Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -30.002 Tracking Error 0.102 Treynor Ratio 0 Total Fees $0.00 |
namespace QuantConnect.Algorithm.CSharp { public class Test1 : QCAlgorithm { Symbol _symbol; MovingAverageConvergenceDivergence _macd; public override void Initialize() { SetStartDate(2010,1,1); SetEndDate(2010,1,10); SetCash(1000); var security = AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute); security.SetDataNormalizationMode(DataNormalizationMode.Raw); _symbol = security.Symbol; _macd = MACD("SPY", 12, 26, 9, MovingAverageType.Exponential, Resolution.Minute, Field.Close); SetWarmUp(26, Resolution.Minute); } /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// Slice object keyed by symbol containing the stock data public override void OnData(Slice data) { if(IsWarmingUp) return; if(!_macd.IsReady) return; if (data.ContainsKey(_symbol)) Plot("Custom", "SPY", data[_symbol].Close); Plot("Custom", "MACD Value", _macd.Current.Value); Plot("Custom", "MACD Signal", _macd.Signal); } } }