Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
-16.61%
Compounding Annual Return
10.981%
Drawdown
22.800%
Expectancy
-1
Net Profit
3.542%
Sharpe Ratio
0.498
Probabilistic Sharpe Ratio
36.739%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.113
Beta
0.071
Annual Standard Deviation
0.247
Annual Variance
0.061
Information Ratio
-0.05
Tracking Error
0.293
Treynor Ratio
1.729
Total Fees
$7.50
 
namespace QuantConnect
{
    public partial class BootCampTask : QCAlgorithm
    {
    	OrderEvent lastOrderEvent;
    	
        public override void Initialize()
        {
            SetStartDate(2018, 12, 1);
            SetEndDate(2019, 4, 1);
            SetCash(100000);
            var spy = AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
            spy.SetDataNormalizationMode(DataNormalizationMode.Raw);
        }

        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested) 
            {
                MarketOrder("SPY", 500);
                StopMarketOrder("SPY", -500, 0.90m * Securities["SPY"].Close);
            }
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
        	//Some debugging to assist you.
        	Debug(orderEvent.ToString());

            //1. Write code to only act on fills
            if(orderEvent.Status!=OrderStatus.Filled)
            {
            	return;
            }
            
            //2. Use debug to print the order id, and save the order event to lastOrderEvent
    		lastOrderEvent = orderEvent;
        } 
    }
}