Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-7.056%
Drawdown
3.600%
Expectancy
0
Net Profit
-0.613%
Sharpe Ratio
-0.558
Probabilistic Sharpe Ratio
32.528%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.067
Beta
0.949
Annual Standard Deviation
0.117
Annual Variance
0.014
Information Ratio
-3.324
Tracking Error
0.02
Treynor Ratio
-0.069
Total Fees
$1.55
 
using QuantConnect.Statistics;

namespace QuantConnect.Algorithm.CSharp
{
    public class UncoupledModulatedAtmosphericScrubbers : QCAlgorithm
    {
    	public SortedDictionary<DateTime,decimal> equityOverTime = new SortedDictionary<DateTime,decimal>();
    	
        public override void Initialize()
		{ 
			SetStartDate(2020, 1, 1);
			SetEndDate(2020, 2, 1);
		    AddEquity("SPY", Resolution.Minute);
		} 
		
		public void OnData(TradeBars data) {
		    if (!Portfolio.Invested)
		    	SetHoldings("SPY", 1);
		}
		
		public override void OnEndOfDay() 
		{
			equityOverTime.Add(Time, Portfolio.TotalPortfolioValue);	
		}
		
		public override void OnEndOfAlgorithm() 
		{
			Debug("DD: " + QuantConnect.Statistics.Statistics.DrawdownPercent(equityOverTime,2));
		}
    }
}