Overall Statistics Total Trades 16 Average Win 4.97% Average Loss -1.64% Compounding Annual Return 13.124% Drawdown 7.100% Expectancy 1.018 Net Profit 13.124% Sharpe Ratio 1.092 Loss Rate 50% Win Rate 50% Profit-Loss Ratio 3.04 Alpha 0.04 Beta 0.656 Annual Standard Deviation 0.097 Annual Variance 0.009 Information Ratio 0.082 Tracking Error 0.07 Treynor Ratio 0.161 Total Fees \$41.05
```import numpy as np
import decimal as d
from datetime import timedelta, datetime

class CustomChartingAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016,1,1)
self.SetEndDate(2017,1,1)
self.SetCash(100000)

# In your initialize method:
# Chart - Master Container for the Chart:
stockPlot = Chart('Trade Plot')
# On the Trade Plotter Chart we want 3 series: trades and price:

avgCross = Chart('AVG Cross')

self.fastMA = 0
self.slowMA = 0
self.resample = datetime.min
self.resamplePeriod = (self.EndDate - self.StartDate) / 2000

def OnData(self, slice):
if slice["SPY"] is None:
self.lastPrice = 0
return

self.lastPrice = slice["SPY"].Close
if self.fastMA == 0: self.fastMA = self.lastPrice
if self.slowMA == 0: self.slowMA = self.lastPrice
self.fastMA = (d.Decimal(0.01) * self.lastPrice) + (d.Decimal(0.99) * self.fastMA)
self.slowMA = (d.Decimal(0.001) * self.lastPrice) + (d.Decimal(0.999) * self.slowMA)

if self.Time > self.resample:
self.resample = self.Time  + self.resamplePeriod
self.Plot('AVG Cross', 'FastMA', self.fastMA)
self.Plot('AVG Cross', 'SlowMA', self.slowMA)

# On the 5th days when not invested buy:
if not self.Portfolio.Invested and self.Time.day % 13 == 0:
self.Order("SPY", (int)(self.Portfolio.MarginRemaining / self.lastPrice))