Overall Statistics
Total Trades
3629
Average Win
0.65%
Average Loss
-0.70%
Compounding Annual Return
10.846%
Drawdown
21.300%
Expectancy
0.065
Net Profit
110.333%
Sharpe Ratio
0.757
Loss Rate
45%
Win Rate
55%
Profit-Loss Ratio
0.92
Alpha
-0.016
Beta
0.96
Annual Standard Deviation
0.15
Annual Variance
0.023
Information Ratio
-0.597
Tracking Error
0.036
Treynor Ratio
0.118
Total Fees
$17043.15
 
namespace QuantConnect 
{   
    public class DICrossAlgorithm : QCAlgorithm
    {
    	private decimal _tolerance = .02m;
    	private AverageDirectionalIndex _adx;
    	
        public override void Initialize() 
        {
        	SetStartDate(2010, 1, 1);         
            
            AddEquity("SPY", Resolution.Minute);
            _adx = ADX("SPY", 14*8, Resolution.Hour);
        }

        public override void OnData(Slice data) 
        {
        	var diplus = _adx.PositiveDirectionalIndex;
			var diminus = _adx.NegativeDirectionalIndex;
			
            if (!Portfolio.HoldStock) 
            {
            	if (diplus > diminus * (1 + _tolerance))
                {
                	SetHoldings("SPY", 1);
                }
                if (diplus < diminus * (1 - _tolerance))
                {
                	SetHoldings("SPY", -1);
                }
            }
        }
        
        public override void OnEndOfDay()
        {
        	Liquidate();
        }
    }
}