| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 15.207% Drawdown 18.700% Expectancy 0 Net Profit 103.030% Sharpe Ratio 0.935 Probabilistic Sharpe Ratio 38.237% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.142 Beta -0.049 Annual Standard Deviation 0.145 Annual Variance 0.021 Information Ratio -0.004 Tracking Error 0.21 Treynor Ratio -2.741 Total Fees $5.55 |
class BenchmarkTest(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1) # Set Start Date
self.SetEndDate(2014, 12, 31) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily)
self.SetBenchmark("SPY")
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)