Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.454%
Drawdown
22.100%
Expectancy
0
Net Profit
195.942%
Sharpe Ratio
0.865
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.007
Beta
0.812
Annual Standard Deviation
0.133
Annual Variance
0.018
Information Ratio
-0.548
Tracking Error
0.033
Treynor Ratio
0.142
Total Fees
$6.73
 
class OptimizedModulatedAutosequencers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2009,1, 1)  # Set Start Date
        self.SetEndDate(2018,12,31)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Daily)
        self.AddEquity("IEF", Resolution.Daily)
        self.SetBenchmark("SPY")


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", .79)
            self.SetHoldings("IEF", .21)