Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.925%
Drawdown
13.000%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0.823
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.002
Beta
0.998
Annual Standard Deviation
0.12
Annual Variance
0.014
Information Ratio
0.488
Tracking Error
0.004
Treynor Ratio
0.099
Total Fees
$3.19
 
import clr
import decimal
clr.AddReference("System")
clr.AddReference("QuantConnect.Algorithm")
clr.AddReference("QuantConnect.Indicators") 
clr.AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *


class BollingerBandsAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013,10,07)  #Set Start Date
        self.SetEndDate(2017,1,1)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        # Find more symbols here: http://quantconnect.com/data
        equity = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily)
        self.spy = equity.Symbol
        self.bb = self.BB(self.spy, 20, 2)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings(self.spy, 1)

    def OnEndOfDay(self):
        self.Plot("BB", "MiddleBand", self.bb.MiddleBand.Current.Value)
        self.Plot("BB", "UpperBand", self.bb.UpperBand.Current.Value)
        self.Plot("BB", "LowerBand", self.bb.LowerBand.Current.Value)