Overall Statistics
Total Trades
5
Average Win
0%
Average Loss
0%
Compounding Annual Return
-43.655%
Drawdown
1.200%
Expectancy
0
Net Profit
-1.249%
Sharpe Ratio
-15.757
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.011
Beta
-29.377
Annual Standard Deviation
0.029
Annual Variance
0.001
Information Ratio
-15.956
Tracking Error
0.029
Treynor Ratio
0.015
Total Fees
$5.00
 
class VentralVerticalSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 10, 24)  # Set Start Date
        self.SetEndDate(2018, 10, 31)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("IBM", Resolution.Daily)


    def OnData(self, data):
        self.SetHoldings("IBM", 0.1)
        self.Log(self.Portfolio["IBM"].AveragePrice)