Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
47.004%
Drawdown
7.400%
Expectancy
0
Net Profit
10.203%
Sharpe Ratio
2.61
Probabilistic Sharpe Ratio
74.168%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.391
Beta
-0.021
Annual Standard Deviation
0.147
Annual Variance
0.022
Information Ratio
-0.032
Tracking Error
0.21
Treynor Ratio
-18.587
Total Fees
$1.49
class TachyonUncoupledProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 10, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Daily)


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