Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
28.448%
Drawdown
5.300%
Expectancy
0
Net Profit
0%
Sharpe Ratio
1.675
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.013
Beta
0.932
Annual Standard Deviation
0.106
Annual Variance
0.011
Information Ratio
0.121
Tracking Error
0.012
Treynor Ratio
0.19
Total Fees
$1.00
 
using MathNet.Numerics.Statistics;

namespace QuantConnect 
{   
    public class TradingTheOdds : QCAlgorithm
    {
    	SimpleMovingAverage _sma;
    	string _symbolGSPC = "YAHOO/INDEX_GSPC";
	
        public override void Initialize() 
        {
        	// Minimum Start Date: 2011-3-1
            SetStartDate(2016, 2, 1);         
            SetEndDate(2016,8,1);
            SetCash(3000);
            
            AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
            AddData<Quandl>(_symbolGSPC, Resolution.Daily);
        }

        public override void OnData(Slice data) 
        {   
        	try
        	{

	        	var gspc = data.Get<Quandl>(_symbolGSPC);
	        	
	        			if (Portfolio["SPY"].HoldStock == false)
	        			{
	        				
	        			 	SetHoldings("SPY", 1.0, true);
	        				Log("Active Pos SPY " + Portfolio["SPY"].Quantity);
	        			}
	        
        	}
        	catch (Exception e)
        	{
        		Log(e.ToString() + " " + e.Message);
        	}
        }
    }
}