Overall Statistics 
Total Trades
5
Average Win
0.13%
Average Loss
0.08%
Compounding Annual Return
0.712%
Drawdown
0.300%
Expectancy
0.293
Net Profit
0.044%
Sharpe Ratio
1.361
Loss Rate
50%
Win Rate
50%
ProfitLoss Ratio
1.59
Alpha
0.005
Beta
0
Annual Standard Deviation
0.004
Annual Variance
0
Information Ratio
1.583
Tracking Error
0.084
Treynor Ratio
23.608
Total Fees
$5.00

namespace QuantConnect { /* * QuantConnect University: Full Basic Template: * * The underlying QCAlgorithm class is full of helper methods which enable you to use QuantConnect. * We have explained some of these here, but the full algorithm can be found at: * https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Algorithm/QCAlgorithm.cs */ public class BasicTemplateAlgorithm : QCAlgorithm { private decimal lastClose = 1m; private decimal lastBuy = 1m; private string symbol = "AAPL"; //Initialize the data and resolution you require for your strategy: public override void Initialize() { //Start and End Date range for the backtest: SetStartDate(2015, 7, 15); SetEndDate(DateTime.Now.Date.AddDays(1)); //Cash allocation SetCash(25000); //Add as many securities as you like. All the data will be passed into the event handler: AddSecurity(SecurityType.Equity, symbol, Resolution.Minute, true, 1, true); } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(TradeBars data) { // "TradeBars" object holds many "TradeBar" objects: it is a dictionary indexed by the symbol: // // e.g. data["MSFT"] data["GOOG"] TradeBar d = data[symbol]; // Record the previous closing price if (d.Time.Hour == 15) { lastClose = d.Close; lastBuy = 1m; } // Buy on a 1% dip in extended hours trading, keep buying as long as it keeps going down if (d.Time.Hour >= 16 && lastClose > 0m) { if (d.Low < lastClose * 0.99m) { if (lastBuy < 0m  d.Low < lastBuy) { LimitOrder(symbol, 10, d.Low); lastBuy = d.Low; } } } // Liquidate at the next day open if (d.Time.Hour == 9 && d.Time.Minute >=30) { if (Portfolio[symbol].HoldStock) { Liquidate(symbol); } } if (Time.Minute == 0) { Plot("holdings", symbol, Portfolio[symbol].Quantity); } } public override void OnOrderEvent(OrderEvent fill) { Log(fill.ToString()); } } }