Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
9.508%
Drawdown
2.100%
Expectancy
0
Net Profit
1.555%
Sharpe Ratio
1.296
Probabilistic Sharpe Ratio
54.072%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.091
Beta
-0.04
Annual Standard Deviation
0.06
Annual Variance
0.004
Information Ratio
-1.186
Tracking Error
0.206
Treynor Ratio
-1.941
Total Fees
$1.00
 
class DynamicResistanceCoil(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 6, 10)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Daily)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.MarketOrder("SPY", 100, False, 'MY TAG')

    def OnOrderEvent(self, orderEvent):
        ticket = self.Transactions.GetOrderTicket(orderEvent.OrderId)
        if orderEvent.Status == OrderStatus.Filled:
            self.Debug(f'{self.Time}: Trade: {ticket.Symbol}, Qty:{ticket.Quantity}, Price:{ticket.AverageFillPrice}, Tag:{ticket.Tag}')