| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -71.161% Drawdown 3.100% Expectancy 0 Net Profit -0.904% Sharpe Ratio -2.776 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.415 Beta 3.347 Annual Standard Deviation 0.236 Annual Variance 0.056 Information Ratio -3.526 Tracking Error 0.165 Treynor Ratio -0.196 Total Fees $3.63 |
class ModulatedResistanceChamber(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 10, 21) # Set Start Date
self.SetEndDate(2019, 10, 23) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("MSFT", Resolution.Second) # Subscribe to data feed
def OnData(self, data):
# Ensure this data slice has a candle
if not data.ContainsKey("MSFT"):
return
# Continue processing...
if not self.Portfolio.Invested:
self.SetHoldings("MSFT", 1)