Overall Statistics |
Total Trades 43 Average Win 1.62% Average Loss -0.38% Compounding Annual Return -3.805% Drawdown 10.100% Expectancy -0.130 Net Profit -0.153% Sharpe Ratio 0.091 Loss Rate 83% Win Rate 17% Profit-Loss Ratio 4.22 Alpha 0.273 Beta -0.692 Annual Standard Deviation 0.399 Annual Variance 0.159 Information Ratio -0.691 Tracking Error 0.444 Treynor Ratio -0.052 Total Fees $238.06 |
using System; using System.Linq; using QuantConnect.Indicators; using QuantConnect.Models; namespace QuantConnect.Algorithm.Examples { /// <summary> /// /// QuantConnect University: EMA + SMA Cross /// /// In this example we look at the canonical 20/50 day moving average cross. This algorithm /// will go long when the 20 crosses above the 50 and will liquidate when the 20 crosses /// back below the 50. // -------VATS CHANGES ----------- // 1) Intraday - Hourly // 2) 1/50 period SMA cross // // -------VATS CHANGES ----------- /// </summary> public class QCUMovingAverageCross : QCAlgorithm { private const string Symbol = "USO"; private SimpleMovingAverage fast; private SimpleMovingAverage slow; TradeBar _spyMinutes; public override void Initialize() { SetStartDate(2015, 07, 01); SetEndDate(2015, 07, 15); SetCash(10000); AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute); // define our daily trade bar consolidator. we can access the daily bar // from the DataConsolidated events, this consolidator can only be used // for a single symbol! var minConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(5)); // attach our event handler. the event handler is a function that will be called each time we produce // a new consolidated piece of data. minConsolidator.DataConsolidated += OnFiveMinutes; // this call adds our daily consolidator to the manager to receive updates from the engine SubscriptionManager.AddConsolidator(Symbol, minConsolidator); int fastPeriod = 1; int slowPeriod = 50; fast = new SimpleMovingAverage(Symbol + "_SMA_" + fastPeriod, fastPeriod); slow = new SimpleMovingAverage(Symbol + "_SMA_" + slowPeriod, slowPeriod); // we need to manually register these indicators for automatic updates RegisterIndicator(Symbol, fast, minConsolidator); RegisterIndicator(Symbol, slow, minConsolidator); } private void OnFiveMinutes(object sender, TradeBar consolidated) { _spyMinutes = consolidated; //Log(consolidated.Time.ToString("o") + " >> " + Symbol + ">> LONG >> 100 >> " + Portfolio[Symbol].Quantity); // if you want code to run every five minutes then you can run it inside of here } private DateTime previous; public void OnData(TradeBars data) { if (!slow.IsReady) return; // only once per day // Commented the following line to simulate intraday - Vats //if (previous.Date == data.Time.Date) return; // Debug (System.DateTime.Now.Hour.ToString()) ; // if (System.DateTime.Now.Hour <= 10 && System.DateTime.Now.Hour > 12) return; const decimal tolerance = 0.00010m; var holdings = Portfolio[Symbol].Quantity; { if (fast > slow * (1 + tolerance)) { if (holdings <= 0) { Log (System.DateTime.Now.Hour.ToString()) ; Log("BUY >> " + holdings + "@ price " + Securities[Symbol].Price); SetHoldings(Symbol, 0.95); Log("NET POSITION BEFORE NEXT TRANSACTION >> " + holdings); } } if (fast < slow) { if (holdings > 0) { Log (System.DateTime.Now.Hour.ToString()) ; Log("SELL >> " + holdings + "@ price " + Securities[Symbol].Price); SetHoldings(Symbol, -0.95); } } } Plot(Symbol, "Price", data[Symbol].Price); Plot(Symbol, fast, slow); previous = data.Time; } } }