Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
-0.10%
Compounding Annual Return
-2.892%
Drawdown
33.800%
Expectancy
-1
Net Profit
-1.460%
Sharpe Ratio
0.153
Probabilistic Sharpe Ratio
25.392%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.082
Beta
-0.272
Annual Standard Deviation
0.412
Annual Variance
0.17
Information Ratio
-0.01
Tracking Error
0.659
Treynor Ratio
-0.232
Total Fees
$2.52
 
class DynamicOptimizedCoreWave(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 21)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Daily)


    def OnData(self, data):
        
      # if (The price at which SPY is currently trading) == (The price at which the last drawdown of SPY started):
            self.SetHoldings("SPY", 1)