Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
10.035%
Drawdown
0.300%
Expectancy
0
Net Profit
0.385%
Sharpe Ratio
2.853
Probabilistic Sharpe Ratio
64.076%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.031
Beta
0.182
Annual Standard Deviation
0.014
Annual Variance
0
Information Ratio
-0.279
Tracking Error
0.034
Treynor Ratio
0.22
Total Fees
$1.00
 
class BootCampTask(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 6, 1)
        self.SetEndDate(2017, 6, 15)

        #1,2. Select IWM minute resolution data and set it to Raw normalization mode

class BootCampTask(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 6, 1)
        self.SetEndDate(2017, 6, 15)


        #1,2. Select IWM minute resolution data and set it to Raw normalization mode
        self.ss = self.AddEquity('IWM', Resolution.Minute)
        self.ss.SetDataNormalizationMode(DataNormalizationMode.Raw)

    def OnData(self, data):

        #3. Place an order for 100 shares of IWM and print the average fill price
        if not self.Portfolio.Invested:
            self.MarketOrder('IWM', 100)
            #4. Debug the AveragePrice of IWM
            self.Debug(str(self.Portfolio['IWM'].AveragePrice))