Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
44.014%
Drawdown
42.700%
Expectancy
0
Net Profit
190.733%
Sharpe Ratio
1.28
Probabilistic Sharpe Ratio
54.913%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.455
Beta
-0.228
Annual Standard Deviation
0.332
Annual Variance
0.11
Information Ratio
0.7
Tracking Error
0.417
Treynor Ratio
-1.866
Total Fees
$12.97
 
class PerformanceComparisonStrategyWithBenchmark(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1) 
        self.InitCash = 100000
        self.SetCash(self.InitCash)  
        self.MKT = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.spy = []
        self.arkk = self.AddEquity("ARKK", Resolution.Daily).Symbol
        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("ARKK", 1)
            
    def record_vars(self):             
        hist = self.History(self.MKT, 2, Resolution.Daily)['close'].unstack(level= 0).dropna() 
        self.spy.append(hist[self.MKT].iloc[-1])
        spy_perf = self.spy[-1] / self.spy[0] * self.InitCash
        self.Plot('Strategy Equity', 'SPY', spy_perf)