| Overall Statistics |
|
Total Trades 3 Average Win 37.46% Average Loss -3.10% Annual Return 44.338% Drawdown 14.300% Expectancy 7.735 Net Profit 70.657% Sharpe Ratio 1.595 Loss Rate 33% Win Rate 67% Profit-Loss Ratio 12.10 Alpha 0.18 Beta 0.853 Annual Standard Deviation 0.226 Annual Variance 0.051 Information Ratio 0.722 Tracking Error 0.207 Treynor Ratio 0.423 |
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;
namespace QuantConnect {
/***************************************************************************
ORDERS
Orders are placed through the Order() Method. Here you simply enter
the string symbol and int quantity of the asset you'd like to buy or sell
***************************************************************************/
public class OrdersExample : QCAlgorithm
{
public override void Initialize()
{
SetStartDate(2013, 1, 1);
SetEndDate(DateTime.Now.Date.AddDays(-1));
SetCash(50000);
AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute);
}
public void OnData(TradeBars securityData)
{
try
{
//If we don't hold any MSFT stocks, buy all possible with the money aviable
if (securityData["MSFT"].Open <= 44.45m && !Portfolio.HoldStock)
{
Order("MSFT", (int)Math.Floor(Portfolio.Cash / securityData["MSFT"].Close));
}
//If the price of the stock is bigger than $44.5, sell them all (If we have any)
if (securityData["MSFT"].Open >= 45.1m && Portfolio.HoldStock)
{
Order("MSFT", -Portfolio["MSFT"].Quantity);
}
}
catch(Exception err)
{
Error("OnData Err: " + err.Message);
}
}
}
}