Backtest

Overall Statistics
Total Orders 8 Average Win 26.55% Average Loss -20.51% Compounding Annual Return -0.184% Drawdown 58.600% Expectancy 0.147 Net Profit -3.041% Sharpe Ratio -0.148 Sortino Ratio -0.09 Probabilistic Sharpe Ratio 0.000% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 1.29 Alpha -0.047 Beta 0.552 Annual Standard Deviation 0.109 Annual Variance 0.012 Information Ratio -0.735 Tracking Error 0.099 Treynor Ratio -0.029 Total Fees $35.36 Estimated Strategy Capacity $580000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.13%

#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using System.Text.RegularExpressions;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion

namespace QuantConnect
{
    public class FredAlternativeDataAlgorithm : QCAlgorithm
    {
        private Symbol _fredPeakToTrough;
        private Symbol _spy;
        
        public override void Initialize()
        {
            SetStartDate(2003, 1, 1);
            SetEndDate(2019, 10, 11);
            SetCash(100000);
            
            _spy = AddEquity("SPY", Resolution.Daily).Symbol;
            
            // Requesting data
            _fredPeakToTrough = AddData<Fred>(Fred.OECDRecessionIndicators.UnitedStatesFromPeakThroughTheTrough).Symbol;
            
            // Historical data
            var history = History<Fred>(_fredPeakToTrough, 60, Resolution.Daily);
            Debug($"We got {history.Count()} items from our history request");
        }

        public override void OnData(Slice slice)
        {
            if (slice.ContainsKey(_fredPeakToTrough) && slice.ContainsKey(_spy))
            {
                var peakToTrough = slice.Get<Fred>(_fredPeakToTrough).Value;
                
                // Buy SPY if peak to trough value is 1
                if (peakToTrough == 1m && !Portfolio.Invested)
                {
                    SetHoldings(_spy, 1);
                }
                
                // Liquidate holdings if peak to trough value is 0
                else if (peakToTrough == 0m && Portfolio.Invested)
                {
                    Liquidate(_spy);
                }
            }
        }
    }
}