Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
-57.994%
Drawdown
47.500%
Expectancy
0
Net Profit
-22.995%
Sharpe Ratio
-0.609
Probabilistic Sharpe Ratio
14.223%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.398
Beta
-0.157
Annual Standard Deviation
0.654
Annual Variance
0.428
Information Ratio
-0.451
Tracking Error
0.882
Treynor Ratio
2.535
Total Fees
$5.26
 
class VerticalNadionGearbox(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 20)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.tickers = ["SPY", "DAL"]
        symbols = [ Symbol.Create(t, SecurityType.Equity, Market.USA) for t in self.tickers ]
        self.SetUniverseSelection( ManualUniverseSelectionModel(symbols) )
        self.UniverseSettings.Resolution = Resolution.Daily
        
        self.AddAlpha(MyAlphaModel())
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(lambda time: None))
        
        self.SetExecution(ImmediateExecutionModel())


    def OnData(self, data):
        pass
        
class MyAlphaModel(AlphaModel):
    emitted = False
    
    def Update(self, algorithm, data):
        if self.emitted:
            return []
        else:
            self.emitted = True
            return [Insight.Price(t, timedelta(365), InsightDirection.Up) for t in ["SPY", "DAL"]]