Overall Statistics
Total Trades
317
Average Win
0.05%
Average Loss
-0.04%
Compounding Annual Return
3.708%
Drawdown
7.200%
Expectancy
0.378
Net Profit
4.706%
Sharpe Ratio
0.439
Loss Rate
37%
Win Rate
63%
Profit-Loss Ratio
1.18
Alpha
-0.039
Beta
0.629
Annual Standard Deviation
0.074
Annual Variance
0.006
Information Ratio
-1.613
Tracking Error
0.05
Treynor Ratio
0.052
Total Fees
$325.23
 
namespace QuantConnect 
{   
    public class LiquidateOverTimeAlgorithm : QCAlgorithm
    {
    	private int _initialQuantity = 0;
    	private decimal _frequency = 60m;
    	
        public override void Initialize() 
        {
            SetStartDate(2016, 1, 1);         
            AddEquity("SPY", Resolution.Daily);
        }

        public override void OnData(Slice data) 
        {
        	if (!Portfolio.HoldStock) 
            {
            	_initialQuantity = 0;
                SetHoldings("SPY", 1);
                Log("Buy SPY on " +  Time);
            }
            else
            {
            	var quantity = (int)Math.Ceiling(_initialQuantity / _frequency);
            	Order("SPY", -Math.Min(quantity, Portfolio["SPY"].Quantity));
            }
        }
        
        public override void OnOrderEvent(OrderEvent orderEvent)
        {
        	if (orderEvent.Status == OrderStatus.Filled)
        	{
        		var quantity = orderEvent.FillQuantity;
        		_initialQuantity = Math.Max(_initialQuantity, quantity);
        	}
        }
    }
}