| Overall Statistics |
|
Total Trades 7754 Average Win 0.17% Average Loss -0.25% Compounding Annual Return 6.281% Drawdown 19.100% Expectancy 0.031 Net Profit 32.158% Sharpe Ratio 0.629 Loss Rate 38% Win Rate 62% Profit-Loss Ratio 0.66 Alpha -0.049 Beta 5.794 Annual Standard Deviation 0.106 Annual Variance 0.011 Information Ratio 0.44 Tracking Error 0.106 Treynor Ratio 0.012 Total Fees $16661.38 |
namespace QuantConnect.Algorithm.CSharp
{
public class TachyonQuantumComputer : QCAlgorithm
{
private Security _sec;
private AverageDirectionalIndex _adx;
private SimpleMovingAverage _ma20;
private RelativeStrengthIndex _rsi2;
public override void Initialize()
{
SetStartDate(2014, 11, 1); //Set Start Date
SetCash(100000); //Set Strategy Cash
_sec = AddEquity("TSLA", Resolution.Minute);
var symbol = _sec.Symbol;
_adx = ADX(symbol, 14);
_ma20 = SMA(symbol, 20);
_rsi2 = RSI(symbol, 2);
}
/// 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)
{
var diPlus = _adx.PositiveDirectionalIndex;
var diMinus = _adx.NegativeDirectionalIndex;
var price = _sec.Price;
bool buy = _adx > 30 && price > _ma20 && diPlus > diMinus && _rsi2 < 25;
bool sell = _rsi2 > 75;
if (sell)
{
if (Portfolio.Invested)
{
SetHoldings(_sec.Symbol, 0);
}
}
else if (buy && !sell)
{
if (!Portfolio.Invested)
{
SetHoldings(_sec.Symbol, 1);
}
}
}
}
}