Overall Statistics |
Total Trades
1
Average Win
91.23%
Average Loss
0%
Compounding Annual Return
4.345%
Drawdown
75.700%
Expectancy
0
Net Profit
91.228%
Sharpe Ratio
0.299
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.105
Beta
0.041
Annual Standard Deviation
0.36
Annual Variance
0.129
Information Ratio
0.113
Tracking Error
0.409
Treynor Ratio
2.6
|
namespace QuantConnect { /* * QuantConnect University: Futures Example * * QuantConnect allows importing generic data sources! This example demonstrates importing a futures * data from the popular open data source Quandl. * * QuantConnect has a special deal with Quandl giving you access to Stevens Continuous Futurs (SCF) for free. * If you'd like to download SCF for local backtesting, you can download it through Quandl.com. */ public class QCUQuandlFutures : QCAlgorithm { string _crude = "SCF/CME_CL1_ON"; //Initialize the data and resolution you require for your strategy: public override void Initialize() { SetStartDate(2000, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); SetCash(25000); AddData<QuandlFuture>(_crude, Resolution.Daily); } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(Quandl data) { if (!Portfolio.HoldStock) { SetHoldings(_crude, 1); Debug(Time.ToString("u") + " Purchased Crude Oil: " + _crude); } } } // Custom quandl data type for setting customized value column name. // Value column is used for the primary trading calculations and charting. public class QuandlFuture : Quandl { public QuandlFuture() : base(valueColumnName: "Settle") { } } }