Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
5.461%
Drawdown
33.800%
Expectancy
0
Net Profit
32.238%
Sharpe Ratio
0.401
Probabilistic Sharpe Ratio
8.268%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
0.998
Annual Standard Deviation
0.18
Annual Variance
0.032
Information Ratio
-0.551
Tracking Error
0.002
Treynor Ratio
0.072
Total Fees
$26.82
 
class Algorithm (QCAlgorithm):
    def Initialize(self):
        self.SetCash(1000000)
        self.SetStartDate(2015, 1, 1)
        self.SetBrokerageModel(BrokerageName.AlphaStreams)
        self.AddEquity("SPY", Resolution.Hour)
        
    
    def OnData(self, Data):
        self.SetHoldings("SPY", 1)