Overall Statistics
Total Orders
14
Average Win
0.24%
Average Loss
-0.71%
Compounding Annual Return
-3.537%
Drawdown
5.900%
Expectancy
-0.239
Start Equity
100000
End Equity
98806.43
Net Profit
-1.194%
Sharpe Ratio
-0.929
Sortino Ratio
-0.882
Probabilistic Sharpe Ratio
18.921%
Loss Rate
43%
Win Rate
57%
Profit-Loss Ratio
0.33
Alpha
-0.105
Beta
0.575
Annual Standard Deviation
0.082
Annual Variance
0.007
Information Ratio
-1.78
Tracking Error
0.071
Treynor Ratio
-0.133
Total Fees
$14.00
Estimated Strategy Capacity
$71000000.00
Lowest Capacity Asset
IWM RV0PWMLXVHPH
Portfolio Turnover
3.78%
Drawdown Recovery
38
 
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Api;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Commands;
    using QuantConnect.Configuration;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Auxiliary;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.Data.Custom.IconicTypes;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.Shortable;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.OptionExercise;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Orders.TimeInForces;
    using QuantConnect.Python;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Positions;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;
    using QuantConnect.Securities.CryptoFuture;
    using QuantConnect.Securities.IndexOption;
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Securities.Volatility;
    using QuantConnect.Storage;
    using QuantConnect.Statistics;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
    using Calendar = QuantConnect.Data.Consolidators.Calendar;
#endregion
public class EquitiesStaticTemplateAlgorithm : QCAlgorithm
{
    private const decimal _tolerance = 0.0025m;
    public override void Initialize()
    {
        SetStartDate(2024, 9, 1);
        SetEndDate(2024, 12, 31);
        SetCash(100000);
        // AutomaticIndicatorWarmUp only supports automatic indicators, not manual indicators.
        // Settings.AutomaticIndicatorWarmUp = true;
        var tickers = new string[] {"SPY", "QQQ", "IWM"};
        foreach (var ticker in tickers)
        {
            dynamic equity = AddEquity(ticker);
            // equity.Macd = MACD(equity, 12, 26, 9, MovingAverageType.Exponential, Resolution.Daily);
            // Alternatively, use a manual indicator.
            equity.Macd = new MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential);
            WarmUpIndicator<IndicatorDataPoint>(equity.Symbol, equity.Macd, Resolution.Daily);
            RegisterIndicator(equity.Symbol, equity.Macd, Resolution.Daily);
            PlotIndicator(ticker, equity.Macd);
        }
        Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 1), Rebalance);
    }

    private void Rebalance()
    {
        foreach (dynamic security in Securities.Values)
        {
            var quantity = security.Holdings.Quantity;
            var macd = security.Macd;
            var signalDeltaPercent = (macd - macd.Signal)/macd.Fast;
            if (quantity <= 0 && signalDeltaPercent > _tolerance)
            {
                SetHoldings(security, 1m / Securities.Count);
            }
            if (quantity >= 0 && signalDeltaPercent < -_tolerance)
            {
                Liquidate(security);
            }
        }
    }
}