Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
38.355%
Drawdown
9.700%
Expectancy
0
Net Profit
17.751%
Sharpe Ratio
2.505
Probabilistic Sharpe Ratio
77.090%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.996
Annual Standard Deviation
0.162
Annual Variance
0.026
Information Ratio
-3.027
Tracking Error
0.001
Treynor Ratio
0.408
Total Fees
$1.55
 
class TransdimensionalUncoupledChamber(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 7, 15)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol


    def OnData(self, data):
        if not data.ContainsKey(self.symbol) or data[self.symbol] is None:
            return

        if not self.Portfolio.Invested:
            self.SetHoldings(self.symbol, 1)