Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
2.460%
Drawdown
0.000%
Expectancy
0
Net Profit
0.077%
Sharpe Ratio
12.55
Probabilistic Sharpe Ratio
99.323%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.017
Beta
0.011
Annual Standard Deviation
0.002
Annual Variance
0
Information Ratio
-6.809
Tracking Error
0.063
Treynor Ratio
2.015
Total Fees
$1.00
Estimated Strategy Capacity
$790000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class MuscularFluorescentOrangeParrot(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 8, 1)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Hour)
        
        # variable tracking "in-market" time
        self.inMarketTime = 0
        self.previousinMarketTime = None
        # variable tracking total time
        self.startTime = self.Time
        
    def OnData(self, data):
        # add "in-market" time if we're invested in something
        if self.Portfolio.Invested:
            if self.previousinMarketTime:
                self.inMarketTime += (self.Time - self.previousinMarketTime).total_seconds()
            self.previousinMarketTime = self.Time
        else:
            self.previousinMarketTime = None
        
        # variable of % of time we're invested in something
        self.percentageTimeInMarket = self.inMarketTime / (self.Time - self.startTime).total_seconds()
        
        # log the message
        self.Log(f'Overall in market time % is {self.percentageTimeInMarket*100}%')
            
        # hold SPY to test
        if self.Time.day == 5:
            self.SetHoldings("SPY", 0.1)