Overall Statistics |
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
263.209%
Drawdown
2.200%
Expectancy
0
Net Profit
1.663%
Sharpe Ratio
4.41
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.007
Beta
76.134
Annual Standard Deviation
0.192
Annual Variance
0.037
Information Ratio
4.354
Tracking Error
0.192
Treynor Ratio
0.011
Total Fees
$3.29
|
import numpy as np class scheduleOnExample(QCAlgorithm): def Initialize(self): self.SetStartDate(2013,10, 7) #Set Start Date self.SetEndDate(2013,10,11) #Set End Date self.SetCash(100000) #Set Strategy Cash self.AddEquity("SPY", Resolution.Minute) # Ignite printClose() function at a specific time self.Schedule.On(self.DateRules.On(2013,10,10), self.TimeRules.At(9,30,0), Action(self.printClose)) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("SPY", 1) def printClose(self): self.Log("SPY Close: "+str(self.Securities["SPY"].Close))