Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
39.450%
Drawdown
9.700%
Expectancy
0
Net Profit
18.111%
Sharpe Ratio
2.634
Probabilistic Sharpe Ratio
78.339%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.997
Annual Standard Deviation
0.174
Annual Variance
0.03
Information Ratio
-3.266
Tracking Error
0.001
Treynor Ratio
0.46
Total Fees
$1.60
 
class WildFire(QCAlgorithm):

        def Initialize(self):
            self.SetStartDate(2020, 6, 19)  # Set Start Date
            self.SetCash(100000)  # Set Strategy Cash
            self.AddEquity("SPY", Resolution.Minute)
            self.atr = self.ATR("SPY", 14)
            
            self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose('SPY', 0), 
                self.record_vars)      
            
        def OnData(self, data):

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

            self.Plot("My Indicators", "ATR Signal", self.atr.Current.Value)