Overall Statistics
Total Trades
251
Average Win
1.58%
Average Loss
-1.67%
Compounding Annual Return
-1.766%
Drawdown
23.600%
Expectancy
0.010
Net Profit
-1.771%
Sharpe Ratio
0.07
Probabilistic Sharpe Ratio
15.292%
Loss Rate
48%
Win Rate
52%
Profit-Loss Ratio
0.94
Alpha
0.022
Beta
-0.032
Annual Standard Deviation
0.253
Annual Variance
0.064
Information Ratio
-0.403
Tracking Error
0.278
Treynor Ratio
-0.559
Total Fees
$2878.12
 
class NadionTransdimensionalFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 10, 5)  # Set Start Date
        self.SetEndDate(2018, 10, 5)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash

        self.sym = self.AddEquity("MAXR", Resolution.Daily).Symbol

    def OnData(self, data):
        if not data.Bars.ContainsKey(self.sym):
            return
        
        if self.Portfolio.Invested:
            self.SetHoldings(self.sym, 0)
        else:
            self.SetHoldings(self.sym, 1)