Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$3.14
 
class VentralCalibratedShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 5, 22)  # Set Start Date
        self.SetEndDate(2020, 5, 22)  
        self.SetCash(100000)  # Set Strategy Cash
        
        symbols = [ Symbol.Create("AAPL", SecurityType.Equity, Market.USA) ]
        self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
        
        self.AddAlpha(MyAlphaModel())
        
        self.SetExecution(ImmediateExecutionModel())
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

        
class MyAlphaModel(AlphaModel):
    emitted = False

    def Update(self, algorithm, data):
        if not self.emitted:
            self.emitted = True
            return [Insight.Price("AAPL", timedelta(minutes = 20), InsightDirection.Down, .3)] # -0.3
        return []
        
    def OnSecuritiesChanged(self, algorithm, changes):
        pass