Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
30.360%
Drawdown
9.700%
Expectancy
0
Net Profit
14.189%
Sharpe Ratio
1.631
Probabilistic Sharpe Ratio
60.848%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.997
Annual Standard Deviation
0.204
Annual Variance
0.042
Information Ratio
-2.004
Tracking Error
0.001
Treynor Ratio
0.334
Total Fees
$1.73
 
class OptimizedTachyonContainmentField(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 4, 30)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


    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", 1)