Overall Statistics
Total Trades
66
Average Win
9.29%
Average Loss
-5.17%
Compounding Annual Return
8.129%
Drawdown
36.700%
Expectancy
1.118
Net Profit
473.984%
Sharpe Ratio
0.543
Probabilistic Sharpe Ratio
0.675%
Loss Rate
24%
Win Rate
76%
Profit-Loss Ratio
1.80
Alpha
0.082
Beta
-0.062
Annual Standard Deviation
0.143
Annual Variance
0.02
Information Ratio
0.018
Tracking Error
0.237
Treynor Ratio
-1.251
Total Fees
$780.04
 
using System;
using System.Collections;
using System.Collections.Generic; 

namespace QuantConnect 
{
    using QuantConnect.Securities;
    using QuantConnect.Models; 

    //Sell in May Algorithm Example:
    public partial class QCUSellInMay : QCAlgorithm, IAlgorithm { 

        private string symbol = "SPY";
        private string symbol2 = "TLT";
        private decimal cash = 100000;
        
        //Initialize the Strategy
        public override void Initialize() {
            SetCash(cash);
            SetStartDate(1998, 01, 01);
            AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
            AddSecurity(SecurityType.Equity, symbol2, Resolution.Daily);
        }
        
        //Handle the data events:
        public void OnData(TradeBars data) {
        	/*if (!Portfolio.Invested) {
        		SetHoldings(symbol, 1);
        	}
        	return;*/
            if (Time.ToString("MMM") == "May") {
                if (Securities[symbol].Invested) {
                    SetHoldings(symbol, 0);
                    SetHoldings(symbol2, 1);
                    Debug("QCU Sell In May: Flat " + Time.ToString("Y"));
                }
            } else {
                if (!Securities[symbol].Invested && Time.ToString("MMM") == "Nov") {
                    SetHoldings(symbol, 1);
                    SetHoldings(symbol2, 0);
                    Debug("QCU Sell In May: Long " + Time.ToString("Y"));
                }
            }      
        }
    }
}