Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
6.842%
Drawdown
55.300%
Expectancy
0
Net Profit
339.140%
Sharpe Ratio
0.409
Probabilistic Sharpe Ratio
0.083%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.08
Beta
-0.093
Annual Standard Deviation
0.178
Annual Variance
0.032
Information Ratio
0
Tracking Error
0.264
Treynor Ratio
-0.784
Total Fees
$7.68
 
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 QCUSellInMay : QCAlgorithm, IAlgorithm { 

        private string symbol = "SPY";
        private string symbol2 = "TLT";
        private decimal cash = 100000;
        
        //Initialize the Strategy
        public override void Initialize() {
            SetCash(cash);
            SetStartDate(1998, 01, 01);
            AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
            AddSecurity(SecurityType.Equity, symbol2, Resolution.Daily);
        }
        
        //Handle the data events:
        public void OnData(TradeBars data) {
        	if (!Portfolio.Invested) {
        		SetHoldings(symbol, 1);
        	}
        	return;
            if (Time.ToString("MMM") == "May") {
                if (Portfolio.HoldStock) {
                    SetHoldings(symbol, 0);
                    SetHoldings(symbol2, 1);
                    Debug("QCU Sell In May: Flat " + Time.ToString("Y"));
                }
            } else {
                if (!Portfolio.HoldStock && Time.ToString("MMM") == "Nov") {
                    SetHoldings(symbol, 1);
                    SetHoldings(symbol2, 0);
                    Debug("QCU Sell In May: Long " + Time.ToString("Y"));
                }
            }      
        }
    }
}