Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
109.051%
Drawdown
2.700%
Expectancy
0
Net Profit
1.561%
Sharpe Ratio
6.317
Probabilistic Sharpe Ratio
62.765%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.749
Beta
1.15
Annual Standard Deviation
0.192
Annual Variance
0.037
Information Ratio
-18.272
Tracking Error
0.027
Treynor Ratio
1.057
Total Fees
$1.33
Estimated Strategy Capacity
$380000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class EmotionalFluorescentYellowDogfish(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2021, 1, 10)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Second)
        self.SetBrokerageModel(BrokerageName.AlphaStreams)
        self.SetExecution(VolumeWeightedAveragePriceExecutionModel())
        

    def OnData(self, data):
        self.SetHoldings("SPY", 1)