Overall Statistics
Total Trades
27
Average Win
0%
Average Loss
0%
Compounding Annual Return
-0.677%
Drawdown
13.800%
Expectancy
0
Net Profit
-2.894%
Sharpe Ratio
-0.128
Probabilistic Sharpe Ratio
0.572%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
-0.037
Annual Standard Deviation
0.041
Annual Variance
0.002
Information Ratio
-0.571
Tracking Error
0.191
Treynor Ratio
0.14
Total Fees
$27.00
 
namespace QuantConnect 
{   
    /*
    *   Basic Template Algorithm
    *
    *   The underlying QCAlgorithm class has many methods which enable you to use QuantConnect.
    *   We have explained some of these here, but the full base class can be found at:
    *   https://github.com/QuantConnect/Lean/tree/master/Algorithm
    */
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
        public override void Initialize() 
        {
        	// backtest parameters
            SetStartDate(2016, 1, 1);         
            SetEndDate(DateTime.Now);
            
            // cash allocation
            SetCash(1000000);
            
            // request specific equities
            // including forex. Options and futures in beta.
            var vxx = AddEquity("VXX", Resolution.Daily);

            Schedule.On(DateRules.MonthStart("VXX"), TimeRules.AfterMarketOpen("VXX", 10), () =>
			{
				
				var shares = -100; // -10000 / Securities["VXX"].Price;
				MarketOrder("VXX", shares);
				Log("Sold " + shares + " of VXX on " + Time);
			});
        }


    }
}