Overall Statistics
Total Trades
470
Average Win
2.01%
Average Loss
-1.67%
Compounding Annual Return
45.598%
Drawdown
16.900%
Expectancy
0.239
Net Profit
485.969%
Sharpe Ratio
1.646
Loss Rate
44%
Win Rate
56%
Profit-Loss Ratio
1.20
Alpha
0.412
Beta
-0.037
Annual Standard Deviation
0.245
Annual Variance
0.06
Information Ratio
0.45
Tracking Error
0.364
Treynor Ratio
-10.972
Total Fees
$2183.07
 
using System;
using System.Collections;
using System.Collections.Generic; 

namespace QuantConnect 
{
    using QuantConnect.Securities;
    using QuantConnect.Models; 

    //Sell in May Algorithm Example:
    public partial class QCPoormans : QCAlgorithm, IAlgorithm { 

        //Algorithm Variables
        private string symbol = "AAPL";
        private decimal cash = 10000;
        
        
        //Initialize the Strategy
        public override void Initialize() {
            SetCash(cash);
            SetStartDate(2011, 01, 01);
            SetEndDate(DateTime.Now.AddDays(-1));
            AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
            // compute alpha/beta against AAPL
            SetBenchmark(symbol);
        }
        
        
        
        public override void OnEndOfDay(string symbol)
        {
        	if(Time.Date.DayOfWeek == DayOfWeek.Friday && Portfolio[symbol].Quantity <= 0)
        	{
        		SetHoldings(symbol, 0.95M,true);
        	}
        	else if(Time.Date.DayOfWeek == DayOfWeek.Wednesday && Portfolio[symbol].Quantity >= 0)
        	{
        		SetHoldings(symbol, -0.95M, true);
        	}
        	Plot(symbol, Securities[symbol].Price );
        }
        
    }
}