Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
5.985%
Drawdown
55.400%
Expectancy
0
Net Profit
223.248%
Sharpe Ratio
0.37
Probabilistic Sharpe Ratio
0.076%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.072
Beta
-0.099
Annual Standard Deviation
0.178
Annual Variance
0.032
Information Ratio
0
Tracking Error
0.263
Treynor Ratio
-0.661
Total Fees
$0.00
 
class DynamicTransdimensionalFlange(QCAlgorithm):

    def Initialize(self):
        
        self.SetStartDate(2000, 5, 15)
        self.SetEndDate(2020, 7, 15)
        self.SetCash(100000)
        self.SetBrokerageModel(BrokerageName.Alpaca)
        
        self.symbol = self.AddEquity('SPY', Resolution.Daily).Symbol


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings(self.symbol, 1)