| Overall Statistics |
|
Total Trades 5 Average Win 0% Average Loss -13.52% Compounding Annual Return -21.710% Drawdown 38.200% Expectancy -1 Net Profit -11.545% Sharpe Ratio -0.299 Probabilistic Sharpe Ratio 15.117% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.121 Beta -0.262 Annual Standard Deviation 0.391 Annual Variance 0.153 Information Ratio -0.159 Tracking Error 0.623 Treynor Ratio 0.445 Total Fees $8.10 |
class QuantumTachyonThrustAssembly(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 11, 7) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
spynum = self.CalculateOrderQuantity("SPY", 1)
self.stopMarketTicket = self.StopMarketOrder("SPY", -spynum, 0.90 * self.Securities["SPY"].Close)