Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
27.774%
Drawdown
4.900%
Expectancy
0
Net Profit
9.835%
Sharpe Ratio
2.672
Probabilistic Sharpe Ratio
83.152%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.001
Beta
0.989
Annual Standard Deviation
0.092
Annual Variance
0.008
Information Ratio
-0.15
Tracking Error
0.008
Treynor Ratio
0.247
Total Fees
$1.69
 
class NotebookProject(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 9, 10)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


    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
        '''

        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)