Overall Statistics
Total Trades
1504
Average Win
1.55%
Average Loss
-1.87%
Compounding Annual Return
5.303%
Drawdown
59.100%
Expectancy
0.038
Net Profit
182.915%
Sharpe Ratio
0.298
Probabilistic Sharpe Ratio
0.023%
Loss Rate
43%
Win Rate
57%
Profit-Loss Ratio
0.83
Alpha
0.072
Beta
-0.079
Annual Standard Deviation
0.223
Annual Variance
0.05
Information Ratio
0.017
Tracking Error
0.287
Treynor Ratio
-0.84
Total Fees
$2838.48
 
namespace QuantConnect.Algorithm.CSharp
{
    public class TransdimensionalTachyonInterceptor : QCAlgorithm
    {
		private Symbol _spy;
		private Symbol _eurusd;
		private DateTime _prevTime;
		private int _prev = 1;
		
        public override void Initialize()
        {
            SetStartDate(2000, 1, 1);  //Set Start Date
            SetCash(100000);             //Set Strategy Cash
            
            _spy = AddEquity("SPY", Resolution.Daily).Symbol;
            _eurusd = AddForex("EURUSD", Resolution.Daily, Market.Oanda).Symbol;
        }

        /// 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 (_prevTime.DayOfWeek == DayOfWeek.Wednesday && _prevTime.Day != Time.Day)
            {
            	SetHoldings(_eurusd, _prev);
            	_prev = ~_prev;
            	SetHoldings(_spy, _prev);
            }
            
            _prevTime = Time;
        }
    }
}