Overall Statistics
Total Trades
2
Average Win
8.91%
Average Loss
-2.93%
Compounding Annual Return
5.729%
Drawdown
4.500%
Expectancy
1.022
Net Profit
5.724%
Sharpe Ratio
0.835
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
3.04
Alpha
0.047
Beta
0.081
Annual Standard Deviation
0.069
Annual Variance
0.005
Information Ratio
-0.6
Tracking Error
0.124
Treynor Ratio
0.711
Total Fees
$5.18
 
using System;
using System.Collections;
using System.Collections.Generic; 
using QuantConnect.Securities;  
using QuantConnect.Models;   

namespace QuantConnect 
{   
    // Name your algorithm class anything, as long as it inherits QCAlgorithm
    public class pair_trading_Algorithm : QCAlgorithm
    {
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
			// Code Automaticly Generated  
			AddSecurity(SecurityType.Equity, "KO", Resolution.Minute);
			
			// Code Automaticly Generated  
			AddSecurity(SecurityType.Equity, "PEP", Resolution.Minute);
			
			// Code Automaticly Generated  
		
			
			// Code Automaticly Generated  
			
			
			
            SetStartDate(2014, 1, 1);         
            SetEndDate(2015,1,1); 
            SetCash(25000);
           // AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute);
           
           
            
        }

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
        public void OnData(TradeBars data) 
        {   
            
            if (!Portfolio.HoldStock) 
            {   
              Order("KO", -(int)Math.Floor(12500 / data["KO"].Close));
              Order("PEP",(int)Math.Floor(12500 / data["PEP"].Close));
               // Debug("Debug Purchased MSFT");
            }
        }
    }
}