Overall Statistics
Total Trades
20
Average Win
0.64%
Average Loss
-0.26%
Compounding Annual Return
16.621%
Drawdown
2.00%
Expectancy
0.743
Net Profit
3.85%
Sharpe Ratio
3.133
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
2.49
Alpha
0.16
Beta
0.061
Annual Standard Deviation
0.049
Annual Variance
0.002
Information Ratio
2.15
Tracking Error
0.108
Treynor Ratio
2.53
Total Fees
$200.00
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;
using QuantConnect.Orders;

namespace QuantConnect {

    public partial class SP500Backtest : QCAlgorithm, IAlgorithm { 
        
      //Algorithm Variables -list of all stocks. To be used to initialize algorithm
    private string[] stockListInit = {"A","AA","AAPL","ABC","ADBE","ADM","ADSK","AES","AET","AGN","AIG",
"AIV","AKAM","AKS","ALTR","ALXN","AMAT","AMD","AMGN","AMP","AMZN","AN",
"ANF","ANR","APA","APC","APH","APOL","ARG","AVP","AZO","BAC","BAX",
"BBBY","BBT","BBY","BEAM","BF.B","BHI","BIG","BIIB","BK","BLL","BMS",
"BRCM","BRK.B","BSX","BTU","C","CA","CAG","CBE","CBG","CELG","CF",
"CHK","CHRW","CI","CLF","CMCSA","CME","CMI","CNX","COG","COH","CPWR",
"CRM","CSC","CSCO","CSX","CTAS","CTL","CTSH","CTXS","CVC","CVH","DD",
"DE","DELL","DF","DGX","DHI","DNB","DNR","DO","DOW","DRI","DTV",
"DUK","DV","DVA","DVN","EA","EBAY","EFX","EL","EMN","EOG","EQT",
"ESRX","ESV","ETFC","ETN","EW","EXC","EXPE","F","FCX","FDO","FE",
"FFIV","FHN","FII","FIS","FITB","FLR","FOSL","FRX","FTI","GAS","GCI",
"GGP","GILD","GLW","GMCR","GME","GNW","GOOGL","GPS","GS","GT","HAL",
"HAR","HBAN","HCBK","HCN","HCP","HD","HES","HIG","HNZ","HOG","HP",
"HPQ","HRS","HSP","HUM","ICE","IGT","INTC","INTU","IPG","IRM","ISRG",
"ITT","JBL","JCP","JDSU","JEC","JNPR","JNS","JOY","JPM","KEY","KIM",
"KLAC","KMX","KSS","KSU","L","LB","LEG","LEN","LH","LIFE","LLY",
"LM","LNC","LO","LRCX","LSI","LUK","LUV","LXK","M","MAR","MAS",
"MCK","MCO","MDT","MHFI","MLM","MNST","MO","MOLX","MON","MOS","MRO",
"MS","MSI","MTB","MUR","MWW","MYL","NBL","NE","NEE","NEM","NFLX",
"NFX","NKE","NOV","NRG","NSC","NTAP","NUE","NVDA","NVLS","NWL","NYT",
"NYX","ODP","OI","OKE","ORCL","ORLY","PBI","PCLN","PCP","PCS","PDCO",
"PEG","PETM","PFG","PHM","PKI","PLL","PNR","POM","PPG","PPL","PVH",
"PXD","R","RCL","RDC","REGN","RF","RHI","RHT","RIG","RL","ROST",
"RRC","RSH","S","SBUX","SCHW","SEE","SHLD","SIAL","SLB","SLM","SNDK",
"SPG","SPLS","SRCL","SRE","STI","STJ","STX","STZ","SVU","SWK",
"SWKS","SWN","SWY","SYMC","TE","TEG","TER","TGT","THC","TIE","TIF",
"TLAB","TSCO","TSN","TSO","TWX","TXT","UNH","URBN","URI","VAR","VLO",
"VMC","VRSN","VRTX","WAG","WAT","WDC","WFM","WFR","WHR","WIN","WLP",
"WMB","WMT","WY","WYNN","X","XL","XLNX","YHOO","YUM","ZION","ZMH"};

    string [,] stockListGainers = new string [125,5] {
        {"HUM",  "VLO",  "AAPL",  "TIE",  "CLF"},
        {"CHK",  "CTSH",  "NVDA",  "TIE",  "VLO"},
        {"ESRX",  "TIF",  "JCP",  "CELG",  "SHLD"},
        {"LLY",  "SWY",  "DV",  "GLW",  "CELG"},
        {"TIE",  "BTU",  "ADSK",  "BIG",  "LSI"},
        {"BBY",  "DNR",  "LM",  "TIE",  "CME"},
        {"AMGN",  "RHI",  "AKS",  "SNDK",  "BTU"},
        {"HAR",  "NOV",  "A",  "ADSK",  "VLO"},
        {"AMD",  "CLF",  "SNDK",  "WFR",  "JDSU"},
        {"DV",  "SNDK",  "ESRX",  "JNS",  "BTU"},
        {"AKS",  "WFR",  "JDSU",  "X",  "TIE"},
        {"NEM",  "AMD",  "HUM",  "SCHW",  "SNDK"},
        {"SLB",  "JDSU",  "AMD",  "AKS",  "BRCM"},
        {"WFR",  "MWW",  "SBUX",  "TLAB",  "MYL"},
        {"NVDA",  "NUE",  "LSI",  "AKS",  "JDSU"},
        {"R",  "BHI",  "CMCSA",  "BTU",  "TIE"},
        {"HUM",  "ADM",  "BIG",  "HSP",  "LXK"},
        {"GOOGL",  "CELG",  "NYX",  "CTSH",  "CHRW"},
        {"STJ",  "BAX",  "RSH",  "AAPL",  "FRX"},
        {"AMD",  "WFR",  "SNDK",  "NVDA",  "THC"},
        {"ADBE",  "CTXS",  "JNPR",  "DRI",  "NYX"},
        {"LSI",  "CBG",  "HAR",  "AKS",  "CELG"},
        {"HES",  "JNPR",  "VRSN",  "JDSU",  "NYX"},
        {"BK",  "SWY",  "C",  "WAG",  "GT"},
        {"NUE",  "AKS",  "CHRW",  "RSH",  "WFR"},
        {"PEG",  "RSH",  "VMC",  "WY",  "NOV"},
        {"CLF",  "WFR",  "SNDK",  "GT",  "BIG"},
        {"HAR",  "CMI",  "AKS",  "SLM",  "AMZN"},
        {"RSH",  "FCX",  "AAPL",  "MRO",  "CLF"},
        {"NOV",  "SNDK",  "F",  "NVDA",  "APOL"},
        {"PCP",  "AMZN",  "NOV",  "CMI",  "JNPR"},
        {"DE",  "NVDA",  "KIM",  "BIG",  "HCBK"},
        {"CLF",  "CNX",  "FCX",  "MON",  "GS"},
        {"DNR",  "APOL",  "TSO",  "AKAM",  "DV"},
        {"DE",  "UNH",  "SCHW",  "VRSN",  "THC"},
        {"MUR",  "CNX",  "X",  "ADM",  "HES"},
        {"FHN",  "CELG",  "DHI",  "ETFC",  "PHM"},
        {"DVN",  "CHK",  "DNR",  "JDSU",  "EOG"},
        {"CSX",  "X",  "THC",  "GME",  "BIG"},
        {"CMI",  "BRCM",  "CLF",  "DV",  "F"},
        {"DELL",  "A",  "TE",  "CLF",  "CPWR"},
        {"CLF",  "CNX",  "HP",  "CHK",  "JBL"},
        {"AMGN",  "RSH",  "BAC",  "FITB",  "APOL"},
        {"LB",  "JCP",  "TIE",  "RL",  "AMD"},
        {"BBT",  "MTB",  "ICE",  "ZION",  "SNDK"},
        {"DV",  "AMP",  "APOL",  "SWN",  "FHN"},
        {"JEC",  "AN",  "NEM",  "F",  "ADM"},
        {"ODP",  "DRI",  "PFG",  "GNW",  "HIG"},
        {"SVU",  "MS",  "SLM",  "TSO",  "S"},
        {"FCX",  "ANF",  "AKAM",  "S",  "DHI"},
        {"GNW",  "C",  "XL",  "BAC",  "AIG"},
        {"THC",  "PFG",  "ODP",  "F",  "GGP"},
        {"THC",  "FITB",  "LNC",  "ODP",  "GNW"},
        {"CBG",  "LM",  "STI",  "AKS",  "SLM"},
        {"NYT",  "MAS",  "WYNN",  "GT",  "GCI"},
        {"RF",  "HIG",  "GNW",  "C",  "AIG"},
        {"CLF",  "ODP",  "AMD",  "WYNN",  "GCI"},
        {"EL",  "AKAM",  "MCO",  "LXK",  "AMZN"},
        {"S",  "AKS",  "X",  "JDSU",  "AMD"},
        {"BTU",  "NVDA",  "NYT",  "SNDK",  "GCI"},
        {"LEN",  "FITB",  "KEY",  "HBAN",  "ZION"},
        {"WFM",  "LXK",  "JDSU",  "CLF",  "ARG"},
        {"WFR",  "PFG",  "GME",  "ANF",  "TIE"},
        {"VMC",  "AKAM",  "HBAN",  "WHR",  "ZION"},
        {"MCK",  "NTAP",  "TIE",  "SNDK",  "S"},
        {"HSP",  "SRCL",  "NEM",  "BRK.B",  "BHI"},
        {"TIE",  "PCLN",  "IPG",  "CTXS",  "APC"},
        {"ANR",  "DVA",  "ADM",  "AKAM",  "PCLN"},
        {"JDSU",  "ODP",  "JCP",  "KMX",  "JBL"},
        {"NOV",  "EBAY",  "WYNN",  "MON",  "MWW"},
        {"URBN",  "MWW",  "GGP",  "TSO",  "HAR"},
        {"RF",  "JBL",  "BTU",  "AIG",  "THC"},
        {"MRO",  "NFLX",  "ISRG",  "BTU",  "NVDA"},
        {"IPG",  "TSO",  "RDC",  "BIG",  "JDSU"},
        {"NFLX",  "MSI",  "LO",  "IRM",  "WDC"},
        {"GT",  "ANF",  "SVU",  "LB",  "BIIB"},
        {"FFIV",  "NFLX",  "M",  "EA",  "DF"},
        {"DV",  "HOG",  "KMX",  "COG",  "BIIB"},
        {"CHK",  "AAPL",  "RRC",  "GOOGL",  "EQT"},
        {"AN",  "HCP",  "AZO",  "ORLY",  "NEM"},
        {"DUK",  "KSS",  "RHT",  "SNDK",  "GGP"},
        {"JOY",  "JNPR",  "GT",  "FFIV",  "HAR"},
        {"PXD",  "EOG",  "FTI",  "EL",  "PHM"},
        {"PCS",  "CTAS",  "NVLS",  "VMC",  "GCI"},
        {"EMN",  "CA",  "SHLD",  "TXT",  "NFLX"},
        {"CSC",  "CRM",  "GPS",  "WHR",  "SHLD"},
        {"FDO",  "JPM",  "BAC",  "RHT",  "PNR"},
        {"RRC",  "ORLY",  "AMZN",  "EXPE",  "EW"},
        {"WMT",  "EXPE",  "CBE",  "GGP",  "DF"},
        {"EW",  "COG",  "SHLD",  "S",  "STZ"},
        {"EXPE",  "WAG",  "WDC",  "S",  "DUK"},
        {"LXK",  "CVH",  "CSC",  "DF",  "TSO"},
        {"SWK",  "GCI",  "DV",  "THC",  "VMC"},
        {"R",  "CNX",  "WHR",  "KMX",  "NFLX"},
        {"THC",  "CSC",  "JDSU",  "TIE",  "ANF"},
        {"STX",  "GNW",  "WDC",  "CLF",  "NYX"},
        {"LIFE",  "PBI",  "BBY",  "BTU",  "NFLX"},
        {"SEE",  "HNZ",  "HPQ",  "SWY",  "STZ"},
        {"DTV",  "GNW",  "HPQ",  "THC",  "BBY"},
        {"BBY",  "MNST",  "COH",  "AKAM",  "GME"},
        {"HPQ",  "GT",  "BSX",  "EA",  "AMD"},
        {"CVC",  "CME",  "MNST",  "GCI",  "GME"},
        {"GT",  "CELG",  "ALXN",  "FFIV",  "OKE"},
        {"GT",  "CRM",  "NFLX",  "BBY",  "WIN"},
        {"ETFC",  "YHOO",  "SWY",  "REGN",  "MOLX"},
        {"VLO",  "X",  "MCK",  "HAR",  "CLF"},
        {"TXT",  "MYL",  "BIIB",  "TSO",  "JCP"},
        {"DOW",  "STX",  "WYNN",  "RHT",  "LSI"},
        {"JNPR",  "FFIV",  "ALXN",  "BEAM",  "HAR"},
        {"SWY",  "MYL",  "EXPE",  "AKAM",  "FRX"},
        {"HP",  "TSN",  "NFX",  "X",  "GNW"},
        {"EQT",  "COG",  "APC",  "POM",  "AGN"},
        {"SNDK",  "GMCR",  "EA",  "NFLX",  "GS"},
        {"BTU",  "TEG",  "WMB",  "IGT",  "VRTX"},
        {"THC",  "FDO",  "PETM",  "TWX",  "X"},
        {"HD",  "THC",  "ROST",  "GILD",  "MNST"},
        {"DRI",  "DD",  "NKE",  "VRTX",  "SIAL"},
        {"MYL",  "EW",  "WHR",  "TSCO",  "KMX"},
        {"WMT",  "BBY",  "TGT",  "LUV",  "WFM"},
        {"RHT",  "BMS",  "KMX",  "DO",  "SPLS"},
        {"BIIB",  "EA",  "HAR",  "NFLX",  "NEM"},
        {"PCLN",  "KSS",  "FCX",  "MLM",  "HSP"},
        {"RHT",  "ABC",  "CBG",  "ALTR",  "URBN"},
        {"RRC",  "DO",  "RIG",  "ESV",  "NFLX"},
        {"SWKS",  "CVC",  "PLL",  "BRCM",  "HUM"}};

    string [,] stockListLosers = new string [125,5] {
{ "VRSN", "ADSK",  "AMD",  "EBAY",  "JDSU"},
        { "JDSU", "MOLX",  "RSH",  "JNPR",  "BIIB"},
        { "EA", "HAR",  "WAT",  "AKS",  "NEE"},
        { "CLF", "F",  "TER",  "ADM",  "AKS"},
        { "AES", "BSX",  "PDCO",  "DV",  "MHFI"},
        { "CTXS", "NUE",  "X",  "EBAY",  "AKS"},
        { "NTAP", "VRSN",  "FIS",  "MYL",  "AVP"},
        { "JCP", "AKS",  "VRSN",  "ANF",  "FDO"},
        { "PETM", "APOL",  "ZMH",  "LEG",  "AVP"},
        { "TER", "CNX",  "WFR",  "THC",  "LXK"},
        { "IPG", "SNDK",  "CSC",  "PDCO",  "SYMC"},
        { "BBY", "DV",  "APOL",  "BBBY",  "BTU"},
        { "YHOO", "INTC",  "TSN",  "JNPR",  "EFX"},
        { "CLF", "EOG",  "FCX",  "EOG",  "CELG"}, 
        { "STJ", "NVLS",  "SCHW",  "ANF",  "AMD"},
        { "JNS", "NYX",  "CI",  "HAR",  "AET"},
        { "NVDA", "BTU",  "EA",  "ADBE",  "L"},
        { "JDSU", "AMD",  "JBL",  "MAR",  "M"},
        { "BTU", "VRSN",  "RHI",  "AMZN",  "TLAB"},
        { "HES", "S",  "CELG",  "VLO",  "HSP"},
        { "CNX", "HAL",  "YHOO",  "BSX",  "NEM"},
        { "JDSU", "BTU",  "CTXS",  "DGX",  "APOL"},
        { "GPS", "INTU",  "ANF",  "CA",  "WFM"},
        { "JNPR", "CNX",  "JBL",  "CHK",  "LSI"},
        { "LXK", "STZ",  "SYMC",  "NVDA",  "AMD"},
        { "SBUX", "CBG",  "DHI",  "PHM",  "NYX"},
        { "DHI", "AMD",  "LEN",  "WY",  "JBL"},
        { "NYX", "VAR",  "MWW",  "LSI",  "DF"},
        { "AMGN", "CTSH",  "NTAP",  "SCHW",  "JDSU"},
        { "DHI", "ODP",  "PHM",  "KIM",  "LEN"},
        { "SHLD", "THC",  "LXK",  "CPWR",  "RSH"},
        { "RL", "ETFC",  "CBG",  "MHFI",  "THC"},
        { "ETFC", "TSN",  "PHM",  "LEN",  "HAR"},
        { "MDT", "ALTR",  "BIG",  "SNDK",  "COH"},
        { "AMD", "CTSH",  "PHM",  "LEN",  "ETFC"},
        { "BIIB", "AMD",  "CELG",  "DRI",  "SLM"},
        { "EXPE", "NVDA",  "MSI",  "AAPL",  "HAR"},
        { "DF", "ODP",  "APOL",  "ADSK",  "S"},
        { "APOL", "TIE",  "HUM",  "WLP",  "MO"},
        { "FII", "WHR",  "HBAN",  "TSO",  "FHN"},
        { "F", "KEY",  "RF",  "AIG",  "LIFE"},
        { "AN", "RF",  "XL",  "KEY",  "FITB"},
        { "CNX", "COG",  "ODP",  "NVDA",  "FIS"},
        { "AKS", "WFM",  "X",  "HAR",  "AIG"},
        { "MS", "CLF",  "GNW",  "AKS",  "AIG"},
        { "AIV", "CVH",  "LNC",  "GGP",  "HIG"},
        { "JDSU", "XL",  "GGP",  "GNW",  "THC"},
        { "PKI", "ZION",  "F",  "NWL",  "S"},
        { "BAC", "RF",  "STI",  "HBAN",  "FITB"},
        { "ODP", "C",  "HIG",  "SLM",  "AIG"},
        { "POM", "HRS",  "MCK",  "LNC",  "GCI"},
        { "NEM", "APOL",  "BLL",  "INTU",  "KEY"},
        { "LXK", "KEY",  "PHM",  "HOG",  "DHI"},
        { "THC", "GCI",  "VLO",  "TSO",  "AIG"},
        { "SLM", "AKAM",  "S",  "AIG",  "AZO"},
        { "SWN", "PPL",  "DF",  "EA",  "BHI"},
        { "FDO", "PHM",  "DHI",  "MCO",  "MHFI"},
        { "BSX", "APOL",  "GT",  "S",  "WFR"},
        { "JCP", "JEC",  "AIG",  "THC",  "WFM"},
        { "ANF", "NEM",  "STI",  "HOG",  "C"},
        { "X", "MSI",  "AA",  "KLAC",  "AMD"},
        { "MWW", "DNB",  "GME",  "NYT",  "DF"},
        { "RRC", "COG",  "SPLS",  "CHK",  "CNX"},
        { "WFR", "MCO",  "BAX",  "AKS",  "SBUX"},
        { "BHI", "JNS",  "SHLD",  "PCLN",  "DF"},
        { "PHM", "HOG",  "SHLD",  "TLAB",  "ODP"},
        { "NVDA", "WDC",  "ETN",  "LSI",  "WY"},
        { "BHI", "SNDK",  "AMD",  "DV",  "JBL"},
        { "CF", "ADBE",  "ETN",  "MON",  "GGP"},
        { "RF", "SCHW",  "LXK",  "JDSU",  "APOL"},
        { "RF", "CSCO",  "SVU",  "PHM",  "DF"},
        { "CRM", "EXPE",  "LB",  "AKAM",  "BBY"},
        { "RSH", "TLAB",  "SVU",  "MWW",  "AIG"},
        { "WDC", "CSCO",  "PHM",  "EXPE",  "AKAM"},
        { "NKE", "HCBK",  "JDSU",  "NVDA",  "URBN"},
        { "AIG", "X",  "HOG",  "LXK",  "NVLS"},
        { "SHLD", "BIG",  "SPLS",  "CSC",  "BTU"},
        { "BTU", "WFR",  "AMD",  "OI",  "NVDA"},
        { "IPG", "S",  "AKAM",  "AKS",  "JNPR"},
        { "AKS", "TXT",  "DV",  "CBG",  "PHM"},
        { "HP", "HAL",  "FCX",  "CLF",  "NFLX"},
        { "HSP", "BTU",  "S",  "NFLX",  "ITT"},
        { "NFLX", "CSC",  "SHLD",  "WFR",  "ANF"},
        { "RHT", "NFX",  "JOY",  "ORCL",  "SHLD"},
        { "GOOGL", "S",  "EA",  "SVU",  "COG"},
        { "EW", "X",  "EA",  "CLF",  "APOL"},
        { "GT", "SVU",  "NEM",  "JOY",  "BHI"},
        { "SHLD", "CHK",  "SNDK",  "GNW",  "NFLX"},
        { "DELL", "JCP",  "X",  "ANF",  "FOSL"},
        { "ORLY", "BBBY",  "BTU",  "R",  "NKE"},
        { "APOL", "AMD",  "IGT",  "LXK",  "DV"},
        { "CLF", "FE",  "SPLS",  "BIG",  "BF.B"},
        { "AMD", "INTC",  "LSI",  "NSC",  "JBL"},
        { "JDSU", "FFIV",  "VRSN",  "APOL",  "AMD"},
        { "KSS", "CVC",  "CLF",  "PBI",  "JCP"},
        { "LB", "AAPL",  "FDO",  "FCX",  "DRI"},
        { "MNST", "FDO",  "X",  "AAPL",  "SPG"},
        { "CTL", "APOL",  "MHFI",  "NFX",  "CLF"},
        { "ISRG", "PVH",  "JCP",  "BTU",  "CLF"},
        { "FLR", "SWY",  "CTSH",  "EW",  "NEM"},
        { "CLF", "EXC",  "FE",  "DF",  "NBL"},
        { "VLO", "TSO",  "LUK",  "CNX",  "IRM"},
        { "JCP", "BRCM",  "EXPE",  "ISRG",  "MOS"},
        { "AVP", "SPLS",  "JCP",  "TSO",  "ANF"},
        { "MNST", "CAG",  "NEM",  "URBN",  "JCP"},
        { "AKAM", "AVP",  "JCP",  "CTXS",  "PPG"},
        { "PXD", "HCN",  "FE",  "EA",  "BTU"},
        { "LH", "APC",  "DGX",  "NFX",  "JBL"},
        { "IGT", "BBBY",  "CLF",  "GME",  "BBY"},
        { "DNB", "CHRW",  "CAG",  "KSU",  "COG"},
        { "CELG", "ALXN",  "GILD",  "SPLS",  "NFLX"},
        { "BAC", "VRSN",  "CLF",  "XLNX",  "ISRG"},
        { "ETFC", "SPLS",  "X",  "PETM",  "WFM"},
        { "REGN", "VLO",  "PVH",  "TSN",  "COH"},
        { "YUM", "DHI",  "CNX",  "NRG",  "GNW"},
        { "CTSH", "TWX",  "NE",  "WYNN",  "WAG"},
        { "RIG", "ESV",  "NE",  "DO",  "APH"},
        { "AVP", "APA",  "DNR",  "BHI",  "NEM"},
        { "HAL", "PXD",  "RIG",  "DNR",  "GNW"},
        { "SWN", "EQT",  "WYNN",  "RRC",  "SRE"},
        { "TIF", "FTI",  "URI",  "SNDK",  "FCX"},
        { "GAS", "FE",  "ESV",  "CHK",  "RL"},
        { "STX", "CHK",  "WDC",  "LRCX",  "NEM"},
        { "URBN", "AMAT",  "WHR",  "PHM",  "RCL"},
        { "CNX", "FCX",  "FOSL",  "AVP",  "GMCR"}};
    }
}
using System;
using System.Collections;
using System.Collections.Generic;
using QuantConnect.Securities;
using QuantConnect.Models;
using QuantConnect.Orders;

namespace QuantConnect {

    public partial class SP500Backtest : QCAlgorithm, IAlgorithm { 
   
        public class Stock : IComparable<Stock> {
            public string name { get; set; }
            public decimal start { get; set; }
            public decimal end { get; set; }
            public decimal gain { get; set; }
            public int CompareTo(Stock obj) {
                return gain.CompareTo(obj.gain);
            }
        }   
        
        public class PortfolioStock {
            public string name { get; set; }
            public decimal entryPrice { get; set; }
        }   
        
        public List<Stock> getStockListMonthStart(TradeBars data, string[] stockNames) {
            List<Stock> stockList = new List<Stock>();
            
            foreach (string name in stockNames) {
                Stock s = new Stock();
                s.name=name;
                s.start = data[name].Price;
                stockList.Add(s);
                Securities[name].TransactionModel = new sp500BacktestSecurityModel(); 
            }
            return stockList;
        }
        
        public string[] getStockListMonth(int year, int month, string[,] sList) {
            string[] stockListMonth = new string[sList.GetLength(1)];
                int dt = (year-2005)*12+(month-2);
                for (int i=0; i<sList.GetLength(1); i++) {
                    stockListMonth[i]=sList[dt,i];
                }
                return stockListMonth;
        }        
        public List<Stock> getStockListMonthEnd(TradeBars data, List<Stock> stockList) {
            for (int i=0; i < stockList.Count(); i++ ) {
                stockList[i].end = data[stockList[i].name].Price;
                stockList[i].gain = (stockList[i].end - stockList[i].start)/stockList[i].start;
            }
            return stockList;
        }
        
        public int getFirstTradingDayInMonth(int year, int month) {
            DateTime time = new DateTime(year, month, 1);
            //check if new years day
            if (month==1) {
                if (time.ToString("ddd") == "Fri") {
                    return 4;
                }
                else {
                    return 2;
                }
            }
             if (time.ToString("ddd") == "Sat" && time.Day==1)  {
                 return 3;
             }
             if (time.ToString("ddd") == "Sun" && time.Day==1) {
                 return 2;
             }
                 return 1;
        }
        
        public int getLastTradingDayInMonth(DateTime time) {
             int numDays = System.DateTime.DaysInMonth(time.Year, time.Month);
             DateTime lastDay = new DateTime(time.Year, time.Month, numDays);
             
             if (time.Month==11 && lastDay.ToString("ddd")=="Sun") {
                 return 28;
             }
             if (lastDay.ToString("ddd") == "Sat") {
                 return numDays-1;
             }
             else if (time.ToString("ddd") == "Sun") {
                 return numDays-2;
             }
             else {
                 return numDays;
             }
        }
        
        public decimal getQuantity(Double cash, Double price) {
            Double maxCashForEquity = cash*.05; //position cannot exceed 5% of overall portfolio
            return Convert.ToDecimal(Math.Abs(maxCashForEquity/price));
        }
    }
}
using System;
using System.Collections;
using System.Collections.Generic; 
using System.Diagnostics;
using QuantConnect.Securities;
using QuantConnect.Models;

namespace QuantConnect 
{
    public partial class SP500Backtest : QCAlgorithm, IAlgorithm { 

        private decimal cash = 100000;
        List<Stock> sg = new List<Stock>();
        List<Stock> sl = new List<Stock>();
        int lastDay;
        string[] stockListMonthGainers;
        string[] stockListMonthLosers;
        
        //Initialize the Strategy
        public override void Initialize() {
            SetCash(cash);
            SetStartDate(2005,1, 1);
            SetEndDate(2005, 3, 31); 
            foreach (string symbol in stockListInit) {
                AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
            }
        }
        
        //Handle the data events:
        public void OnData(TradeBars data) {
            lastDay = getLastTradingDayInMonth(Time);
            if (Time.Day == getFirstTradingDayInMonth(Time.Year, Time.Month) && Time.ToString("HH")=="10" && Time.ToString("mm")=="00") {
                stockListMonthGainers = getStockListMonth(Time.Year, Time.Month, stockListGainers);
                stockListMonthLosers = getStockListMonth(Time.Year, Time.Month, stockListLosers);
                //get the stock list for the month
                sg = getStockListMonthStart(data, stockListMonthGainers);
                sl = getStockListMonthStart(data, stockListMonthLosers);
                
                if (sg.Count()!= 0 && sl.Count()!= 0 && !Portfolio.HoldStock) {
                    //go long on top 5 performing stocks from last month
                    for (int i=0; i<sg.Count(); i++) {
                        int quantity = (int)getQuantity(Convert.ToDouble(Portfolio.Cash), Convert.ToDouble(data[sg[i].name].Price));
                        Order(sg[i].name, quantity);
                        StopMarketOrder(sg[i].name, -quantity, data[sg[i].name].Price*(decimal).75);
                }
                    
                    //go short on 5 worst performing stocks from last month
                    for (int i=0; i<sl.Count(); i++ ) {
                        int quantity = (int)getQuantity(Convert.ToDouble(Portfolio.Cash), Convert.ToDouble(data[sl[i].name].Price));
                        Order(sl[i].name, -quantity);
                        StopMarketOrder(sl[i].name, quantity, data[sl[i].name].Price*(decimal)1.25);
                    }
                }
                
            }

            //liquidate at the end of the month
            if (Time.Day == lastDay) {
                if (Time.ToString("HH")=="15" && Time.ToString("mm")=="59") {
                    Liquidate();
                }
            }   
        }
    }
}
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using QuantConnect;
using QuantConnect.Models;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities.Interfaces;
namespace QuantConnect.Securities
{
    /******************************************************** 
    * CLASS DEFINITIONS
    *********************************************************/
    /// <summary>
    /// Custom Transaction Model Example
    /// </summary>
    public class sp500BacktestSecurityModel : SecurityTransactionModel, ISecurityTransactionModel 
    {
        /******************************************************** 
        * CLASS CONSTRUCTOR
        *********************************************************/
        /// <summary>
        /// Custom transaction model class.
        /// </summary>
        public sp500BacktestSecurityModel() 
        { }


        public override OrderEvent StopMarketFill(Security asset, StopMarketOrder order)
        {
            //Default order event to return.
            var fill = new OrderEvent(order);
            
            // make sure the exchange is open before filling
            var currentBar = asset.GetLastData();
            if (!asset.Exchange.IsOpenDuringBar(currentBar.Time, currentBar.EndTime, false)) return fill;

            try
            {
                //If its cancelled don't need anymore checks:
                if (order.Status == OrderStatus.Canceled) return fill;

                //Get the range of prices in the last bar:
                decimal minimumPrice;
                decimal maximumPrice;
                DataMinMaxPrices(asset, out minimumPrice, out maximumPrice);

                //Calculate the model slippage: e.g. 0.01c
                var slip = GetSlippageApproximation(asset, order);

                //Check if the Stop Order was filled: opposite to a limit order
                switch (order.Direction)
                {
                    case OrderDirection.Sell:
                        //-> 1.1 Sell Stop: If Price below setpoint, Sell:
                        if (minimumPrice < order.StopPrice)
                        {
                            order.Status = OrderStatus.Filled;
                            Console.WriteLine(minimumPrice + " " + order.StopPrice);
                            // Assuming worse case scenario fill - fill at lowest of the stop & asset price.
                            order.Price = Math.Min(order.StopPrice, asset.Price - slip); 
        
                        }
                        break;

                    case OrderDirection.Buy:
 
                        //-> 1.2 Buy Stop: If Price Above Setpoint, Buy:
                        if (maximumPrice > order.StopPrice)
                        {
                            order.Status = OrderStatus.Filled;
                            // Assuming worse case scenario fill - fill at highest of the stop & asset price.
                            order.Price = Math.Max(order.StopPrice, asset.Price + slip);
                        }
                        break;
                }

                if (order.Status == OrderStatus.Filled || order.Status == OrderStatus.PartiallyFilled)
                {
                    fill.FillQuantity = order.Quantity;
                    fill.FillPrice = order.Price;        //we picked the correct fill price above, just respect it here
                    fill.Status = order.Status;
                }
            }
            catch (Exception err)
            {
               Console.WriteLine("SecurityTransactionModel.StopMarketFill(): " + err.Message);
            }

            return fill;
        }
        
        /// <summary>
        /// Example Override of Fee Model - $10 Per Trade Fee
        /// </summary>
        public override decimal GetOrderFee(decimal quantity, decimal price)
        {
            return 5;
        }

    } // End Algorithm Transaction Filling Classes

}