Overall Statistics 
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
17.212%
Drawdown
30.700%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0.857
Loss Rate
0%
Win Rate
0%
ProfitLoss Ratio
0
Alpha
0.177
Beta
0.018
Annual Standard Deviation
0.209
Annual Variance
0.044
Information Ratio
0.252
Tracking Error
0.258
Treynor Ratio
9.782
Total Fees
$15.91

namespace QuantConnect { /// <summary> /// Shows how to use the Minus and Of extension methods to define a MACD on the /// difference in closing price between two securities /// </summary> public class MacdOnDifferenceAlgorithm : QCAlgorithm { /// <summary> /// Initialise the data and resolution required, as well as the cash and startend dates for your algorithm. All algorithms must initialized. /// </summary> public override void Initialize() { SetStartDate(2011, 01, 01); //Set Start Date SetEndDate(2015, 10, 11); //Set End Date SetCash(100000); //Set Strategy Cash // Find more symbols here: http://quantconnect.com/data AddSecurity(SecurityType.Equity, "AAPL", Resolution.Daily); AddSecurity(SecurityType.Equity, "MSFT", Resolution.Daily); // Identity will get updated on each data point before OnData gets called var msft = Identity("MSFT"); var aapl = Identity("AAPL"); // Minus will get free updates from it's components pieces (msft, aapl) var diff = msft.Minus(aapl); // Of will get free updates from it's parent indicator (diff) var macdDiff = new MovingAverageConvergenceDivergence("MSFTAAPL_MACD", 12, 26, 9).Of(diff); // Plot macdDiff on each new update PlotIndicator("MSFTAAPL MACD", macdDiff); } /// <summary> /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// </summary> /// <param name="data">Slice object keyed by symbol containing the stock data</param> public override void OnData(Slice data) { if (!Portfolio.Invested) { SetHoldings("MSFT", .5); SetHoldings("AAPL", .5); } } } }