Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
256.493%
Drawdown
1.400%
Expectancy
0
Net Profit
0%
Sharpe Ratio
4.303
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.019
Beta
1.007
Annual Standard Deviation
0.194
Annual Variance
0.038
Information Ratio
-7.185
Tracking Error
0.002
Treynor Ratio
0.83
Total Fees
$3.21
 
class DataConsolidationAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2013, 10, 07)  #Set Start Date
        self.SetEndDate(2013, 10, 11)    #Set End Date
        # Find more symbols here: http://quantconnect.com/data
        equity = self.AddEquity("SPY")
        self.spy = equity.Symbol

        consolidator = TradeBarConsolidator(TimeSpan.FromDays(1))
        consolidator.DataConsolidated += self.DailyConsolidator
        self.SubscriptionManager.AddConsolidator(self.spy, consolidator)

    def OnData(self, data): pass

    def DailyConsolidator(self, sender, bar):
        self.Log("{0} {1}".format(str(bar), bar.Volume))
        
        if not self.Portfolio.Invested:
        	self.SetHoldings(self.spy, 1);