Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
38.515%
Drawdown
1.000%
Expectancy
0
Net Profit
2.929%
Sharpe Ratio
5.535
Probabilistic Sharpe Ratio
91.778%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.03
Beta
0.427
Annual Standard Deviation
0.039
Annual Variance
0.002
Information Ratio
-7.066
Tracking Error
0.051
Treynor Ratio
0.511
Total Fees
$1.00
Estimated Strategy Capacity
$210000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class FatRedOrangeChinchilla(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 10, 1)
        self.SetCash(100000)
        self.spy = self.AddEquity("SPY", Resolution.Minute, "USA", False, 0, True).Symbol

    def OnData(self, data):
        if not self.Portfolio[self.spy].Invested:
            openOrders = self.Transactions.GetOpenOrders(self.spy)
            if len(openOrders) == 0:
                self.MarketOnOpenOrder("SPY", 100)