Overall Statistics
Total Trades
12
Average Win
0%
Average Loss
-28.98%
Compounding Annual Return
-62.873%
Drawdown
99.900%
Expectancy
-1
Net Profit
-99.947%
Sharpe Ratio
-0.471
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.386
Beta
0.117
Annual Standard Deviation
0.795
Annual Variance
0.632
Information Ratio
-0.585
Tracking Error
0.805
Treynor Ratio
-3.211
Total Fees
$0.00
using System;
using System.Collections;
using System.Collections.Generic; 
using QuantConnect.Securities;  
using QuantConnect.Models;   
using QuantConnect.Indicators.CandlestickPatterns;

namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Importing Custom Yahoo / Google Data:
    *
    *   With the LEAN Engine you can import any data type. We attempt to make this 
    *   easier by providing importer code for Yahoo and Google.
    *
    *   Quandl.com is a library and API wrapper for many data sources which makes
    *   sorting and reading the data easier.
    */
    public class CustomDataYahooQuandl : QCAlgorithm
    {   
    	
    	private string _symbol = "BKN";
        private HangingMan _pattern = new HangingMan();
    	
        //Initialize the data and resolution you require for your strategy:
        /// <summary>
        /// Setup the algorithm data, cash, job start end date etc:
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2009, 2, 2);
            SetEndDate(DateTime.Now);
            SetCash(25000);
            
            AddData<Yahoo>(_symbol);
            //Quandl Indexes 
            //AddEquity(_symbol, Resolution.Hour);
            //var security = AddSecurity(SecurityType.Equity, _symbol, Resolution.Daily);
			AddSecurity(SecurityType.Equity, _symbol, Resolution.Daily);
            _pattern = CandlestickPatterns.HangingMan(_symbol);
        }
        
        /// <summary>
        /// Yahoo Daily Bars Event Handler: Daily bars arrive here for processing.
        /// </summary>
        public void OnData(Yahoo data)
        {
            if (_pattern == 1)
            {
            	    IEnumerable<Slice> slices = History(TimeSpan.FromDays(4), Resolution.Daily);
            		IEnumerable<TradeBar> bars = slices.Get(_symbol); // Bars 
            		var decimals = slices.Get(_symbol, Field.Close).ToList();

            		var ordered = (from d in decimals orderby d descending select d);
            		
            		if (Enumerable.SequenceEqual(decimals, ordered)) {
						// Bullish Harami, go long
                		SetHoldings(_symbol, 20);
            		}
            }
            else if (_pattern == -1)
            {
            	    IEnumerable<Slice> slices = History(TimeSpan.FromDays(4), Resolution.Daily);
            		IEnumerable<TradeBar> bars = slices.Get(_symbol); // Bars 
            		var decimals = slices.Get(_symbol, Field.Close).ToList();

            		var ordered = (from d in decimals orderby d ascending select d);
            		if (Enumerable.SequenceEqual(decimals, ordered)) {
						// Sell out
                		SetHoldings(_symbol, -20);
            		}
            }
        }
        
        /// <summary>
        /// QC-TradeBars Data Event Handler: Not used in this strategy:
        /// </summary>
        public void OnData(TradeBars data) 
        {  
        }
    }
}                        
using System.Globalization;

namespace QuantConnect {


    /*
    *   QuantConnect University: Generic Yahoo Data Importer:
    *
    *   Import Yahoo data using only a symbol. Be sure to confirm yahoo has the
    *   data you're requesting.
    */
    public class Yahoo : TradeBar
    {
        public decimal AdjustedClose = 0;
        
        public Yahoo()
        {
            this.Symbol = "";
        }
        
        /// <summary>
        /// Return the URL external source for the data: QuantConnect will download it an read it line by line automatically:
        /// </summary>
        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLive)
        {
            var startDate = new DateTime(2009, 2, 2).ToString("yyyy-MM-dd");
            var endDate = DateTime.Now.ToString("yyyy-MM-dd");
            //QUANDL WRAPPER ON YAHOO FINANCE API TO SORT DATA:
            var source = "https://www.quandl.com/api/v1/datasets/YAHOO/INDEX_SPY.csv?trim_start=2000-01-01&trim_end=2014-12-03&sort_order=asc";
            return new SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile);
        }
        
        /// <summary>
        /// Convert each line of the file above into an object.
        /// </summary>
        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLive)
        {
            Yahoo yBar = new Yahoo();

            try
            {
                string[] data = line.Split(',');
                //Required.
                yBar.Symbol = config.Symbol;
                yBar.Time = DateTime.ParseExact(data[0], "yyyy-MM-dd", CultureInfo.InvariantCulture);
                
                //User configured / optional data on each bar:
                yBar.Open = Convert.ToDecimal(data[1]);
                yBar.High = Convert.ToDecimal(data[2]);
                yBar.Low = Convert.ToDecimal(data[3]);
                yBar.Close = Convert.ToDecimal(data[4]);
                yBar.Volume = Convert.ToInt64(data[5]);
                yBar.AdjustedClose = Convert.ToDecimal(data[6]);
                
                //This is the value the engine uses for portfolio calculations
                yBar.Value = yBar.AdjustedClose;
            }
            catch {   
            }

            return yBar;
        }
    }
}