", SeriesType.Line, "$", Color.Red ));
chart.AddSeries(new Series("Trading", SeriesType.Line, "$", Color.Blue));
AddChart(chart);
SetWarmUp(TimeSpan.FromDays(180));
}
//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(IsWarmingUp)
{
Plot("SPY","History", _identity);
return;
}
Plot("SPY","Trading", _identity);
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.");
}
}
}
}