Overall Statistics Total Trades 2231 Average Win 0.94% Average Loss -0.58% Compounding Annual Return -14.752% Drawdown 67.800% Expectancy -0.125 Net Profit -58.692% Sharpe Ratio -0.794 Loss Rate 67% Win Rate 33% Profit-Loss Ratio 1.64 Alpha -0.073 Beta -0.476 Annual Standard Deviation 0.181 Annual Variance 0.033 Information Ratio -1.029 Tracking Error 0.283 Treynor Ratio 0.301 Total Fees \$3637.66
```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 -----------
// 1) Intraday - 30 min chart
// 2) 1/65 period SMA cross
//
// -------VATS CHANGES -----------

/// </summary>

public class QCUMovingAverageCross : QCAlgorithm
{
private const string Symbol = "VXX";

private SimpleMovingAverage fast;
private SimpleMovingAverage slow;

public override void Initialize()
{
SetStartDate(2010, 01, 01);
SetEndDate(2015, 07, 15);
SetCash(10000);

// define our daily trade bar consolidator. we can access the daily bar
// from the DataConsolidated events, this consolidator can only be used
// for a single symbol!

// attach our event handler. the event handler is a function that will be called each time we produce
// a new consolidated piece of data.
minConsolidator.DataConsolidated += OnThirtyMinutes;

int fastPeriod = 20;
int slowPeriod = 50;
fast = new SimpleMovingAverage(Symbol + "_SMA_" + fastPeriod, fastPeriod);
slow = new SimpleMovingAverage(Symbol + "_SMA_" + slowPeriod, slowPeriod);

// we need to manually register these indicators for automatic updates
RegisterIndicator(Symbol, fast, minConsolidator);
RegisterIndicator(Symbol, slow, minConsolidator);
}

private void OnThirtyMinutes(object sender, TradeBar consolidated)
{
_symbolMinutes = consolidated;
//Log(consolidated.Time.ToString("o") + " >> " + Symbol  + ">> LONG  >> 100 >> " + Portfolio[Symbol].Quantity);

// if you want code to run every five minutes then you can run it inside of here
}

private DateTime previous;
{

// only once per day
// Commented the following line to simulate intraday - Vats
//if (previous.Date == data.Time.Date) return;

if (Time.Hour <= 9 || Time.Hour > 14) return;

const decimal tolerance = 0.00001m;
var holdings = Portfolio[Symbol].Quantity;

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)
{