Overall Statistics |
Total Trades
27
Average Win
0%
Average Loss
-19.20%
Compounding Annual Return
-69.408%
Drawdown
100.000%
Expectancy
-1
Net Profit
-100.000%
Sharpe Ratio
-0.764
Probabilistic Sharpe Ratio
0.000%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.105
Beta
-4.285
Annual Standard Deviation
0.963
Annual Variance
0.928
Information Ratio
-0.813
Tracking Error
1.086
Treynor Ratio
0.172
Total Fees
$27.00
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using QuantConnect.Algorithm; using QuantConnect.Data; using QuantConnect.Indicators; namespace QuantConnect { public class BuyOneSecurity : QCAlgorithm { string _ticker = "vxx.1"; private Symbol _symbol; private Identity _price; public override void Initialize() { SetStartDate(2009, 01, 01); SetEndDate(2019, 11, 20); SetCash(10000000); _symbol = AddEquity(_ticker, Resolution.Daily).Symbol; _price = Identity(_symbol); PlotIndicator($"{_symbol.Value} Price", _price); } public override void OnData(Slice data) { if (!Portfolio.Invested) { SetHoldings(_symbol, 1); Log($"Purchased Security {_symbol}"); } } } }