Overall Statistics |
Total Trades
1
Average Win
16.6%
Average Loss
0%
Compounding Annual Return
13.973%
Drawdown
9.100%
Expectancy
0
Net Profit
16.603%
Sharpe Ratio
1.162
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.006
Beta
0.973
Annual Standard Deviation
0.113
Annual Variance
0.013
Information Ratio
0.113
Tracking Error
0.027
Treynor Ratio
0.135
|
namespace QuantConnect { /* * QuantConnect University: Tick Template Algorithm * * Tick data has its own event handler since the data format is very different to typical tradebars. * This algorithm demonstrates processing tick events/ * * Tick data is every single trade which occurred. It is much much more data and therefore roughly 100x slower. */ public class TickTemplateAlgorithm : QCAlgorithm { public override void Initialize() { SetStartDate(2014, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); //Cash allocation SetCash(25000); //Add as many securities as you like. All the data will be passed into the event handler: AddSecurity(SecurityType.Equity, "SPY", Resolution.Tick); } //Tick Data Event Handler public void OnData(Ticks data) { // A "Ticks" object is a string indexed, collection of LISTS. Each list // contains all the ticks which occurred in that second. // // In backtesting they are all timestamped to the previous second, in // live trading they are realtime and stream in one at a time. List<Tick> spyTicks = data["SPY"]; if (!Portfolio.HoldStock) { int quantity = (int) Math.Floor(Portfolio.Cash / spyTicks[0].Price); Order("SPY", quantity); Debug("Purchased SPY on " + Time.ToShortDateString()); } } } }