Overall Statistics
Total Trades
202
Average Win
0.00%
Average Loss
-0.01%
Compounding Annual Return
-0.480%
Drawdown
0.800%
Expectancy
-0.976
Net Profit
-0.480%
Sharpe Ratio
-0.796
Loss Rate
98%
Win Rate
2%
Profit-Loss Ratio
0.12
Alpha
-0.004
Beta
0.004
Annual Standard Deviation
0.005
Annual Variance
0
Information Ratio
-0.052
Tracking Error
0.141
Treynor Ratio
-1
Total Fees
$0.00
 
namespace QuantConnect 
{   
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
        Equity _aapl;
        Symbol _sym;

        SimpleMovingAverage _sma;
        

        public override void Initialize()
        {
            // backtest parameters
            SetStartDate(2015, 1, 1);
            SetEndDate(2016, 1, 1);

            // cash allocation
            SetCash(100000);

            _aapl = AddEquity("AAPL", Resolution.Daily);
            _sym = _aapl.Symbol;

            _sma = SMA(_sym, 51, Resolution.Daily);

            Securities[_sym].FeeModel = new ConstantFeeTransactionModel(0.0m);
        }

        public override void OnData(Slice data)
        {
        	if(!data.Bars.ContainsKey(_sym)) return;
        	var bar = data.Bars[_sym];
        	
			if(_sma.IsReady) {
            	if(bar.Close > _sma) {
            		MarketOnOpenOrder(_sym, 1);
            		MarketOnCloseOrder(_sym, -1);
            	} else {
            		MarketOnOpenOrder(_sym, -1);
            		MarketOnCloseOrder(_sym, 1);
            	}
            }
        }

    }
}