| Overall Statistics |
|
Total Trades 1 Average Win 59.58% Average Loss 0% Compounding Annual Return 59.648% Drawdown 11.700% Expectancy 0 Net Profit 59.58% Sharpe Ratio 2.497 Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.007 Beta 1.726 Annual Standard Deviation 0.194 Annual Variance 0.038 Information Ratio 2.272 Tracking Error 0.088 Treynor Ratio 0.281 |
-no value-
using System;
using QuantConnect;
using QuantConnect.Algorithm;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
namespace Sandbox
{
public class SimpleMovingAverageExample : QCAlgorithm
{
private SimpleMovingAverage sma;
public override void Initialize()
{
// set start/end dates of backtest
SetStartDate(2013, 01, 01);
SetEndDate(2014, 01, 01);
// request data
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
// define our 10 period sma
sma = new SimpleMovingAverage(10);
}
private DateTime previous;
public void OnData(TradeBars data)
{
if (!Portfolio.HoldStock)
{
SetHoldings("SPY", 1);
}
TradeBar spy;
if (data.TryGetValue("SPY", out spy) && spy.Time.Date != previous.Date)
{
// pump the daily data into our sma
sma.Update(spy.Time, spy.Value);
// plot our s
Plot("SPY", sma);
previous = spy.Time;
}
}
}
}