Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 51.104% Drawdown 9.700% Expectancy 0 Net Profit 23.232% Sharpe Ratio 2.607 Probabilistic Sharpe Ratio 76.533% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0.997 Annual Standard Deviation 0.205 Annual Variance 0.042 Information Ratio -3.266 Tracking Error 0.001 Treynor Ratio 0.535 Total Fees $1.76 |
class VentralUncoupledRadiator(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 5, 5) # 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)