Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.558%
Drawdown
0.900%
Expectancy
0
Net Profit
2.881%
Sharpe Ratio
0.877
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.006
Beta
-0.027
Annual Standard Deviation
0.006
Annual Variance
0
Information Ratio
-2.244
Tracking Error
0.006
Treynor Ratio
-0.205
Total Fees
$1.00
 
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Indicators")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Data import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Python import PythonQuandl
# from QuantConnect.Data.Custom import Quandl

from datetime import timedelta

import pandas as pd


class Example(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2012, 6, 12)
        self.SetEndDate(2017, 7, 18)
        self.SetCash(100000)

        self.ASSET_UNDERLYING = 'SPXL' 

        # Add the equities to universe
        self._asset_underlying = self.AddEquity(self.ASSET_UNDERLYING, Resolution.Minute)


    def OnData (self, slice):
        if not self.Portfolio.Invested:
            self.Buy("SPXL", 100);