Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-18.155
Tracking Error
0.065
Treynor Ratio
0
Total Fees
$0.00
 
class QuantityTesting_Insight(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 13) # Set Start Date
        self.SetEndDate(2020, 1, 18) # Set End Date
        self.SetCash(100000) # Set Strategy Cash

        self.AddEquity("SPY", Resolution.Minute)
        
        # Handle UniverseSettings
        self.UniverseSettings.Resolution = Resolution.Minute
        symbols = [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
        self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
        self.SetSecurityInitializer(lambda x: x.SetDataNormalizationMode(DataNormalizationMode.Raw))

        # Handle Alpha Model
        #self.SetAlpha(TestingAlpha())
        
        # Handle Portfolio Model
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.SetExecution(ImmediateExecutionModel())
        self.SetRiskManagement(NullRiskManagementModel())
        
        
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(18, 30), self.ClosePositions)

        
    def ClosePositions(self):
        self.Log("Callback ClosePositions()")