Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.559%
Drawdown
34.500%
Expectancy
0
Net Profit
12.014%
Sharpe Ratio
0.581
Probabilistic Sharpe Ratio
32.999%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.996
Annual Standard Deviation
0.345
Annual Variance
0.119
Information Ratio
-0.784
Tracking Error
0.001
Treynor Ratio
0.201
Total Fees
$1.71
 
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):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)