Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
263.209%
Drawdown
2.200%
Expectancy
0
Net Profit
1.663%
Sharpe Ratio
4.41
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.007
Beta
76.134
Annual Standard Deviation
0.192
Annual Variance
0.037
Information Ratio
4.354
Tracking Error
0.192
Treynor Ratio
0.011
Total Fees
$3.29
 
import numpy as np

class scheduleOnExample(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2013,10, 7)  #Set Start Date
        self.SetEndDate(2013,10,11)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        
        # Ignite printClose() function at a specific time
        self.Schedule.On(self.DateRules.On(2013,10,10), self.TimeRules.At(9,30,0), Action(self.printClose))

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)
            
    def printClose(self):
        self.Log("SPY Close: "+str(self.Securities["SPY"].Close))