| Overall Statistics |
|
Total Trades 5 Average Win 0% Average Loss -0.01% Compounding Annual Return -0.282% Drawdown 0.000% Expectancy -1 Net Profit -0.007% Sharpe Ratio -2.748 Probabilistic Sharpe Ratio 26.252% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.003 Beta 0.003 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -4.942 Tracking Error 0.092 Treynor Ratio -0.431 Total Fees $5.00 Estimated Strategy Capacity $2800000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.24% |
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
public class TrailingStopOrderAlgorithm : QCAlgorithm
{
private Symbol _symbol;
const decimal _trailingAmount = 0.01m;
public override void Initialize()
{
SetStartDate(2021, 7, 1);
SetEndDate(2021, 7, 9);
SetCash(100000);
_symbol = AddEquity("SPY", dataNormalizationMode: DataNormalizationMode.Raw).Symbol;
}
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
var quantity = Time.Day % 2 == 0 ? 1 : -1;
MarketOrder(_symbol, quantity);
TrailingStopOrder(_symbol, -quantity, _trailingAmount, true);
}
}
}
}