Overall Statistics Total Trades 2264 Average Win 2.57% Average Loss -1.22% Compounding Annual Return 63.761% Drawdown 25.700% Expectancy 0.269 Net Profit 2590.077% Sharpe Ratio 1.463 Loss Rate 59% Win Rate 41% Profit-Loss Ratio 2.11 Alpha 0.337 Beta 0.309 Annual Standard Deviation 0.311 Annual Variance 0.097 Information Ratio 0.148 Tracking Error 0.498 Treynor Ratio 1.47 Total Fees \$88672.64
```import numpy as np

from System import *
from NodaTime import DateTimeZone
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Brokerages import *
from QuantConnect.Data.Market import *

class BasicTemplateAlgorithm(QCAlgorithm):

def Initialize(self):
# Set the cash we'd like to use for our backtest
# This is ignored in live trading
self.SetCash(37000)

# Start and end dates for the backtest.
# These are ignored in live trading.
self.SetStartDate(2011,06,8)
self.SetEndDate(2018,2,6)

#Assets predetermined
self.svxy = self.AddEquity("SVXY", Resolution.Hour, None, True, 1, True).Symbol
self.spy = self.AddEquity("SPY", Resolution.Hour, None, True, 1, True).Symbol

# Indicators
self.emaBig = self.EMA("SVXY", 5, Resolution.Hour)
self.emaSmall = self.EMA("SVXY", 2, Resolution.Hour)

# Schedules
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(16, 1), Action(self.EveryDayBeforeMarketClose))
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(9, 59), Action(self.EveryDayAfterMarketOpen))
self.Schedule.On(self.DateRules.On(2018, 1, 22), self.TimeRules.At(13, 0), Action(self.SpecificTime))

# Timers
self.w = 1

# Set benchmark
self.SetBenchmark("SVXY")

# Get warmup data so that the Algorithm can start trading
self.SetWarmUp(5)

# Counters
self.case1 = 0
self.case2 = 0

def OnData(self, data):

if self.w == 0:

if not self.Portfolio.Invested:
if self.emaBig < self.emaSmall:
self.case1 += 1
self.SetHoldings(self.svxy, 0.85)

else:
if self.emaBig > self.emaSmall:
self.case2 += 1
self.SetHoldings(self.svxy, 0)

def EveryDayBeforeMarketClose(self):
if self.w == 0:
self.w = 1
#self.Log('Market Close')

def EveryDayAfterMarketOpen(self):
self.w = 0
#self.Log('Market Open')

def SpecificTime(self):
self.Log('Case 1: {}'.format(self.case1))
self.Log('Case 2: {}'.format(self.case2))                        ```