Overall Statistics
Total Trades
269
Average Win
0.94%
Average Loss
-0.22%
Compounding Annual Return
-6.702%
Drawdown
41.400%
Expectancy
-0.335
Net Profit
-30.542%
Sharpe Ratio
-0.409
Probabilistic Sharpe Ratio
0.051%
Loss Rate
87%
Win Rate
13%
Profit-Loss Ratio
4.22
Alpha
-0.097
Beta
0.543
Annual Standard Deviation
0.141
Annual Variance
0.02
Information Ratio
-0.995
Tracking Error
0.131
Treynor Ratio
-0.106
Total Fees
$318.13
 
using QuantConnect.Indicators;
using System;
using System.Collections.Generic;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Selection;

namespace QuantConnect.Algorithm.CSharp
{

    public class SimpleSystem : QCAlgorithm
    {
        public override void Initialize()
        {
            UniverseSettings.Resolution = Resolution.Hour;
            SetStartDate(2015, 1, 1);
            SetEndDate(2020, 4, 1);
            SetCash(100000);
            SetWarmup(TimeSpan.FromDays(65));


            var tickers = new string[] { "SPY" };
            var symbols = new List<Symbol>();
            foreach (var ticker in tickers)
            {
                symbols.Add(QuantConnect.Symbol.Create(ticker, SecurityType.Equity, Market.USA));
            }


            
			SetAlpha(new RsiAlphaModel());
            SetUniverseSelection(new ManualUniverseSelectionModel(symbols));
            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(Resolution.Daily));
            SetExecution(new ImmediateExecutionModel());
            //SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.01));
        }
    }
}