Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
15.462%
Drawdown
25.200%
Expectancy
0
Net Profit
90.986%
Sharpe Ratio
0.856
Probabilistic Sharpe Ratio
38.207%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.045
Beta
1.128
Annual Standard Deviation
0.191
Annual Variance
0.036
Information Ratio
0.85
Tracking Error
0.069
Treynor Ratio
0.145
Total Fees
$4.92
 
class ModulatedVerticalComputer(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 9, 14)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("QQQ", Resolution.Minute)


    def OnData(self, data): 
        if not self.Portfolio.Invested:
            self.SetHoldings("QQQ", 1)