Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
-20.68%
Compounding Annual Return
-1.532%
Drawdown
87.200%
Expectancy
-1
Net Profit
-20.681%
Sharpe Ratio
0.486
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.645
Beta
-2.221
Annual Standard Deviation
1.042
Annual Variance
1.086
Information Ratio
0.388
Tracking Error
1.146
Treynor Ratio
-0.228
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;
using System.Globalization;

namespace QuantConnect {

    /*
    *   QuantConnect University: Generic GOOGLE Data Importer:
    *
    *   Import Google data using only a symbol. Be sure to confirm google has the
    *   data you're requesting.
    */
    public class Google : BaseData
    {
        public decimal Open = 0;
        public decimal High = 0;
        public decimal Low = 0;
        public decimal Close = 0;
        public decimal AdjustedClose = 0;
        public decimal Volume = 0;

        public Google()
        {   
        }
        
        /// <summary>
        /// Return the URL external source for the data: QuantConnect will download it an read it line by line automatically:
        /// </summary>
        public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
        {
            var startDate = new DateTime(2000, 1, 1).ToString("yyyy-MM-dd");
            var endDate = DateTime.Now.ToString("yyyy-MM-dd");
            
            //QUANDL WRAPPER ON Google FINANCE API TO SORT DATA:
            //https://www.quandl.com/api/v1/datasets/GOOG/NYSE_TKC.csv?trim_start=2000-01-01&trim_end=2014-12-03&sort_order=asc
            return "https://www.quandl.com/api/v1/datasets/GOOG/" + config.Symbol + ".csv?trim_start=" + startDate + "&trim_end=" + endDate + "&sort_order=asc&exclude_headers=true";;
        }
        
        /// <summary>
        /// Convert each line of the file above into an object.
        /// </summary>
        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
        {
            Google gBar = new Google();
            try
            {
                string[] data = line.Split(',');
                //Required.
                gBar.Symbol = config.Symbol;
                gBar.Time = DateTime.ParseExact(data[0], "yyyy-MM-dd", CultureInfo.InvariantCulture);
                
                //User configured / optional data on each bar:
                gBar.Open = Convert.ToDecimal(data[1]);
                gBar.High = Convert.ToDecimal(data[2]);
                gBar.Low = Convert.ToDecimal(data[3]);
                gBar.Close = Convert.ToDecimal(data[4]);
                gBar.Volume = Convert.ToDecimal(data[5]);
                
                //This is the value the engine uses for portfolio calculations
                gBar.Value = gBar.Close;
            }
            catch {
            }
            return gBar;
        }
    }
    
}                        
using System;
using System.Collections;
using System.Collections.Generic; 
using QuantConnect.Securities;  
using QuantConnect.Models;   

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
    {   
        //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(2000, 1, 1);
            SetEndDate(DateTime.Now);
            SetCash(25000);
            
            //Quandl Indexes 
            AddData<Yahoo>("INDEX_SPY");
            AddData<Yahoo>("INDEX_VIX");
            
            //Google finance importing foreign markets sources
            AddData<Google>("NYSE_TKC");
        }
        
        /// <summary>
        /// Google Finance Daily Bars Event Handler:
        /// </summary>
        public void OnData(Google data)
        {
            // Google TKC Data Events Here:
        }
        
        /// <summary>
        /// Yahoo Daily Bars Event Handler: Daily bars arrive here for processing.
        /// </summary>
        public void OnData(Yahoo data)
        {
            //Google/Quandl TKC Events here:
            if (!Portfolio.Invested && data.Value > 0 && data.Symbol == "INDEX_VIX") 
            {
                var quantity = (int) (Portfolio.Cash / data.Value); 
                Order("INDEX_VIX", quantity);
            }
        }
        
        /// <summary>
        /// QC-TradeBars Data Event Handler: Not used in this strategy:
        /// </summary>
        public void OnData(TradeBars data) 
        {  
        }
    }
}                        
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;
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 : BaseData
    {
        public decimal Open = 0;
        public decimal High = 0;
        public decimal Low = 0;
        public decimal Close = 0;
        public decimal AdjustedClose = 0;
        public decimal Volume = 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 string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
        {
            var startDate = new DateTime(2000, 1, 1).ToString("yyyy-MM-dd");
            var endDate = DateTime.Now.ToString("yyyy-MM-dd");
            
            //QUANDL WRAPPER ON YAHOO FINANCE API TO SORT DATA:
            //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 "https://www.quandl.com/api/v1/datasets/YAHOO/" + config.Symbol + ".csv?trim_start=" + startDate + "&trim_end=" + endDate + "&sort_order=asc&exclude_headers=true";;
        }
        
        /// <summary>
        /// Convert each line of the file above into an object.
        /// </summary>
        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
        {
            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.ToDecimal(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;
        }
    }
}