Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-85.672%
Drawdown
4.100%
Expectancy
0
Net Profit
-2.626%
Sharpe Ratio
-2.833
Probabilistic Sharpe Ratio
22.723%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.484
Beta
0.713
Annual Standard Deviation
0.285
Annual Variance
0.081
Information Ratio
-2.821
Tracking Error
0.126
Treynor Ratio
-1.132
Total Fees
$1.37
Estimated Strategy Capacity
$1200000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
# region imports
from AlgorithmImports import *
# endregion

class RetrospectiveRedAlligator(QCAlgorithm):

    def Initialize(self):
        #self.SetStartDate(2022, 10, 1) # Saturday
        #self.SetStartDate(2022, 10, 2) # Sunday
        self.SetStartDate(2022, 10, 3) # Monday
        #self.SetStartDate(2022, 10, 4) # Tuesday
        #self.SetStartDate(2022, 10, 5) # Wednesday
        self.SetEndDate(2022, 10, 7) 
        self.SetCash(100000)  

        #self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("SPY", Resolution.Daily)      

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)