Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
-20.69%
Compounding Annual Return
-23.320%
Drawdown
21.000%
Expectancy
-1
Net Profit
-20.691%
Sharpe Ratio
-1.39
Probabilistic Sharpe Ratio
0.389%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.29
Beta
0.32
Annual Standard Deviation
0.161
Annual Variance
0.026
Information Ratio
-1.617
Tracking Error
0.267
Treynor Ratio
-0.697
Total Fees
$3.00
 
class VentralNadionThrustAssembly(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 15)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.spy = self.AddEquity("SPY", Resolution.Hour).Symbol
        
        self.ordered = 0


    def OnData(self, data):
        if not (data.ContainsKey(self.spy) and data[self.spy] is not None):
            return
        
        if self.ordered < 2:
            self.ordered += 1
            self.MarketOrder(self.spy, 100)
        
        if self.ordered == 2:
            self.ordered += 1
            self.StopMarketOrder(self.spy, -self.Portfolio[self.spy].Quantity, data[self.spy].Close * 0.7)