| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 2.786% Drawdown 0.100% Expectancy 0 Net Profit 0.058% Sharpe Ratio 4.056 Probabilistic Sharpe Ratio 62.259% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.045 Beta 0.044 Annual Standard Deviation 0.007 Annual Variance 0 Information Ratio -10.503 Tracking Error 0.16 Treynor Ratio 0.679 Total Fees $1.00 Estimated Strategy Capacity $5800000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class EmotionalFluorescentYellowDogfish(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetEndDate(2021, 1, 10)
self.SetCash(100000)
self.AddEquity("SPY", Resolution.Second)
self.SetBrokerageModel(BrokerageName.AlphaStreams)
self.SetExecution(VolumeWeightedAveragePriceExecutionModel())
def OnData(self, data):
''' OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
data: Slice object keyed by symbol containing the stock data
'''
# Check if we're not invested and then put portfolio 100% in the SPY ETF.
if not self.Portfolio.Invested:
#quantity = self.CalculateOrderQuantity(self.symbol, 0.5)
# self.SetHoldings("SPY", 0.5)
# self.SetHoldings("SPY", 0.5)
self.MarketOrder("SPY", 10)
# for i in range(10):
# self.MarketOrder("SPY", 1)