Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
69.655%
Drawdown
13.300%
Expectancy
0
Net Profit
30.732%
Sharpe Ratio
2.699
Probabilistic Sharpe Ratio
80.082%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.652
Beta
-0.195
Annual Standard Deviation
0.214
Annual Variance
0.046
Information Ratio
0.708
Tracking Error
0.277
Treynor Ratio
-2.957
Total Fees
$2.37
 
class ModulatedResistanceCircuit(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 7, 7)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.security = self.AddEquity("SPY", Resolution.Daily)
        self.symbol = self.security.Symbol


    def OnData(self, data):
        self.Plot("TotalHoldingsValue", "Value", self.Portfolio.TotalHoldingsValue)
        self.Plot("TotalPortfolioValue", "Value", self.Portfolio.TotalPortfolioValue)
        self.Plot("Leverage", "Value", self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue)
        
        if self.Portfolio.Invested:
            return
        
        if self.security.IsTradable and data.ContainsKey(self.symbol) and data[self.symbol] is not None:
            self.SetHoldings(self.security.Symbol, 1.5)