Overall Statistics |
Total Trades
3
Average Win
0%
Average Loss
0%
Compounding Annual Return
77.696%
Drawdown
0.200%
Expectancy
0
Net Profit
0.632%
Sharpe Ratio
5.082
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
28.923
Annual Standard Deviation
0.063
Annual Variance
0.004
Information Ratio
4.912
Tracking Error
0.063
Treynor Ratio
0.011
Total Fees
$3.00
|
import numpy as np from clr import AddReference AddReference("System.Core") AddReference("System.Collections") AddReference("QuantConnect.Common") AddReference("QuantConnect.Algorithm") from System import * from System.Collections.Generic import List from QuantConnect import * from QuantConnect.Algorithm import QCAlgorithm from QuantConnect.Data.UniverseSelection import * ### <summary> ### Basic template algorithm simply initializes the date range and cash. This is a skeleton ### framework you can use for designing an algorithm. ### </summary> class LongShortEquityExposure(QCAlgorithm): '''Basic template algorithm simply initializes the date range and cash''' def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2013,10, 7) #Set Start Date self.SetEndDate(2013,10,10) #Set End Date self.SetCash(100000) #Set Strategy Cash self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.VolumeFilter) def VolumeFilter(self, coarse): sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True) self.Debug("{0}: Submitted: {1}".format(self.UtcTime, "volumefiltercreated")) return [ x.Symbol for x in sortedByDollarVolume[:1]] def OnData(self, data): self.Debug("{0}: Submitted: {1}".format(self.UtcTime, "Ondatacalled")) for kvp in self.ActiveSecurities: symbol = kvp.Key security = kvp.Value self.MarketOrder(symbol, 100) return def OnSecuritiesChanged(self, changes): self.Debug("{0}: Submitted: {1}".format(self.UtcTime, "Onsecuritiescalled")) return def OnOrderEvent(self, OrderEvent): self.Debug("ordereventcalled") self.Debug(OrderEvent.UtcTime) return