Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
79228162514264337593543950335%
Drawdown
9.400%
Expectancy
0
Net Profit
277.426%
Sharpe Ratio
3.5494224273019455E+27
Probabilistic Sharpe Ratio
95.737%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
7.922816251426434E+28
Beta
599.624
Annual Standard Deviation
22.321
Annual Variance
498.246
Information Ratio
3.5513132528960284E+27
Tracking Error
22.31
Treynor Ratio
1.3212978227819666E+26
Total Fees
$64.90
Estimated Strategy Capacity
$370000.00
Lowest Capacity Asset
VIXY UT076X30D0MD
 
class LogicalSkyBlueGorilla(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 5, 25)
        self.SetEndDate(2021,6,1)
        self.SetCash(100000) 
        self.vixy = self.AddEquity("VIXY", Resolution.Minute).Symbol

    def OnData(self, data):
        if not self.Portfolio.Invested:
           self.SetHoldings(self.vixy, 1)