Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
92.971%
Drawdown
5.000%
Expectancy
0
Net Profit
2.308%
Sharpe Ratio
3.901
Probabilistic Sharpe Ratio
59.913%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.218
Beta
2.061
Annual Standard Deviation
0.289
Annual Variance
0.084
Information Ratio
3.159
Tracking Error
0.15
Treynor Ratio
0.547
Total Fees
$2.50
 
class ModulatedOptimizedContainmentField(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.AddEquity("SPY")
    def OnData(self, data):
        if not self.Portfolio.Invested and data.Bars.ContainsKey('SPY'):
            quantity = 500
            estimated_fee = self.GetOrderFee('SPY', quantity)
            ticket = self.MarketOrder('SPY', quantity, False, f'Fee: {estimated_fee}')
    def GetOrderFee(self, symbol, quantity):
        security = self.Securities[symbol]
        order = MarketOrder(security.Symbol, quantity, self.UtcTime)
        parameters = OrderFeeParameters(security, order)
        return security.FeeModel.GetOrderFee(parameters).Value.Amount