Overall Statistics |
Total Trades 273 Average Win 1.63% Average Loss -1.65% Compounding Annual Return 39.482% Drawdown 17.100% Expectancy 0.157 Net Profit 89.419% Sharpe Ratio 1.318 Loss Rate 42% Win Rate 58% Profit-Loss Ratio 0.99 Alpha 0.429 Beta -0.279 Annual Standard Deviation 0.282 Annual Variance 0.08 Information Ratio 0.535 Tracking Error 0.313 Treynor Ratio -1.333 |
using System; using System.Collections; using System.Collections.Generic; using QuantConnect.Securities; using QuantConnect.Models; namespace QuantConnect { // Name your algorithm class anything, as long as it inherits QCAlgorithm public class RebalanceAlgorithm : QCAlgorithm { DateTime _lastRebalance = new DateTime(); List<string> _assets = new List<string>() { "IBM", "AAPL", "MSFT" }; //Initialize the data and resolution you require for your strategy: public override void Initialize() { SetStartDate(2013, 1, 1); SetEndDate(DateTime.Now.AddDays(-1)); SetCash(25000); foreach (var symbol in _assets) { AddSecurity(SecurityType.Equity, symbol, Resolution.Minute); } } //Simplest implementation of asset rebalancing. public void OnData(TradeBars data) { if (Time.DayOfWeek == DayOfWeek.Monday && _lastRebalance.Date != Time.Date) { Liquidate(); foreach (var symbol in _assets) { SetHoldings(symbol, (1m / _assets.Count)); } _lastRebalance = Time; } } } }