Overall Statistics |
Total Trades 9079 Average Win 0.03% Average Loss -0.02% Compounding Annual Return 2.288% Drawdown 13.800% Expectancy 0.113 Net Profit 11.989% Sharpe Ratio 0.296 Probabilistic Sharpe Ratio 3.651% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 1.23 Alpha 0.032 Beta -0.097 Annual Standard Deviation 0.071 Annual Variance 0.005 Information Ratio -0.439 Tracking Error 0.202 Treynor Ratio -0.216 Total Fees $3525.59 |
namespace QuantConnect.Algorithm.CSharp { public class QuantumHorizontalContainmentField : QCAlgorithm { public override void Initialize() { // Set Start Date so that backtest has 5+ years of data SetStartDate(2015, 8, 4); // No need to set End Date as the final submission will be tested // up until the review date // Set $1m Strategy Cash to trade significant AUM SetCash(1000000); // Add a relevant benchmark, with the default being SPY AddEquity("SPY"); SetBenchmark("SPY"); // Use the Alpha Streams Brokerage Model, developed in conjunction with // funds to model their actual fees, costs, etc. // Please do not add any additional reality modelling, such as Slippage, Fees, Buying Power, etc. SetBrokerageModel(new AlphaStreamsBrokerageModel()); AddAlpha(new MacdAlphaModel(12, 26, 9, MovingAverageType.Exponential, Resolution.Daily)); SetExecution(new StandardDeviationExecutionModel(1, 2, Resolution.Daily)); SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel()); SetRiskManagement(new TrailingStopRiskManagementModel(0.03m)); AddUniverseSelection(new G10CurrencySelectionModel()); } /// 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) { // if (!Portfolio.Invested) // { // SetHoldings("SPY", 1); // Debug("Purchased Stock"); // } } } }
namespace QuantConnect.Algorithm.Framework.Selection { public class G10CurrencySelectionModel : ManualUniverseSelectionModel { public G10CurrencySelectionModel() : base(new[] { "EURUSD", "GBPUSD", "USDJPY", "AUDUSD", "NZDUSD", "USDCAD", "USDCHF", "USDNOK", "USDSEK" }.Select(x => Symbol.Create(x,SecurityType.Forex, Market.Oanda))){ } } }