| Overall Statistics |
|
Total Trades 4 Average Win 0.01% Average Loss -4.16% Compounding Annual Return -3.679% Drawdown 15.000% Expectancy -0.499 Net Profit -1.519% Sharpe Ratio -0.048 Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0.00 Alpha -0.171 Beta 1.411 Annual Standard Deviation 0.204 Annual Variance 0.042 Information Ratio -0.904 Tracking Error 0.137 Treynor Ratio -0.007 Total Fees $43.03 |
namespace QuantConnect
{
/*
* Basic Template Algorithm
*
* The underlying QCAlgorithm class has many methods which enable you to use QuantConnect.
* We have explained some of these here, but the full base class can be found at:
* https://github.com/QuantConnect/Lean/tree/master/Algorithm
*/
public class BasicTemplateAlgorithm : QCAlgorithm
{
public int counter = 0;
public override void Initialize()
{
// backtest parameters
SetStartDate(2016, 5, 5);
SetEndDate(2016, 10, 2);
// cash allocation
SetCash(100000);
// request specific equities
// including forex. Options and futures in beta.
AddEquity("GOOG", Resolution.Daily);
AddEquity("GS", Resolution.Daily);
AddEquity("MS", Resolution.Daily);
//AddForex("EURUSD", Resolution.Minute);
}
public override void OnData(Slice data)
{
// slice has lots of useful information
TradeBars bars = data.Bars;
Splits splits = data.Splits;
Dividends dividends = data.Dividends;
if(counter == 1)
{
SetHoldings("GS", 1);
SetHoldings("MS", -1);
}
if (counter == 10)
{
Liquidate("MS");
SetHoldings("GS", 1);
SetHoldings("GOOG", -1);
}
counter = counter + 1;
}
}
}