Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-10.565%
Drawdown
63.800%
Expectancy
0
Net Profit
-34.997%
Sharpe Ratio
-0.091
Probabilistic Sharpe Ratio
0.978%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.03
Beta
-0.019
Annual Standard Deviation
0.351
Annual Variance
0.123
Information Ratio
-0.353
Tracking Error
0.395
Treynor Ratio
1.674
Total Fees
$131.08
 
class TransdimensionalVerticalSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 7, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.sym = self.AddEquity("MGT", Resolution.Daily).Symbol


    def OnData(self, data):
        if data.Delistings.Count > 0:
            self.Log("Delisting")
        
        if not self.Portfolio.Invested:
            self.SetHoldings("MGT", 1)