Overall Statistics
Total Trades
294
Average Win
1.15%
Average Loss
-0.75%
Compounding Annual Return
5.586%
Drawdown
13.500%
Expectancy
0.151
Net Profit
20.971%
Sharpe Ratio
0.728
Probabilistic Sharpe Ratio
29.455%
Loss Rate
54%
Win Rate
46%
Profit-Loss Ratio
1.53
Alpha
0.032
Beta
0.139
Annual Standard Deviation
0.082
Annual Variance
0.007
Information Ratio
-0.672
Tracking Error
0.202
Treynor Ratio
0.427
Total Fees
$513.67
Estimated Strategy Capacity
$50000000.00
Lowest Capacity Asset
SPY 2T
 
class DeterminedTanBaboon(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Minute)
        self.SetRiskManagement(TrailingStopRiskManagementModel(0.01))
        self.SetExecution(VolumeWeightedAveragePriceExecutionModel())

        self.Schedule.On(
            self.DateRules.WeekStart("SPY"),
            self.TimeRules.AfterMarketOpen("SPY", 5),
            lambda: self.SetHoldings("SPY", 1))