Overall Statistics
Total Trades
26
Average Win
1.11%
Average Loss
-0.32%
Annual Return
1.003%
Drawdown
2.300%
Expectancy
1.064
Net Profit
9.198%
Sharpe Ratio
0.7
Loss Rate
54%
Win Rate
46%
Profit-Loss Ratio
3.47
Trade Frequency
Weekly trades
using System;
using System.Collections;
using System.Collections.Generic; 
using System.Text;
using System.Linq;
using QuantConnect;
using QuantConnect.Models;

namespace QuantConnect.Indicator {
    
    public class ExponentialMovingAverage : QCAlgorithm 
    {
        private int _period;
		private decimal _ema;
		private int _samples;
		private bool flag;
        private Queue <decimal>_data = new Queue <decimal> ();
		
		/******************************************************** 
        * CLASS PUBLIC VARIABLES
        *********************************************************/
		//Current value of the EMA.
		public decimal EMA {
			get{ return _ema;}
		}
		
		//Track the number of samples:
		public int Samples {
		    get { return _samples; }
		}
		
		//The EMA constant multiplier:
		public decimal GetExpConst {
			get{ return (decimal) 2/(_period +1);}
		}
		
		//We've got sufficient data samples to know its the EMA.
		public bool Ready {
		    get { return _data.Count >= _period; }
		}
		
		/******************************************************** 
        * CLASS CONSTRUCTOR
        *********************************************************/
        /// <summary>
        /// Initialise the Algorithm
        /// </summary>
        public ExponentialMovingAverage(int period) {
            _period = period;
            _ema = 0;
            flag = false;
        }
        
	   /******************************************************** 
            * CLASS METHODS
        *********************************************************/
		/// <summary>
		/// Calculate the exponential moving average 
        /// </summary>		
        public decimal AddSample(decimal quote)
        {
		  _data.Enqueue(quote);
		  _samples++;
		  
          if(_data.Count < _period)
		  {
			return _data.Average();
		  }
		  else
		  {
			if(!flag)
			{
				_ema = _data.Average();
				flag = true;
			}
			else
			{
				_ema = (1-GetExpConst) * _ema +GetExpConst * quote;
			} 
		  }
		  return _ema;
        }
    } 
}                        
using System;
using System.Collections;
using System.Collections.Generic; 
using System.Text;
using QuantConnect.Indicator;

namespace QuantConnect 
{
    using QuantConnect.Securities; 
    using QuantConnect.Models; 
    
    //50-10 Day EMA Cross: with 1% Safety Margin and 
    public class QCUMovingAverageCross : QCAlgorithm, IAlgorithm { 
    
        //Define required variables:
        int quantity = 0;
        decimal price = 0;
        decimal tolerance = 0.001m; //0.1% safety margin in prices to avoid bouncing.
        string symbol = "SPY";
        DateTime sampledToday = DateTime.Now;
        
        //Set up the EMA Class:
        ExponentialMovingAverage emaShort = new ExponentialMovingAverage(10);
        ExponentialMovingAverage emaLong = new ExponentialMovingAverage(50);
        
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize() {          
            SetStartDate(2008, 01, 01);
            SetEndDate(2014, 04, 30);  
            SetCash(25000);
            AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
            SetRunMode(RunMode.Series);
        }
        
        //Handle TradeBar Events: a TradeBar occurs on every time-interval
        public override void OnTradeBar(Dictionary<string, TradeBar> data) {
            
            //One data point per day:
            if (sampledToday.Date == data[symbol].Time.Date) return;
            
            //Only take one data point per day (opening price)
            price = Securities[symbol].Open;
            sampledToday = data[symbol].Time;
            
            //Push values into EMA.
            emaShort.AddSample(price);
            emaLong.AddSample(price);
            
            //Wait until EMA's are ready:
            if (!emaShort.Ready || !emaLong.Ready) return;
            
            //Get fresh cash balance: Set purchase quantity to equivalent 10% of portfolio.
            decimal cash = Portfolio.Cash;
            int holdings = Portfolio[symbol].Quantity;
            quantity = Convert.ToInt32((cash * 0.1m) / price);
            
            if (holdings > 0 || holdings == 0) {
                //If we're long, or flat: check if EMA crossed negative: and crossed outside our safety margin:
                if ((emaShort.EMA * (1+tolerance)) < emaLong.EMA) {
                    //Now go short: Short-EMA signals a negative turn: reverse holdings
                    Order(symbol, -(holdings + quantity));
                    Log(Time.ToShortDateString() + " > Go Short > Holdings: " + holdings.ToString() + " Quantity:" + quantity.ToString() + " Samples: " + emaShort.Samples);
                }
                
            } else if (holdings < 0 || holdings == 0) {
                //If we're short, or flat: check if EMA crossed positive: and crossed outside our safety margin:
                if ((emaShort.EMA * (1 - tolerance)) > emaLong.EMA ) {
                    //Now go long: Short-EMA crossed above long-EMA by sufficient margin
                    Order(symbol, Math.Abs(holdings) + quantity);
                    Log(Time.ToShortDateString() + "> Go Long >  Holdings: " + holdings.ToString() + " Quantity:" + quantity.ToString() + " Samples: " + emaShort.Samples); 
                }
            }
        }
    }
}