Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
14.868%
Drawdown
33.700%
Expectancy
0
Net Profit
101.130%
Sharpe Ratio
0.805
Probabilistic Sharpe Ratio
27.676%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.161
Beta
-0.176
Annual Standard Deviation
0.17
Annual Variance
0.029
Information Ratio
0
Tracking Error
0.261
Treynor Ratio
-0.779
Total Fees
$28.72
 
class TachyonUncoupledAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 10, 1)
        self.SetEndDate(2020, 10, 13)
        self.SetCash(1000000)
        
        self.AddEquity("SPY", Resolution.Daily)


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