Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-10.650%
Drawdown
34.600%
Expectancy
0
Net Profit
-6.696%
Sharpe Ratio
-0.108
Probabilistic Sharpe Ratio
19.328%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.995
Annual Standard Deviation
0.389
Annual Variance
0.151
Information Ratio
-0.103
Tracking Error
0.002
Treynor Ratio
-0.042
Total Fees
$1.70
 
class NotebookProject(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 9, 10)  # 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)