Overall Statistics
Total Orders
4290
Average Win
0%
Average Loss
0%
Compounding Annual Return
286.153%
Drawdown
4.200%
Expectancy
0
Start Equity
100000
End Equity
105579
Net Profit
5.579%
Sharpe Ratio
2.801
Sortino Ratio
6.037
Probabilistic Sharpe Ratio
62.990%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.436
Beta
2.411
Annual Standard Deviation
0.17
Annual Variance
0.029
Information Ratio
2.929
Tracking Error
0.157
Treynor Ratio
0.197
Total Fees
$15.00
Estimated Strategy Capacity
$960000.00
Lowest Capacity Asset
IWM RV0PWMLXVHPH
Portfolio Turnover
13.23%
Drawdown Recovery
6
 
# region imports
from AlgorithmImports import *
# endregion

class BootCampTask(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2017, 6, 1)
        self.set_end_date(2017, 6, 15)
        self.add_equity("IWM",resolution=Resolution.MINUTE,data_normalization_mode=DataNormalizationMode.RAW)
        #1,2. Select IWM minute resolution data and set it to RAW normalization mode

    def on_data(self, data):
        self.market_order("IWM",100)
        self.debug(self.portfolio['IWM'].average_price)
        #3. Place an order for 100 shares of IWM and print the average fill price
        #4. Debug the average price of IWM