Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
105.015%
Drawdown
0.700%
Expectancy
0
Net Profit
0%
Sharpe Ratio
8.028
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.203
Beta
1.092
Annual Standard Deviation
0.079
Annual Variance
0.006
Information Ratio
-5.1
Tracking Error
0.026
Treynor Ratio
0.578
Total Fees
$1.00
namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Full Basic Template:
    *
    *   The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect.
    *   We have explained some of these here, but the full algorithm can be found at:
    *   https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs
    */
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	Dictionary<Symbol, decimal> _open = new Dictionary<Symbol, decimal>();
    	
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize() 
        {
			
            //Start and End Date range for the backtest:
            SetStartDate(2016, 12, 1);         
            SetEndDate(DateTime.Now.Date.AddDays(-1));
            
            //Cash allocation
            SetCash(25000);
            
            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
            
            OnEndOfDay();
        }

        //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) 
        {   
            // "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol:
            // 
            //  e.g.  data["MSFT"] data["GOOG"]
            
            foreach(var item in data.Where(x => _open[x.Key] == 0))
            {
            	_open[item.Key] = item.Value.Open;
            	Debug(Time + " -> " + _open[item.Key]);
            }
            
            if (!Portfolio.HoldStock) 
            {
                int quantity = (int)Math.Floor(Portfolio.Cash / data["SPY"].Close);
                
                //Order function places trades: enter the string symbol and the quantity you want:
                Order("SPY",  quantity);
                
                //Debug sends messages to the user console: "Time" is the algorithm time keeper object 
                Debug("Purchased SPY on " + Time.ToShortDateString());
                
                //You can also use log to send longer messages to a file. You are capped to 10kb
                //Log("This is a longer message send to log.");
            }
        }
        
        public override void OnEndOfDay()
        {
        	foreach(var kvp in Securities)
            {
            	if(_open.ContainsKey(kvp.Key))
            	{
            		_open[kvp.Key] = 0m;
            	}
            	else
            	{
            	    _open.Add(kvp.Key, 0m);
            	}
            }
        }
    }
}