Overall Statistics |
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
16.444%
Drawdown
9.000%
Expectancy
0
Net Profit
32.794%
Sharpe Ratio
1.364
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.009
Beta
0.973
Annual Standard Deviation
0.095
Annual Variance
0.009
Information Ratio
0.475
Tracking Error
0.011
Treynor Ratio
0.133
Total Fees
$1.00
|
namespace QuantConnect { /* * Basic Template Algorithm * * The underlying QCAlgorithm class has many methods which enable you to use QuantConnect. * We have explained some of these here, but the full base class can be found at: * https://github.com/QuantConnect/Lean/tree/master/Algorithm */ public class BasicTemplateAlgorithm : QCAlgorithm { public override void Initialize() { // backtest parameters SetStartDate(2016, 1, 1); SetEndDate(DateTime.Now); // cash allocation SetCash(25000); // request specific equities // including forex. Options and futures in beta. AddEquity("SPY", Resolution.Daily,null, false, 0, true); //AddForex("EURUSD", Resolution.Minute); var weekly = new TradeBarConsolidator(TimeSpan.FromDays(7)); weekly.DataConsolidated += weeklyBars; SubscriptionManager.AddConsolidator("SPY", weekly); } public void weeklyBars(object sender, TradeBar bar){ Debug(bar.EndTime + " Open:" + bar.Open + " Close:" + bar.Close); } /* * New data arrives here. * The "Slice" data represents a slice of time, it has all the data you need for a moment. */ public override void OnData(Slice data) { // slice has lots of useful information TradeBars bars = data.Bars; Splits splits = data.Splits; Dividends dividends = data.Dividends; //Get just this bar. TradeBar bar; if (bars.ContainsKey("SPY")) bar = bars["SPY"]; if (!Portfolio.HoldStock) { // place an order, positive is long, negative is short. // Order("SPY", quantity); // or request a fixed fraction of a specific asset. // +1 = 100% long. -2 = short all capital with 2x leverage. SetHoldings("SPY", 1); // debug message to your console. Time is the algorithm time. // send longer messages to a file - these are capped to 10kb Debug("Purchased SPY on " + Time.ToShortDateString()); //Log("This is a longer message send to log."); } } } }