| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 106.324% Drawdown 2.000% Expectancy 0 Net Profit 8.476% Sharpe Ratio 5.52 Probabilistic Sharpe Ratio 89.794% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.836 Beta -0.18 Annual Standard Deviation 0.142 Annual Variance 0.02 Information Ratio 3.042 Tracking Error 0.164 Treynor Ratio -4.362 Total Fees $1.94 |
class NonDeterministic(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 12, 1) # Set Start Date
self.SetEndDate(2020,1,10)
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("INTU", Resolution.Daily)
def OnData(self, data):
if data.ContainsKey("INTU"):
self.Debug("{}: {}".format(self.Time, data["INTU"].Close))
if not self.Portfolio.Invested:
self.SetHoldings("INTU", 1)
def OnOrderEvent(self, orderEvent):
order = self.Transactions.GetOrderById(orderEvent.OrderId)
if orderEvent.Status == OrderStatus.Filled:
self.Debug("{0}: {1}: {2}".format(self.Time, order.Type, orderEvent))