| Overall Statistics |
|
Total Trades 4 Average Win 18.98% Average Loss -1.49% Compounding Annual Return 9592.519% Drawdown 2.200% Expectancy 5.850 Net Profit 17.202% Sharpe Ratio 4.812 Loss Rate 50% Win Rate 50% Profit-Loss Ratio 12.70 Alpha -7.659 Beta 682.364 Annual Standard Deviation 1.017 Annual Variance 1.035 Information Ratio 4.797 Tracking Error 1.017 Treynor Ratio 0.007 Total Fees $10.46 |
using System;
using QuantConnect.Algorithm;
using QuantConnect.Brokerages;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
namespace QuantConnect
{
public class OrderSubmitHelp : QCAlgorithm
{
//One cancels the other
private OrderTicket EntryOrder { get; set; }
public override void Initialize()
{
SetStartDate(2013, 10, 04);
SetEndDate(2013, 10, 16);
SetCash(10000);
SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash);
//Default add SPY
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
AddSecurity(SecurityType.Equity, "NVEE", Resolution.Minute);
}
//One cancels the other
public override void OnOrderEvent(OrderEvent orderEvent)
{
Order actualOrder = Transactions.GetOrderById(orderEvent.OrderId);
switch (orderEvent.Status)
{
case OrderStatus.Submitted:
Log(actualOrder.ToString());
break;
case OrderStatus.Filled:
Log("\t => " + orderEvent.ToString());
if (actualOrder.Type != OrderType.Market) { Liquidate(orderEvent.Symbol); }
//Liquidate(orderEvent.Symbol);
break;
case OrderStatus.Canceled:
Log("\t => " + orderEvent.ToString() + "\n");
break;
default:
break;
}
}
public void OnData(TradeBars data)
{
if (data.Time.Date == new DateTime(2013,10,04) && Portfolio.Invested==false)
{
var orderQuantity = CalculateOrderQuantity("SPY", 0.98); //Easy position size
Log("Equity Unused = " + Portfolio.Cash + "Margin Remaining = " + Portfolio.MarginRemaining);
Log("Portfolio Holdings = " + Portfolio.TotalHoldingsValue + " Portfolio Invested = " + Portfolio.Invested);
Log("Buying Power Short = " + Portfolio.GetBuyingPower("SPY", OrderDirection.Sell));
Log("Buying Power Long = " + Portfolio.GetBuyingPower("SPY", OrderDirection.Buy));
//One cancels the other order
MarketOrder("SPY", orderQuantity, false, "Entry " + "SPY");
LimitOrder("SPY", -orderQuantity, Securities["SPY"].Price * 1.015m, "Take Profit: " + "SPY");
StopMarketOrder("SPY", -orderQuantity, Securities["SPY"].Price * 0.985m, "Stop Loss: " + "SPY");
}
if (data.Time.Date == new DateTime(2013, 10, 14) && data.Time.TimeOfDay == new TimeSpan(09, 31, 0))
{
Liquidate();
var orderQuantity = CalculateOrderQuantity("NVEE", 0.98); //Easy position size
Log("Equity Unused = " + Portfolio.Cash + "Margin Remaining = " + Portfolio.MarginRemaining);
Log("Portfolio Holdings = " + Portfolio.TotalHoldingsValue + " Portfolio Invested = " + Portfolio.Invested);
Log("Buying Power Short = " + Portfolio.GetBuyingPower("NVEE", OrderDirection.Sell));
Log("Buying Power Long = " + Portfolio.GetBuyingPower("NVEE", OrderDirection.Buy));
//One cancels the other order
MarketOrder("NVEE", -orderQuantity, false, "Entry " + "NVEE");
StopMarketOrder("NVEE", orderQuantity, Securities["NVEE"].Price * 0.985m, "Take Profit: " + "NVEE");
LimitOrder("NVEE", orderQuantity, Securities["NVEE"].Price * 1.015m, "Stop Loss: " + "NVEE");
}
}
}
}