Overall Statistics
Total Trades
7
Average Win
1.01%
Average Loss
0%
Compounding Annual Return
490.879%
Drawdown
2.900%
Expectancy
0
Net Profit
3.802%
Sharpe Ratio
15.733
Probabilistic Sharpe Ratio
98.346%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
-5.456
Beta
0.817
Annual Standard Deviation
0.181
Annual Variance
0.033
Information Ratio
-56.828
Tracking Error
0.129
Treynor Ratio
3.481
Total Fees
$84.93
Estimated Strategy Capacity
$1300000.00
Lowest Capacity Asset
NB R735QTJ8XC9X
 
namespace QuantConnect 
{   

    public class StopLossExample : QCAlgorithm
    {
    	
    	const decimal StopLossPercent = 0.02m;
    	const string Symbol = "BAC";
    	
    	private decimal highestPrice = 0.0m;
    	
    	private OrderTicket CurrentOrder;
    	private OrderTicket StopLoss;
    	
        public override void Initialize() 
        {
            SetStartDate(2022, 3, 14);         
            SetEndDate(DateTime.Now.Date.AddDays(-1));
            
            SetCash(100000);
            
            AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute);
        }

        public void OnData(TradeBars data) 
        {   
            var currentPrice = data[Symbol].Close;
            // If no stock, enter position & set StopLoss
            if (!Portfolio.HoldStock) 
            {
                var quantity = (int)Math.Floor(Portfolio.Cash / currentPrice);
                CurrentOrder = Order(Symbol,  quantity);
                StopLoss = StopMarketOrder(Symbol, -quantity, currentPrice * (1m - StopLossPercent));
            }
            // If has stock, update StopLoss if necessary 
            else if (currentPrice > highestPrice)
            {
            	highestPrice = currentPrice;
            	StopLoss.Update(new UpdateOrderFields{ StopPrice = currentPrice * (1m - StopLossPercent) });
            }
        }
    }
}