Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
14.888%
Drawdown
7.900%
Expectancy
0
Net Profit
0%
Sharpe Ratio
1.036
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.024
Beta
0.962
Annual Standard Deviation
0.116
Annual Variance
0.013
Information Ratio
1.093
Tracking Error
0.019
Treynor Ratio
0.125
Total Fees
$2.54
 
namespace QuantConnect.Algorithm.CSharp
{ 
    public class PastClose : QCAlgorithm
    {
    	private Symbol _spy;
        private RollingWindow<decimal> Close;
        
        public override void Initialize()
        {
            SetStartDate(2016, 01, 01);  //Set Start Date
            SetEndDate(2016, 12, 31);    //Set End Date
            SetCash(100000);             //Set Strategy Cash

            AddEquity("SPY", Resolution.Daily);
            _spy = Securities["SPY"].Symbol;
            
            Close  = new RollingWindow<decimal>(2);
        }
      
        public void OnData(TradeBars data)
        {
        	Close.Add(data[_spy].Close);
            if (!Close.IsReady) return;
            
            if (!Portfolio.Invested && Close[0] > Close[1])
            {
            	SetHoldings(_spy, 1);
            	Debug(Time + " -> Buy signal: " + Close[0] + " . " + Close[1]);
            }
        }
    }
}