Overall Statistics
Total Trades
3
Average Win
0%
Average Loss
-16.27%
Compounding Annual Return
11.673%
Drawdown
22.400%
Expectancy
-1
Net Profit
3.758%
Sharpe Ratio
0.551
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.348
Beta
-9.682
Annual Standard Deviation
0.272
Annual Variance
0.074
Information Ratio
0.475
Tracking Error
0.272
Treynor Ratio
-0.015
Total Fees
$7.50
 
class BootCampTask(QCAlgorithm):

    def Initialize(self):
        
        self.SetStartDate(2018, 12, 1) # Set Start Date
        self.SetEndDate(2019, 4, 1) # Set End Date
        self.SetCash(100000) # Set Strategy Cash
        
        # Subscribe to SPY 
        self.AddSecurity(SecurityType.Equity,"SPY", Resolution.Daily)
        
    def OnData(self, data):
        
        if not self.Portfolio.Invested:
            
            # Create market order for some units of SPY
            self.MarketOrder("SPY", 500)
            # Create stop loss through a stop market order
            self.StopMarketOrder("SPY", -500, 0.9 * self.Securities["SPY"].Close)