Overall Statistics
Total Trades
2
Average Win
176.17%
Average Loss
0%
Compounding Annual Return
26.476%
Drawdown
22.300%
Expectancy
0
Net Profit
176.172%
Sharpe Ratio
0.594
Probabilistic Sharpe Ratio
2.042%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.503
Beta
0.179
Annual Standard Deviation
0.891
Annual Variance
0.795
Information Ratio
0.422
Tracking Error
0.904
Treynor Ratio
2.966
Total Fees
$613.84
 
class TransdimensionalVerticalSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 2, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.sym = self.AddEquity("RLOC", Resolution.Daily).Symbol


    def OnData(self, data):
        if data.Delistings.Count > 0:
            self.Log("Delisting")
        
        if not self.Portfolio.Invested:
            self.SetHoldings("RLOC", 1)