Overall Statistics Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 263.209% Drawdown 2.200% Expectancy 0 Net Profit 1.663% Sharpe Ratio 4.41 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.007 Beta 76.134 Annual Standard Deviation 0.192 Annual Variance 0.037 Information Ratio 4.354 Tracking Error 0.192 Treynor Ratio 0.011 Total Fees \$3.29
```using QuantConnect.Data;
using RDotNet;
using System.Linq;

namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Demonstration of the R-integration for calling external statistics operations in QuantConnect.
/// </summary>
/// <meta name="tag" content="using r" />
/// <meta name="tag" content="statistics libraries" />
public class CallingRFromCSharp : QCAlgorithm
{
private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);

/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07);  //Set Start Date
SetEndDate(2013, 10, 11);    //Set End Date
SetCash(100000);             //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data

var engine = REngine.GetInstance();
engine.Evaluate("print('This is from R command.')");
// .NET Framework array to R vector.
var group1 = engine.CreateNumericVector(new double[] { 30.02, 29.99, 30.11, 29.97, 30.01, 29.99 });
engine.SetSymbol("group1", group1);
// Direct parsing from R script.
var group2 = engine.Evaluate("group2 <- c(29.89, 29.93, 29.72, 29.98, 30.02, 29.98)").AsNumeric();
// Test difference of mean and get the P-value.
var testResult = engine.Evaluate("t.test(group1, group2)").AsList();
var p = testResult["p.value"].AsNumeric().First();
// you should always dispose of the REngine properly.
// After disposing of the engine, you cannot reinitialize nor reuse it
engine.Dispose();

}

/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
SetHoldings(_spy, 1);
}
}
}
}                        ```