Overall Statistics
Total Trades
6
Average Win
1.85%
Average Loss
0.00%
Compounding Annual Return
2.983%
Drawdown
15.000%
Expectancy
390.876
Net Profit
16.572%
Sharpe Ratio
0.36
Probabilistic Sharpe Ratio
5.696%
Loss Rate
25%
Win Rate
75%
Profit-Loss Ratio
521.50
Alpha
0.031
Beta
-0.079
Annual Standard Deviation
0.075
Annual Variance
0.006
Information Ratio
-0.141
Tracking Error
0.182
Treynor Ratio
-0.344
Total Fees
$6.34
 
class CalibratedVentralPrism(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 1, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Daily).Symbol
        self.lastYear = -1
        
        
    def OnData(self, data):
        
        if self.Time.year == self.lastYear:
            return
        
        self.lastYear = self.Time.year
        
        self.SetHoldings("SPY", 0.5)