Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
-36.18%
Compounding Annual Return
-10.846%
Drawdown
63.800%
Expectancy
-1
Net Profit
-36.177%
Sharpe Ratio
-0.11
Probabilistic Sharpe Ratio
1.461%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.04
Beta
-0.018
Annual Standard Deviation
0.382
Annual Variance
0.146
Information Ratio
-0.421
Tracking Error
0.43
Treynor Ratio
2.293
Total Fees
$262.15
 
class TransdimensionalVerticalSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 7, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.sym = self.AddEquity("MGT", Resolution.Daily).Symbol


    def OnData(self, data):
        if data.Delistings.Count > 0:
            self.Log("Delisting")
        
        if not self.Portfolio.Invested:
            self.SetHoldings("MGT", 1)