Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
52.597%
Drawdown
9.800%
Expectancy
0
Net Profit
24.566%
Sharpe Ratio
2.711
Probabilistic Sharpe Ratio
78.153%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.997
Annual Standard Deviation
0.203
Annual Variance
0.041
Information Ratio
-3.395
Tracking Error
0.001
Treynor Ratio
0.552
Total Fees
$1.76
 
class NadionUncoupledEngine(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 5, 5)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.AddEquity("SPY", Resolution.Minute)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)