Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.198%
Drawdown
5.400%
Expectancy
0
Net Profit
0%
Sharpe Ratio
1.759
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.111
Beta
-0.02
Annual Standard Deviation
0.061
Annual Variance
0.004
Information Ratio
-0.732
Tracking Error
0.127
Treynor Ratio
-5.26
Total Fees
$1.81
namespace QuantConnect 
{   
    /*
    *   Shows how to use the scheduled events feature to run code
    *   every day at a specific time
    */
    public class BasicTemplateAlgorithm : QCAlgorithm
    {
    	public const string Symbol = "SPY";
    	
    	public Security Security;
    	public ExponentialMovingAverage ema;
    	
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize() 
        {
        	SetStartDate(2013, 01, 01);
        	SetEndDate(2015, 01, 01);
        	
        	AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute);
        	
        	// save off our security to reference the price later
        	Security = Securities[Symbol];
        	
        	// we'll build an ema of open/close prices (not sure what it's good for!)
        	ema = new ExponentialMovingAverage(14);
        	
        	PlotIndicator(Symbol, ema, Identity(Symbol, Resolution.Hour));
        	
        	// schedules the 'OnFiveMinutesAfterMarketOpen' function to run 5 minutes after the Symbol's market open
        	Schedule.On(DateRules.EveryDay(Symbol), TimeRules.AfterMarketOpen(Symbol, 5/*minutes after open*/), OnFiveMinutesAfterMarketOpen);
        	
        	// schedules the 'OnFiveMinutesBeforeMarketClose' function to run 5 minutes before the Symbol's market close
        	Schedule.On(DateRules.EveryDay(Symbol), TimeRules.BeforeMarketClose(Symbol, 5/*minutes before close*/), OnFiveMinutesBeforeMarketClose);
        }
        
        public void OnFiveMinutesAfterMarketOpen()
        {
        	// updates using the price at 9:35pm
        	ema.Update(Time, Security.Close);
        }
        
        public void OnFiveMinutesBeforeMarketClose()
        {
        	// updates using the price at 3:55pm
        	ema.Update(Time, Security.Close);
        }

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
        public void OnData(TradeBars data) 
        {
        	if (!Portfolio.Invested)
        	{
        		SetHoldings(Symbol, 0.5m);
        	}
        }
    }
}