Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.232%
Drawdown
19.900%
Expectancy
0
Net Profit
246.696%
Sharpe Ratio
0.986
Probabilistic Sharpe Ratio
40.318%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.002
Beta
0.997
Annual Standard Deviation
0.147
Annual Variance
0.022
Information Ratio
-0.424
Tracking Error
0.005
Treynor Ratio
0.145
Total Fees
$5.54
Estimated Strategy Capacity
$6700000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
namespace QuantConnect.Algorithm.CSharp
{
    public class UpgradedAsparagusParrot : QCAlgorithm
    {
    	private SimpleMovingAverage _sma;

        public override void Initialize()
        {
            SetStartDate(2010,1,1);
            SetEndDate(2020,1,1);
            SetCash(100000);     
            
			var spy = AddEquity("SPY", Resolution.Minute).Symbol;
            _sma = new SimpleMovingAverage(100);
            
            bool selectUserDefinedConsolidator = true;
            
            if (selectUserDefinedConsolidator)
            {
            	var consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(1));
            	consolidator.DataConsolidated += OnDataConsolidated;
            	SubscriptionManager.AddConsolidator(spy, consolidator);
            }
            else
            {
            	RegisterIndicator(spy, _sma, Resolution.Minute);
            }
        }
        
        private void OnDataConsolidated(object sender, TradeBar bar)
        {
        	_sma.Update(bar.EndTime, bar.Close);
        }

  
        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested && _sma.IsReady)
            {
                SetHoldings("SPY", 1);
            }
        }

    }
}