Overall Statistics
Total Trades
10
Average Win
0%
Average Loss
0%
Compounding Annual Return
2.347%
Drawdown
0.100%
Expectancy
0
Net Profit
0.049%
Sharpe Ratio
3.152
Probabilistic Sharpe Ratio
58.996%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.056
Beta
0.047
Annual Standard Deviation
0.008
Annual Variance
0
Information Ratio
-10.571
Tracking Error
0.159
Treynor Ratio
0.529
Total Fees
$10.00
Estimated Strategy Capacity
$120000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class EmotionalFluorescentYellowDogfish(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2021, 1, 10)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Second)
        
        self.SetBrokerageModel(BrokerageName.AlphaStreams)
        self.SetExecution(VolumeWeightedAveragePriceExecutionModel())

    def OnData(self, data):
        ''' OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
      
        # Check if we're not invested and then put portfolio 100% in the SPY ETF.      
        if not self.Portfolio.Invested:
            #quantity = self.CalculateOrderQuantity(self.symbol, 0.5)
        #   self.SetHoldings("SPY", 0.5)
        #   self.SetHoldings("SPY", 0.5)
        
            #self.MarketOrder("SPY", 10)
            for i in range(10):
                self.MarketOrder("SPY", 1)