Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.048%
Drawdown
0.100%
Expectancy
0
Net Profit
0.024%
Sharpe Ratio
0.234
Probabilistic Sharpe Ratio
27.576%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.001
Annual Standard Deviation
0.002
Annual Variance
0
Information Ratio
-0.156
Tracking Error
0.414
Treynor Ratio
0.779
Total Fees
$162.60
 
class MultidimensionalHorizontalSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 26)  # Set Start Date
        self.SetCash(10000000)  # Set Strategy Cash
        self.AddEquity('SPY', Resolution.Daily) # 1x SPX
        self.AddEquity('VOO', Resolution.Daily) # -1x SPX


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings('SPY', .5)
            self.SetHoldings('VOO', -.5)
        '''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
        '''

        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)