Overall Statistics
Total Trades
37
Average Win
7.96%
Average Loss
-2.23%
Compounding Annual Return
8.880%
Drawdown
20.700%
Expectancy
2.301
Net Profit
204.682%
Sharpe Ratio
0.796
Loss Rate
28%
Win Rate
72%
Profit-Loss Ratio
3.57
Alpha
0.02
Beta
3.583
Annual Standard Deviation
0.113
Annual Variance
0.013
Information Ratio
0.623
Tracking Error
0.113
Treynor Ratio
0.025
Total Fees
$0.00
 
namespace QuantConnect
{
    public class switchAlgo : QCAlgorithm
    {
    	private MovingAverageConvergenceDivergence macd;
    	
        public override void Initialize()
        {
        	SetBrokerageModel(BrokerageName.Alpaca, AccountType.Cash);
        	
          	SetStartDate(2005,1,1);//  # Set Start Date
	        SetEndDate(2018,2,1);//    # Set End Date
	        SetCash(100000) ;//        # Set Strategy Cash
	        SetWarmUp(150);
          
            AddEquity("SPY", Resolution.Daily);
            AddEquity("TLT", Resolution.Daily);
            
            // Construct MACD Indicator
            macd = MACD("SPY",50, 150, 9, MovingAverageType.Simple, Resolution.Daily);
            
        }
        
        public override void OnData(Slice data)
	    {
	     			// Return if MACD indicator is not ready
					if (!macd.IsReady) return;

		            // Set weight
		            var weight = 0.80;
	        
	        		// Liquidate TLT and allocate 80% of portfolio value to SPY
		            if (macd.Fast > macd.Slow){
		                if(Portfolio["TLT"].Invested) Liquidate("TLT");
		                
		                if(!Portfolio["SPY"].Invested) SetHoldings("SPY", weight);
		            } 
		            
		           // Liquidate SPY and allocate 80% of portfolio value to TLT
		            else if (macd.Slow > macd.Fast){
		                if (Portfolio["SPY"].Invested) Liquidate("SPY");
	
		                if (!Portfolio["TLT"].Invested) SetHoldings("TLT", weight);
				 }
         
        }
    }
}