| Overall Statistics |
|
Total Trades 508 Average Win 0.31% Average Loss -0.38% Compounding Annual Return 7.142% Drawdown 6.200% Expectancy 0.075 Net Profit 7.236% Sharpe Ratio 1.006 Loss Rate 41% Win Rate 59% Profit-Loss Ratio 0.82 Alpha 0.113 Beta -2.08 Annual Standard Deviation 0.071 Annual Variance 0.005 Information Ratio 0.725 Tracking Error 0.071 Treynor Ratio -0.034 Total Fees $0.00 |
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Basic template algorithm simply initializes the date range and cash. This is a skeleton
/// framework you can use for designing an algorithm.
/// </summary>
public class BasicTemplateAlgorithm : QCAlgorithm
{
private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2012, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
AddEquity("SPY", Resolution.Minute);
Securities[_spy].FeeModel = new ConstantFeeModel(0);
// There are other assets with similar methods. See "Selecting Options" etc for more details.
// AddFuture, AddForex, AddCfd, AddOption
Schedule.Event().EveryDay().AfterMarketOpen(_spy, 10).Run(() =>
{
SetHoldings(_spy, 0.9);
});
Schedule.Event().EveryDay().BeforeMarketClose(_spy, 15).Run(() =>
{
SetHoldings(_spy, 0);
//Liquidate();
});
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
//SetHoldings(_spy, 1);
//Debug("Purchased Stock");
}
}
}
}