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 6.363 Tracking Error 0.113 Treynor Ratio 0 Total Fees $0.00 |
using System; using System.Linq; using QuantConnect.Indicators; using QuantConnect.Models; namespace QuantConnect.Algorithm.Examples { public class QCUMovingAverageCross : QCAlgorithm { private const string Symbol = "USDJPY"; private ExponentialMovingAverage fast; private ExponentialMovingAverage slow1; private ExponentialMovingAverage slow2; private SimpleMovingAverage[] ribbon; private MovingAverageConvergenceDivergence macd; private DateTime current; public override void Initialize() { // set up our analysis span current = new DateTime(2020,05,18); current = current.AddHours(+11); SetStartDate(2020,05, 18); SetEndDate(2020,5, 19); //SetEndDate(DateTime.Now.Date.AddDays(-1)); SetCash(1000); // request SPY data with minute resolution AddForex(Symbol, Resolution.Hour, Market.Oanda); SetBrokerageModel(BrokerageName.OandaBrokerage); // create a 15 day exponential moving average //fast = EMA(Symbol, 9, Resolution.Minute); // create a 30 day exponential moving average //slow1 = EMA(Symbol, 50, Resolution.Minute); //slow2 = EMA(Symbol, 100, Resolution.Minute); macd = MACD(Symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Hour); } public void OnData(TradeBars data) { Decimal price = data[Symbol].Close; price = Math.Round(price, 2); Debug(current.ToString("yyyy'-'MM'-'dd' 'HH':'mm':'ss")+" "+price); current =current.AddHours(+1); Plot(Symbol, "Price", price); Plot("MACD", macd, macd.Signal); } // Access data via grouped time slice method handlers: public override void OnData(Slice data) { //Debug(data.Bars[Symbol].Close); } //Plot(Symbol, "Price", data[Symbol].Price); //Plot("Ribbon", "Price", data[Symbol].Price); //Plot("MACD", macd.Fast, macd.Slow); } }