Overall Statistics
Total Trades
216
Average Win
0.04%
Average Loss
-0.08%
Annual Return
-4.391%
Drawdown
16.200%
Expectancy
-0.527
Net Profit
-8.786%
Sharpe Ratio
-0.534
Loss Rate
68%
Win Rate
32%
Profit-Loss Ratio
0.46
Alpha
-0.065
Beta
0.169
Annual Standard Deviation
0.08
Annual Variance
0.006
Information Ratio
-0.952
Tracking Error
0.184
Treynor Ratio
-0.251
using System;
using System.Collections;
using System.Collections.Generic; 
using QuantConnect.Securities;  
using QuantConnect.Models;   

namespace QuantConnect { 
    /*************************************************************************** 
        PORTFOLIO MANAGER
        Collection of SecurityHolding objects for the securities you have 
        selected, indexed by the string symbol. This is accessed anywhere in 
        your algorithm: e.g. Portfolio["AA"].
        
        Also automatically calculates important portfolio information and 
        exposes them with public properties: e.g. Portfolio.HoldStock.
        
        THIS IS AN EXAMPLE ALGORITHM FROM THE QUANTCONNECT'S API DOCUMENTATION
    ***************************************************************************/
    public class PortfolioManagerExample : QCAlgorithm
    {
        string[] symbols = {"IBM", "AOL", "MSFT", "AAPL"};
        
        public override void Initialize()
        {
            SetCash(30000);
            SetStartDate(2010, 2, 2);
            SetEndDate(2012, 2, 2);
            foreach (var symbol in symbols) 
            {
                AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
            }
        }
        
        public void OnData(TradeBars securityData)
        {
            //Build a portfolio which 25% of each stock if portfolio is empty
            if (!Portfolio.HoldStock)
            {
                foreach (var symbol in symbols)
                {
                    SetHoldings(symbol, 0.25);
                } 
            }
            
		    foreach (var symbol in symbols)
		    {
		        //Access a single Security from the Portfolio Manager
		        if (Portfolio[symbol].UnrealizedProfit >= 0.05m && Portfolio.HoldStock)
		        {
		            Order(symbol, -Portfolio[symbol].Quantity);
		        }
		    }
        }
    }
}