Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
15.802%
Drawdown
5.700%
Expectancy
0
Net Profit
15.988%
Sharpe Ratio
1.186
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.141
Beta
-2.552
Annual Standard Deviation
0.089
Annual Variance
0.008
Information Ratio
1.031
Tracking Error
0.089
Treynor Ratio
-0.041
Total Fees
$3.28
 
import numpy as np
from datetime import timedelta

### <summary>
### Basic template algorithm simply initializes the date range and cash. This is a skeleton
### framework you can use for designing an algorithm.
### </summary>
class BasicTemplateAlgorithm(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2013,10, 7)  #Set Start Date
        self.SetEndDate(2014,10,11)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        
        self.AddEquity("SPY", Resolution.Daily)
        
        self.wti = self.AddFuture(Futures.Energies.CrudeOilWTI, Resolution.Minute)
        self.wti.SetFilter(timedelta(30), timedelta(365))
        
        self.Schedule.On(self.DateRules.MonthEnd(self.wti.Symbol), 
                        self.TimeRules.AfterMarketOpen(self.wti.Symbol, 10), 
                        self.liq_energy)
        
    def liq_energy(self):
        self.Log("hi")
    
        
    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)