Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
36.416%
Drawdown
5.400%
Expectancy
0
Net Profit
16.810%
Sharpe Ratio
2.81
Probabilistic Sharpe Ratio
82.740%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.005
Beta
0.997
Annual Standard Deviation
0.133
Annual Variance
0.018
Information Ratio
-2.482
Tracking Error
0.003
Treynor Ratio
0.376
Total Fees
$1.38
Estimated Strategy Capacity
$41000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class CryingMagentaElephant(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 11)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Minute)

    def OnData(self, data):
        ''' OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
      
        # Check if we're not invested and then put portfolio 100% in the SPY ETF.      
        if not self.Portfolio.Invested:
           self.SetHoldings("SPY", 1)