Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
6.578%
Drawdown
18.600%
Expectancy
0
Net Profit
6.591%
Sharpe Ratio
0.506
Probabilistic Sharpe Ratio
30.628%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.027
Beta
0.432
Annual Standard Deviation
0.155
Annual Variance
0.024
Information Ratio
-0.841
Tracking Error
0.198
Treynor Ratio
0.182
Total Fees
$6.03
 
class BuyAndHold(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2020, 12, 31)

        self.cgw = self.AddEquity("CGW", Resolution.Minute).Symbol
        self.tlt = self.AddEquity("TLT", Resolution.Minute).Symbol
        
        self.ETF = [self.cgw, self.tlt]

    def OnData(self, data):
        for sec in self.ETF:
            if not self.Portfolio.Invested:
                self.SetHoldings(sec, 1.0 / len(self.ETF))