Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-5.775%
Drawdown
36.900%
Expectancy
0
Net Profit
0%
Sharpe Ratio
-0.326
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.041
Beta
0.014
Annual Standard Deviation
0.123
Annual Variance
0.015
Information Ratio
-0.729
Tracking Error
0.183
Treynor Ratio
-2.812
Total Fees
$0.00

namespace QuantConnect
{
    /// <summary>
    /// Shows how to use the Minus and Of extension methods to define a MACD on the
    /// difference in closing price between two securities
    /// </summary>
    public class MacdOnDifferenceAlgorithm : QCAlgorithm
    {
        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2011, 01, 01);  //Set Start Date
            SetEndDate(2015, 10, 11);    //Set End Date
            SetCash(100000);             //Set Strategy Cash
            // Find more symbols here: http://quantconnect.com/data
            AddSecurity(SecurityType.Forex, "USDCAD", Resolution.Daily);
            //AddSecurity(SecurityType.Equity, "MSFT", Resolution.Daily);
            AddData<QuandlFuture>("SCF/CME_CL1_ON", Resolution.Daily); 

			// The reason we need to explicitly define our consolidator here
			// is because out data type: QuandlFuture, doesn't actually create
			// instances of QuandlFutures, instead they create instance of Quandl
			// which then are being passed into our consolidators. We've defined
			// our consolidator to work on Quandl data instead. If we wanted, we
			// could also implement the Reader method in QuandlFuture and have it
			// return a QuandlFuture instance and then the old commented our code
			// would work as expected.
			
            // Identity will get updated on each data point before OnData gets called
            var msft = new Identity("SCF/CME_CL1_ON");// Identity("SCF/CME_CL1_ON");
            var msftConsolidator = new IdentityDataConsolidator<Quandl>();
            RegisterIndicator("SCF/CME_CL1_ON", msft, msftConsolidator);
            
            var aapl = Identity("USDCAD");
            // Minus will get free updates from it's components pieces (msft, aapl)
            var diff = msft.Minus(aapl);
            // Of will get free updates from it's parent indicator (diff)
            var macdDiff = new MovingAverageConvergenceDivergence("CL1_CAD_MACD", 12, 26, 9).Of(diff);
            // Plot macdDiff on each new update
            PlotIndicator("CL1_CAD_MACD", macdDiff);
        }

        /// <summary>
        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// </summary>
        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                SetHoldings("SCF/CME_CL1_ON", .5);
                SetHoldings("USDCAD", .5);
            }
        }
    }
    
    public class QuandlFuture : Quandl
    {
        public QuandlFuture()
            : base(valueColumnName: "Settle")
        {
        }
    }
}