Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
26.409%
Drawdown
1.900%
Expectancy
0
Net Profit
1.227%
Sharpe Ratio
2.667
Probabilistic Sharpe Ratio
64.081%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.162
Beta
0.189
Annual Standard Deviation
0.076
Annual Variance
0.006
Information Ratio
-0.049
Tracking Error
0.096
Treynor Ratio
1.066
Total Fees
$1.61
 
class MultidimensionalVerticalInterceptor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 11, 25)  # Set Start Date
        self.SetEndDate(2019, 12, 15)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Daily)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)
        else:
            #self.Portfolio["SPY"].Price > self.Portfolio["SPY"].AveragePrice
            self.Log(f'Price: {self.Portfolio["SPY"].Price}')
            self.Log(f'AvgPrice: {self.Portfolio["SPY"].AveragePrice}')