Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
0.00%
Compounding Annual Return
0.820%
Drawdown
9.100%
Expectancy
-1
Net Profit
0.412%
Sharpe Ratio
0.084
Probabilistic Sharpe Ratio
25.805%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.019
Beta
0.218
Annual Standard Deviation
0.099
Annual Variance
0.01
Information Ratio
-0.325
Tracking Error
0.355
Treynor Ratio
0.038
Total Fees
$3.00
 
class ModulatedHorizontalProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 30)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.stock = self.AddEquity("SPY", Resolution.Minute)
        self.x = 1

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        if self.x is 2: return
        self.x += 1
        
        self.Debug(self.CalculateOrderQuantity(self.stock.Symbol, .25))
        self.Debug(self.CalculateOrderQuantity(self.stock.Symbol, .5))
        self.SetHoldings(self.stock.Symbol, .25)
        self.Debug(self.Portfolio[self.stock.Symbol].Quantity)
        self.SetHoldings(self.stock.Symbol, .5)
        self.SetHoldings(self.stock.Symbol, .25, True)
      #  self.MarketOrder(self.stock.Symbol, self.CalculateOrderQuantity(self.stock.Symbol, .25))
      #  self.MarketOrder(self.stock.Symbol, self.CalculateOrderQuantity(self.stock.Symbol, .25))
        self.Debug(self.Portfolio[self.stock.Symbol].Quantity)