Overall Statistics
Total Trades
49
Average Win
0.56%
Average Loss
-3.24%
Compounding Annual Return
28.101%
Drawdown
18.400%
Expectancy
0.148
Net Profit
26.346%
Sharpe Ratio
1.371
Loss Rate
2%
Win Rate
98%
Profit-Loss Ratio
0.17
Alpha
0.268
Beta
-0.074
Annual Standard Deviation
0.188
Annual Variance
0.035
Information Ratio
0.569
Tracking Error
0.22
Treynor Ratio
-3.508
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;

namespace QuantConnect {

    /*
    *   Average True Range:
    *   
    *   Find the volatility of the market based on the average movement between bars.
    *   
    *   Typically a 14 Day-Period ATR
    *
    */
    public class AverageTrueRange
    {
        //Get the current ATR value for this stock.
        public decimal ATR {
            get {return _atr;}
        }
    
        //Let to caller know when the indicator is ready to use:
        public bool Ready {
            get { return (_samples >= _period); }
        }
    
        //Initialize a new ATR Class:
        public AverageTrueRange(int period = 14) {
            _period = Convert.ToDecimal(period);
        }
    
        //Working variables:
        private decimal _samples = 0;
        private decimal _atr = 0;
        private decimal _tr = 0;
        private decimal _period = 14;
        private TradeBar _lastBar = new TradeBar();
    
        /*
        *   Add a new tradebar sample to the ATR:
        */
        public decimal AddSample(TradeBar bar) {
            
            //Start calculation on second bar.
            if (_samples <= _period) _samples++;
            if (_samples == 1) { _lastBar = bar; return 0; }
            
            //Abs Maximum of the Following Ranges:
            decimal range1 = Math.Abs(bar.High - _lastBar.Low);
            decimal range2 = bar.High - bar.Low;
            decimal range3 = Math.Abs(bar.Low - _lastBar.Close);
            
            //True Range of this Bar:
            _tr = Math.Max(range1, Math.Max(range2, range3));
            //Set first values:
            if (_samples == 1) _atr = _tr;
            
            //Find the ATR:
            _atr = (((_period - 1) * _atr) + _tr) / _period;
            
            //Save bar:
            _lastBar = bar;
         
            return _atr;
        }
    }
}                        
using System;
using System.Collections;
using System.Collections.Generic; 
using QuantConnect.Securities;  
using QuantConnect.Models;   
using System.Linq;

namespace QuantConnect 
{   
    // Name your algorithm class anything, as long as it inherits QCAlgorithm
    public class RebalanceAlgorithm : QCAlgorithm
    {
        
        DateTime _lastRebalance = new DateTime();
        List<string> _assets = new List<string>() { "LWAY", "UUP", "MUB", "VTI", "SPY" }; 
        
        string symbol_active = "SPY";
        int qtyTranch = 777;
        List<decimal> prices = new List<decimal>();
        
        List<decimal> takeprofits = new List<decimal>();
        
           //"VYM", "MUB", SHV , UUP
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
          //  SetStartDate(2013, 1, 1);
          //  SetEndDate(DateTime.Now.AddDays(-1));
            
            SetStartDate(2014, 1, 1);  
            SetEndDate(2015, 12, 30); 
            
            SetCash(600000);
            
            foreach (var symbol in _assets)
            {
                 AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
            }
        }
        
      

        //Simplest implementation of asset rebalancing.
        public void OnData(TradeBars data) 
        {   
           
            
             if (!Portfolio.Invested)
           {        Order(symbol_active, qtyTranch);
              //  // SetHoldings("VTI", 0.3);  
              //  SetHoldings("UUP", 0.1);  
              //  SetHoldings("MUB", 0.6); 
               
           }
           // Day 
          
             if ( _lastRebalance.Date != Time.Date) 
            {
                
              //  decimal.Multiply( data[symbol_active].Close, Decimal.Parse("0.97") ) ;
                  prices.Add( decimal.Multiply( data[symbol_active].Close, Decimal.Parse("0.975") ) );
                takeprofits.Add( decimal.Multiply( data[symbol_active].Close, Decimal.Parse("1.03") ) );
            
           
           
       if(Portfolio.TotalUnrealizedProfit>1000) 
       {
           
            //Order(symbol_active, -qtyTranch);
            Liquidate();
            SetHoldings(symbol_active, 0.9); 
       }
        
        
            
                  
              if(data[symbol_active].Open<prices.Max())
              {
                  
                 
                  
                 Order(symbol_active, qtyTranch);
                 prices.Clear();
                 
                   // Liquidate();
             //   SetHoldings("VTI", 0.3);  
             //   SetHoldings("UUP", 0.1);  
              //  SetHoldings("MUB", 0.6);  
                
              }
                _lastRebalance = Time;
            }
        }
              
          
    
  
        }
    
}