Overall Statistics |
Total Trades 8 Average Win 0% Average Loss 0% Compounding Annual Return 6.359% Drawdown 17.100% Expectancy 0 Net Profit 0% Sharpe Ratio 0.749 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.046 Beta 0.131 Annual Standard Deviation 0.071 Annual Variance 0.005 Information Ratio -0.012 Tracking Error 0.166 Treynor Ratio 0.405 Total Fees $8.00 |
namespace QuantConnect { /* * QuantConnect University: Full Basic Template: * * The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect. * We have explained some of these here, but the full algorithm can be found at: * https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs */ public class AWP : QCAlgorithm { //List<string> _assets = new List<string>() { "OEF", "IJR", "EFA", "EEM", "IEF", "TLT", "DBC", "GLD" }; //List<double> _alloc = new List<double>() { 0.18, 0.03, 0.06, 0.03, 0.15, 0.4, 0.075, 0.075 }; TupleList<double, string> _allocations = new TupleList<double, string> { { 0.18, "OEF" }, { 0.03, "IJR" }, { 0.06, "EFA" }, { 0.03, "EEM" }, { 0.15, "IEF" }, { 0.4, "TLT" }, { 0.075, "DBC" }, { 0.075, "GLD" } }; //Initialize the data and resolution you require for your strategy: public override void Initialize() { //Start and End Date range for the backtest: SetStartDate(2005, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); //Cash allocation SetCash(25000); foreach (var symbol in _allocations) { //Add as many securities as you like. All the data will be passed into the event handler: AddSecurity(SecurityType.Equity, symbol.Item2, Resolution.Daily); } } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(TradeBars data) { foreach(var symbol in _allocations) { if (!Portfolio[symbol.Item2].HoldStock) { if(data.ContainsKey(symbol.Item2)) { SetHoldings(symbol.Item2, symbol.Item1); } } } } //easify list of symbols and allocations public class TupleList<T1, T2> : List<Tuple<T1, T2>> { public void Add(T1 item, T2 item2) { Add( new Tuple<T1, T2>(item, item2)); } } } }