Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
34.022%
Drawdown
5.400%
Expectancy
0
Net Profit
15.687%
Sharpe Ratio
2.866
Probabilistic Sharpe Ratio
84.227%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.995
Annual Standard Deviation
0.124
Annual Variance
0.015
Information Ratio
-3.356
Tracking Error
0.001
Treynor Ratio
0.357
Total Fees
$1.31
Estimated Strategy Capacity
$71000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class SleepyMagentaPelican(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 2, 3)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Minute)

    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
        '''
      
        # Check if we're not invested and then put portfolio 100% in the SPY ETF.      
        if not self.Portfolio.Invested:
           insight = Insight.Price("SPY", timedelta(minutes = 20), InsightDirection.Up, 0.0025, 1.00, "MyAlphaModel", 1)
           self.SetHoldings("SPY", 1)