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 Probabilistic 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 -7.436 Tracking Error 0.052 Treynor Ratio 0 Total Fees $0.00 |
namespace QuantConnect.Algorithm.CSharp { public class TransdimensionalVentralContainmentField : QCAlgorithm { public RollingWindow<float> Trail1 = new RollingWindow<float>(2); public RollingWindow<float> Trail2 = new RollingWindow<float>(2); public float SL2 = 500; public Random random = new Random(); public override void Initialize() { SetStartDate(2019, 12, 7); //Set Start Date SetEndDate(2020, 1, 1); SetCash(100000); //Set Strategy Cash AddEquity("SPY", Resolution.Daily); Trail1.Add(0); Trail2.Add(0); } /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// Slice object keyed by symbol containing the stock data public override void OnData(Slice data) { Trail1.Add(random.Next(0, 1000)); if (Trail1[0] > Trail2[0] && Trail1[1] > Trail2[0]) Trail2.Add(Math.Max(Trail2[0], Trail1[0] - SL2)); else if (Trail1[0] < Trail2[0] && Trail1[1] < Trail2[0]) Trail2.Add(Math.Min(Trail2[0], Trail1[0] - SL2)); else if (Trail1[0] > Trail2[0]) Trail2.Add(Trail1[0] - SL2); else Trail2.Add(Trail1[0] + SL2); } } }