Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
18.025%
Drawdown
0.600%
Expectancy
0
Net Profit
1.448%
Sharpe Ratio
6.486
Probabilistic Sharpe Ratio
89.161%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.169
Beta
0.055
Annual Standard Deviation
0.03
Annual Variance
0.001
Information Ratio
-2.462
Tracking Error
0.102
Treynor Ratio
3.517
Total Fees
$4.95
 
class JNKTest(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019,3,15)  # Set Start Date
        self.SetEndDate(2019,4,15)  # Set End Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("JNK", Resolution.Minute)


    def OnData(self, data):

        if not self.Portfolio.Invested:
            self.SetHoldings("JNK", 1)