Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
264.809%
Drawdown
2.200%
Expectancy
0
Net Profit
0%
Sharpe Ratio
4.411
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.752
Beta
0.186
Annual Standard Deviation
0.193
Annual Variance
0.037
Information Ratio
1.315
Tracking Error
0.245
Treynor Ratio
4.572
Total Fees
$3.14
 
namespace QuantConnect.Algorithm.FSharp

open System
open System.Collections.Generic
open QuantConnect
open QuantConnect.Securities
open QuantConnect.Data.Market
open QuantConnect.Algorithm
open QuantConnect.Orders
open QuantConnect.Brokerages


type BasicTemplateAlgorithm() = 

    inherit QCAlgorithm()
    
    let pdt = new PatternDayTradingMarginModel()

    //Implement core methods:
    override this.Initialize() =
        this.SetCash(100000)
        this.SetStartDate(2013, 10, 7)
        this.SetEndDate(2013, 10, 11)
        this.AddEquity("SPY", Resolution.Second) |> ignore
        this.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash);
        //ERROR: This value is not a function and cannot be applied
        this.Securities.["SPY"].MarginModel <- pdt
//        this.Securities["SPY"].MarginModel <- pdt()
    //TradeBars Data Event
    member this.OnData(bar:TradeBars) = 
        if not this.Portfolio.Invested then 
            this.SetHoldings(this.Symbol("SPY"), 1)
        else 
            ()