Overall Statistics
Total Trades
13
Average Win
0%
Average Loss
-0.02%
Compounding Annual Return
9.679%
Drawdown
0.200%
Expectancy
-1
Net Profit
0.908%
Sharpe Ratio
4.91
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.086
Beta
0.072
Annual Standard Deviation
0.018
Annual Variance
0
Information Ratio
3.868
Tracking Error
0.018
Treynor Ratio
1.214
Total Fees
$13.00
import numpy as np
from decimal import Decimal


class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2013,10, 7)  
        self.SetEndDate(2013,11,11)   
        self.SetCash(100000)           
        self.AddEquity("SPY", Resolution.Hour)

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.LimitOrder("SPY", 20, self.Securities["SPY"].Price*Decimal(0.99))
            self.StopMarketOrder("SPY", -20, self.Securities["SPY"].Price*Decimal(0.98))