Overall Statistics
Total Trades
252
Average Win
1.68%
Average Loss
-2.05%
Compounding Annual Return
-3.958%
Drawdown
36.400%
Expectancy
0.011
Net Profit
-1.979%
Sharpe Ratio
0.137
Probabilistic Sharpe Ratio
27.026%
Loss Rate
44%
Win Rate
56%
Profit-Loss Ratio
0.82
Alpha
-0.016
Beta
0.968
Annual Standard Deviation
0.443
Annual Variance
0.196
Information Ratio
-0.417
Tracking Error
0.044
Treynor Ratio
0.063
Total Fees
$385.91
 
class TransdimensionalOptimizedAutosequencers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 26)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 0), self.BuyAtOpen)
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 1), self.LiquidateAtClose)
    
    
    def BuyAtOpen(self):
        if self.Securities["SPY"].Price is not None:
            self.SetHoldings("SPY", 1)
    
    def LiquidateAtClose(self):
        if self.Securities["SPY"].Price is not None:
            self.Liquidate()