Overall Statistics
Total Trades
133
Average Win
0.01%
Average Loss
0.00%
Compounding Annual Return
13.019%
Drawdown
4.800%
Expectancy
-0.530
Net Profit
1.238%
Sharpe Ratio
1.297
Probabilistic Sharpe Ratio
52.645%
Loss Rate
87%
Win Rate
13%
Profit-Loss Ratio
2.65
Alpha
-0.095
Beta
0.494
Annual Standard Deviation
0.11
Annual Variance
0.012
Information Ratio
-3.011
Tracking Error
0.113
Treynor Ratio
0.289
Total Fees
$134.05
 
class TachyonHorizontalSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 10, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.AddEquity("IEF", Resolution.Minute)
        self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(days=1) ));
        self.Settings.RebalancePortfolioOnInsightChanges = False
        self.Settings.RebalancePortfolioOnSecurityChanges = False
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(timedelta(minutes=5)))