Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
-1.10%
Compounding Annual Return
-8.425%
Drawdown
1.100%
Expectancy
-1
Net Profit
-1.103%
Sharpe Ratio
-3.325
Probabilistic Sharpe Ratio
0.010%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.068
Beta
-0.001
Annual Standard Deviation
0.021
Annual Variance
0
Information Ratio
-1.865
Tracking Error
0.242
Treynor Ratio
54.002
Total Fees
$2.00
 
class Example(QCAlgorithm):

    def Initialize(self):
        self.UniverseSettings.Resolution = Resolution.Minute
        # stopMarketOrderFillTime = datetime.min
        self.SetStartDate(2020, 5, 12)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.AddEquity("SPY", Resolution.Daily)
        self.AddEquity("AAPL", Resolution.Daily)
        self.Schedule.On(self.DateRules.EveryDay("SPY"),self.TimeRules.AfterMarketOpen("SPY", 1), self.Rebalance)
        
        self.bought = False

    def Rebalance(self):
        if not self.bought:
            self.MarketOrder("AAPL", 100)
            self.StopMarketOrder("AAPL", -100, 304)
            self.bought = True