Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
10.837%
Drawdown
4.200%
Expectancy
0
Net Profit
1.181%
Sharpe Ratio
0.961
Probabilistic Sharpe Ratio
48.821%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.047
Beta
0.989
Annual Standard Deviation
0.12
Annual Variance
0.014
Information Ratio
-3.424
Tracking Error
0.014
Treynor Ratio
0.116
Total Fees
$1.19
Estimated Strategy Capacity
$62000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class HipsterYellowPig(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 5, 1)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Minute)
        
        self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(days = 20), 0.025, None))
        
        self.SetPortfolioConstruction( EqualWeightingPortfolioConstructionModel() )
        
        self.SetExecution( SpreadExecutionModel() )