Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-5.201%
Drawdown
34.600%
Expectancy
0
Net Profit
-2.637%
Sharpe Ratio
0.107
Probabilistic Sharpe Ratio
26.443%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
0.994
Annual Standard Deviation
0.453
Annual Variance
0.205
Information Ratio
-0.37
Tracking Error
0.003
Treynor Ratio
0.049
Total Fees
$1.54
 
import json5

class HorizontalQuantumRadiator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 9)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        
        self.equity_over_time = []

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)
    
    def OnEndOfDay(self):
        self.equity_over_time.append(self.Portfolio.TotalPortfolioValue)

    def OnEndOfAlgorithm(self):
        self.ObjectStore.Save('equity', json5.dumps(self.equity_over_time))