Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
40.925%
Drawdown
9.700%
Expectancy
0
Net Profit
18.624%
Sharpe Ratio
2.161
Probabilistic Sharpe Ratio
70.144%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.057
Beta
0.986
Annual Standard Deviation
0.198
Annual Variance
0.039
Information Ratio
-2.096
Tracking Error
0.03
Treynor Ratio
0.434
Total Fees
$1.67
 
class UncoupledDynamicGearbox(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 5, 23)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.AddEquity("SPY", Resolution.Minute)
        
        self.bought_time = None


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)
            self.bought_time = data.Time
            

    def OnEndOfDay(self):
        self.Plot("Days Held", "Number of Days", (self.Time - self.bought_time).days)