Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
8.470%
Drawdown
8.400%
Expectancy
0
Net Profit
0%
Sharpe Ratio
1.1
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.005
Beta
0.61
Annual Standard Deviation
0.076
Annual Variance
0.006
Information Ratio
-1.262
Tracking Error
0.049
Treynor Ratio
0.137
Total Fees
$1.00
 
namespace QuantConnect 
{   
    public class ConsolidatorAlgorithm : QCAlgorithm
    {
        private TradeBar _spyDaily;
        private TradeBar _gldDaily;
        
        public override void Initialize()
        {
            SetStartDate(2013, 1, 1);         
            SetEndDate(DateTime.Now.Date.AddDays(-1)); 
            SetCash(25000);
            
            AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
            AddSecurity(SecurityType.Equity, "GLD", Resolution.Minute);
            
            var spyDailyConsolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));
            var gldDailyConsolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));
            
            spyDailyConsolidator.DataConsolidated += OnDataDaily;
			gldDailyConsolidator.DataConsolidated += OnDataDaily;

            SubscriptionManager.AddConsolidator("SPY", spyDailyConsolidator);
            SubscriptionManager.AddConsolidator("GLD", gldDailyConsolidator);
        }

        private void OnDataDaily(object sender, TradeBar consolidated)
        {
            if(consolidated.Symbol == "SPY") _spyDaily = consolidated;
            if(consolidated.Symbol == "GLD") _gldDaily = consolidated;
            Log(consolidated.ToString());
        }

		public void OnData(TradeBars data) 
        {   
            if (!Portfolio.HoldStock) 
            {
                Order("SPY",  100);
            }
        }
    }
}