Overall Statistics |
Total Trades
317
Average Win
0.05%
Average Loss
-0.04%
Compounding Annual Return
3.708%
Drawdown
7.200%
Expectancy
0.378
Net Profit
4.706%
Sharpe Ratio
0.439
Loss Rate
37%
Win Rate
63%
Profit-Loss Ratio
1.18
Alpha
-0.039
Beta
0.629
Annual Standard Deviation
0.074
Annual Variance
0.006
Information Ratio
-1.613
Tracking Error
0.05
Treynor Ratio
0.052
Total Fees
$325.23
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namespace QuantConnect { public class LiquidateOverTimeAlgorithm : QCAlgorithm { private int _initialQuantity = 0; private decimal _frequency = 60m; public override void Initialize() { SetStartDate(2016, 1, 1); AddEquity("SPY", Resolution.Daily); } public override void OnData(Slice data) { if (!Portfolio.HoldStock) { _initialQuantity = 0; SetHoldings("SPY", 1); Log("Buy SPY on " + Time); } else { var quantity = (int)Math.Ceiling(_initialQuantity / _frequency); Order("SPY", -Math.Min(quantity, Portfolio["SPY"].Quantity)); } } public override void OnOrderEvent(OrderEvent orderEvent) { if (orderEvent.Status == OrderStatus.Filled) { var quantity = orderEvent.FillQuantity; _initialQuantity = Math.Max(_initialQuantity, quantity); } } } }