Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
94.933%
Drawdown
31.000%
Expectancy
0
Net Profit
95.171%
Sharpe Ratio
1.621
Sortino Ratio
1.808
Probabilistic Sharpe Ratio
59.620%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.129
Beta
3.003
Annual Standard Deviation
0.479
Annual Variance
0.23
Information Ratio
1.434
Tracking Error
0.392
Treynor Ratio
0.259
Total Fees
$3.75
Estimated Strategy Capacity
$12000000.00
Lowest Capacity Asset
TQQQ UK280CGTCB51
Portfolio Turnover
0.27%
 
from AlgorithmImports import *
import pandas as pd
from io import StringIO
class MorningStarDataAlgorithm(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2020, 8, 18)
        self.SetEndDate(2021, 8, 18)
        self.SetCash(100000)
        self.symbol = self.AddEquity("TQQQ", Resolution.Minute, dataNormalizationMode=DataNormalizationMode.Raw).Symbol
        self.sma = self.SMA(self.symbol, 20, Resolution.Daily)
        self.SetWarmup(100)
    
    def OnData(self, slice):
        if not slice.ContainsKey(self.symbol) or slice[self.symbol] is None:
            return
        
        if not self.sma.IsReady or self.IsWarmingUp:
            return 
        
        if not self.Portfolio.Invested:
            self.SetHoldings("TQQQ", 1)

        self.Log(f"Time: {self.Time} | TQQQ Price:{slice[self.symbol].Price} | SMA Value: {self.sma.Current.Value}")