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 |
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); } } } }