| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 37.904% Drawdown 38.500% Expectancy 0 Net Profit 200.072% Sharpe Ratio 0.991 Sortino Ratio 1.101 Probabilistic Sharpe Ratio 42.961% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.148 Beta 1.229 Annual Standard Deviation 0.286 Annual Variance 0.082 Information Ratio 0.948 Tracking Error 0.182 Treynor Ratio 0.231 Total Fees $12.28 Estimated Strategy Capacity $170000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 0.08% |
#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.Algorithm.Selection;
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.Crypto;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
using QuantConnect.DataSource;
namespace QuantConnect
{
public class USEquityDataAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
SetStartDate(2018, 1, 1);
SetEndDate(2021, 6, 1);
SetCash(100000);
// Requesting data
_symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
// Historical data
var history = History(_symbol, 60, Resolution.Daily);
Debug($"We got {history.Count()} items from our history request");
}
public override void OnData(Slice slice)
{
if (slice.ContainsKey(_symbol) && slice[_symbol] != null && !Portfolio.Invested)
{
SetHoldings(_symbol, 1);
}
}
}
}