Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
1820.935%
Drawdown
14.600%
Expectancy
0
Net Profit
87.548%
Sharpe Ratio
46.068
Probabilistic Sharpe Ratio
98.236%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
24.505
Beta
1.477
Annual Standard Deviation
0.703
Annual Variance
0.495
Information Ratio
60.246
Tracking Error
0.449
Treynor Ratio
21.927
Total Fees
$20.24
 
class CalibratedHorizontalFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 3, 23)
        self.SetEndDate(2020, 6, 8)
        self.SetCash(100000)
        
        self.AddEquity("XLE", Resolution.Minute)


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