Overall Statistics
Total Trades
19
Average Win
0%
Average Loss
0%
Compounding Annual Return
-6.967%
Drawdown
0.800%
Expectancy
0
Net Profit
-0.592%
Sharpe Ratio
-2.662
Probabilistic Sharpe Ratio
2.117%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.093
Beta
0.103
Annual Standard Deviation
0.021
Annual Variance
0
Information Ratio
-5.908
Tracking Error
0.07
Treynor Ratio
-0.543
Total Fees
$19.00
Estimated Strategy Capacity
$6800000000.00
Lowest Capacity Asset
FB V6OIPNZEM8V9
 
class ModulatedResistanceCircuit(QCAlgorithm):

    def Initialize(self):
        
        self.SetCash(100000)  # Set Strategy Cash
        self.SetStartDate(2018, 7, 1)  # Set Start Date
        self.SetEndDate(2018, 7, 30)
        self.security = self.AddEquity('FB', Resolution.Daily)
        
        self.symbol = self.security.Symbol


    def OnData(self, data):
        self.Plot("TotalHoldingsValue", "Value", self.Portfolio.TotalHoldingsValue)
        self.Plot("TotalPortfolioValue", "Value", self.Portfolio.TotalPortfolioValue)
        self.Plot("Leverage", "Value", self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue)
        
       
        
        if self.security.IsTradable and data.ContainsKey(self.symbol) and data[self.symbol] is not None:
            self.MarketOrder(self.security.Symbol, 1)