Overall Statistics
Total Trades
127
Average Win
8.31%
Average Loss
-1.95%
Compounding Annual Return
10.200%
Drawdown
25.000%
Expectancy
0.923
Net Profit
248.613%
Sharpe Ratio
0.648
Loss Rate
63%
Win Rate
37%
Profit-Loss Ratio
4.27
Alpha
0.053
Beta
0.461
Annual Standard Deviation
0.137
Annual Variance
0.019
Information Ratio
0.07
Tracking Error
0.145
Treynor Ratio
0.193
Total Fees
$137.15
 
namespace QuantConnect 
{  
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	public string symbol = "SPY";
    	SimpleMovingAverage Slow;
    	RollingWindow<bool> Cross;
    	
        public override void Initialize() 
        {
            SetStartDate(2005, 1, 1);         
            SetEndDate(DateTime.Now);
            SetCash(10000);
            
            AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
            Slow = SMA(symbol, 100);
            
            Cross = new RollingWindow<bool>(5);
        }
        
        public void OnData(TradeBars data) 
        {
        	if (!Slow.IsReady) return;
      	
        	var currentPrice = data[symbol].Price;
        	
        	var cross = currentPrice > Slow;
        	Cross.Add(cross);
        	if(!Cross.IsReady) return;
        	
        	if(!Portfolio[symbol].IsLong && Cross[0] && !Cross[1])
        	{
        		SetHoldings(symbol, 1.5m, false, "Long " + symbol);
        	}
        	
        	if(!Portfolio[symbol].IsShort && !Cross[0] && Cross[1])
        	{
        		SetHoldings(symbol, 0, false, "Short " + symbol);
        	}
        	
        }
    }
}