Backtest

Overall Statistics
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 44.489% Drawdown 1.000% Expectancy 0 Start Equity 100000 End Equity 103175.13 Net Profit 3.175% Sharpe Ratio 5.443 Sortino Ratio 5.108 Probabilistic Sharpe Ratio 93.419% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.099 Beta 0.477 Annual Standard Deviation 0.045 Annual Variance 0.002 Information Ratio -9.628 Tracking Error 0.05 Treynor Ratio 0.517 Total Fees $1.00 Estimated Strategy Capacity $250000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 1.57% Drawdown Recovery 3

#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
namespace QuantConnect.Algorithm.CSharp
{
    public class DancingOrangePanda : QCAlgorithm
    {

        private Symbol _selected;
        private int _i;

        public override void Initialize()
        {
            SetStartDate(2024, 4, 20);
            SetEndDate(2024, 5, 20);
            SetCash(100000);
            
            AddUniverse((coarse) => 
            {
                if (!Portfolio.Invested) 
                {
                    _selected = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
                    return [QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)];
                }

                if (_i++ % 2 == 0)
                {
                    return [QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA)];
                }

                return [QuantConnect.Symbol.Create("GOOG", SecurityType.Equity, Market.USA)];
            });
        }

        public override void OnData(Slice data)
        {
            if (_selected == null || Portfolio.Invested) 
            {
                return;
            }

            MarketOrder(_selected, 100);
        }

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            if (changes.RemovedSecurities.Count > 0) 
            {
                Log($"[{Time}] :: Removed securities: {string.Join(", ", changes.RemovedSecurities.Select(x => x.Symbol))}");
            }
        }

    }
}