Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
8.052%
Drawdown
26.200%
Expectancy
0
Start Equity
100000
End Equity
136043.01
Net Profit
36.043%
Sharpe Ratio
0.206
Sortino Ratio
0.237
Probabilistic Sharpe Ratio
8.678%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.995
Annual Standard Deviation
0.148
Annual Variance
0.022
Information Ratio
-0.514
Tracking Error
0.001
Treynor Ratio
0.031
Total Fees
$1.26
Estimated Strategy Capacity
$70000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.07%
 
#region imports
from AlgorithmImports import *
#endregion
# In Module 4, we address data preparation.
# It includes the collecting, cleaning, indexing, 
# storing, adjusting, and delivering 
# all data to the production chain

# region imports
from AlgorithmImports import *
# endregion

class FormalGreenCamel(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 27)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


    def OnData(self, data: Slice):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1.0)