Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-1.049%
Drawdown
0.500%
Expectancy
0
Net Profit
-0.026%
Sharpe Ratio
-0.322
Probabilistic Sharpe Ratio
41.323%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
0.042
Annual Standard Deviation
0.024
Annual Variance
0.001
Information Ratio
0.668
Tracking Error
0.227
Treynor Ratio
-0.189
Total Fees
$1.00
 
class ModulatedDynamicProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 8, 26)
        self.SetEndDate(2020, 9, 3)
        self.SetCash(100000)
        self.tsla = self.AddEquity("TSLA", Resolution.Daily).Symbol
        self.Securities[self.tsla].SetDataNormalizationMode(DataNormalizationMode.Raw)


    def OnData(self, data):
        if not data.ContainsKey(self.tsla) or data[self.tsla] is None:
            return
        
        if not self.Portfolio.Invested:
            self.MarketOrder(self.tsla, 1)
            self.ticket = self.StopMarketOrder(self.tsla, -1, data[self.tsla].Price / 2)
            
        self.Plot("Price", "TSLA", data[self.tsla].Price)
        self.Plot("Price", "Stop", self.ticket.Get(OrderField.StopPrice))