Overall Statistics Total Trades100Average Win14.83%Average Loss-4.87%Compounding Annual Return69.573%Drawdown23.100%Expectancy1.507Net Profit2282.594%Sharpe Ratio1.717Loss Rate38%Win Rate62%Profit-Loss Ratio3.04Alpha0.387Beta1.202Annual Standard Deviation0.343Annual Variance0.118Information Ratio1.461Tracking Error0.288Treynor Ratio0.49Total Fees\$11506.46
```using System;
using System.Linq;
using QuantConnect.Indicators;
using QuantConnect.Models;

namespace QuantConnect.Algorithm.Examples
{
/// <summary>
///
/// QuantConnect University: EMA + SMA Cross
///
/// In this example we look at the canonical 20/50 day moving average cross. This algorithm
/// will go long when the 20 crosses above the 50 and will liquidate when the 20 crosses
/// back below the 50.

// Vats Changes -----------
// Simulating  - 10/1 DMA cross
//-------------------------------------

/// </summary>
public class QCUMovingAverageCross : QCAlgorithm
{
private const string Symbol = "VXX";

private ExponentialMovingAverage fast;
private ExponentialMovingAverage slow;
private SimpleMovingAverage[] ribbon;

public override void Initialize()
{

// set up our analysis span
SetStartDate(2009, 07, 01);
SetEndDate(2015, 07, 1);

// request SPY data with minute resolution

// create a 15 day exponential moving average
fast = EMA(Symbol, 5, Resolution.Daily);

// create a 30 day exponential moving average
slow = EMA(Symbol, 10, Resolution.Daily);

// the following lines produce a simple moving average ribbon, this isn't
// actually used in the algorithm's logic, but shows how easy it is to make
// indicators and plot them!

// note how we can easily define these indicators to receive hourly data
int ribbonCount = 7;
int ribbonInterval = 15*8;
ribbon = new SimpleMovingAverage[ribbonCount];

for(int i = 0; i < ribbonCount; i++)
{
ribbon[i] = SMA(Symbol, (i + 1)*ribbonInterval, Resolution.Hour);
}
}

private DateTime previous;
{
// a couple things to notice in this method:
//  1. We never need to 'update' our indicators with the data, the engine takes care of this for us
//  2. We can use indicators directly in math expressions
//  3. We can easily plot many indicators at the same time

// wait for our slow ema to fully initialize

// only once per day
if (previous.Date == data.Time.Date) return;

// define a small tolerance on our checks to avoid bouncing
const decimal tolerance = 0.00015m;
var holdings = Portfolio[Symbol].Quantity;

// Vats' changes - Short here .we only want to go long if we're currently short or flat
if (holdings >= 0)
{
// if the slow is greater than the fast, we'll go short
if (slow > fast * (1 + tolerance))
{
Log("SELL  >> " + Securities[Symbol].Price);
SetHoldings(Symbol, -1.0);
}
}

// Vats' changes - Long here . We only want to liquidate if we're currently short
// if the slow is less than the fast we'll liquidate our short
if (holdings < 0 && slow < fast)
{
Liquidate(Symbol);
}

Plot(Symbol, "Price", data[Symbol].Price);
Plot("Ribbon", "Price", data[Symbol].Price);

// easily plot indicators, the series name will be the name of the indicator
Plot(Symbol, fast, slow);
Plot("Ribbon", ribbon);

previous = data.Time;
}
}
}```