Overall Statistics
Total Trades
35
Average Win
2.69%
Average Loss
-3.07%
Compounding Annual Return
-7.945%
Drawdown
36.200%
Expectancy
-0.173
Net Profit
-21.307%
Sharpe Ratio
-0.597
Loss Rate
56%
Win Rate
44%
Profit-Loss Ratio
0.88
Alpha
-0.063
Beta
-0.085
Annual Standard Deviation
0.124
Annual Variance
0.015
Information Ratio
-1.13
Tracking Error
0.185
Treynor Ratio
0.875
Total Fees
$49.98
 
namespace QuantConnect 
{
    public class MonthlyEventAlgorithm : QCAlgorithm
    {
        public override void Initialize() 
        {
            SetStartDate(2013, 1, 1);
            SetEndDate(DateTime.Now.Date.AddDays(-1));
            SetCash(25000);
            AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
            
            var holdings = Portfolio["SPY"];
            Schedule.Event().MonthStart("SPY").At(TimeSpan.FromHours(10)).Run(() =>
            {
            	if (!holdings.Invested) SetHoldings("SPY", 1);
            	else if (holdings.IsLong) SetHoldings("SPY", -1);
            	else if (holdings.IsShort) SetHoldings("SPY", 1);
            });
        }
        public void OnData(TradeBars data) 
        {
        }
    }
}