Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
6.480%
Drawdown
48.800%
Expectancy
0
Net Profit
393.195%
Sharpe Ratio
0.395
Probabilistic Sharpe Ratio
0.010%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.002
Beta
0.867
Annual Standard Deviation
0.137
Annual Variance
0.019
Information Ratio
-0.462
Tracking Error
0.023
Treynor Ratio
0.063
Total Fees
$5.13
Estimated Strategy Capacity
$1900000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
# region imports
from AlgorithmImports import *
# endregion

class HyperActiveRedAlligator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(1997, 1, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.Securities["SPY"].SetDataNormalizationMode(DataNormalizationMode.Raw)

    def OnData(self, data: Slice):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)