Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
42.842%
Drawdown
8.500%
Expectancy
0
Net Profit
19.458%
Sharpe Ratio
2.837
Probabilistic Sharpe Ratio
81.965%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.012
Beta
0.997
Annual Standard Deviation
0.158
Annual Variance
0.025
Information Ratio
-2.378
Tracking Error
0.005
Treynor Ratio
0.45
Total Fees
$1.51
Estimated Strategy Capacity
$39000000.00
 
class MeasuredFluorescentOrangeJellyfish(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 29)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.SetWarmUp(100)
        
        roc = self.ROC("SPY", 1)
        std = StandardDeviation("SPY", 100)
        self.stdROC = IndicatorExtensions.Of(roc, std)
        #self.stdLogROC = IndicatorExtensions.Of( IndicatorExtensions.Log(roc), std)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)
            
    def OnEndOfDay(self):
        self.Plot("Indicators", "Std-ROC", self.stdROC.Current.Value)