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 $27.00 |
using QuantConnect.Algorithm; using QuantConnect.Data; using QuantConnect.Indicators; namespace QuantConnect { public class BuyOneSecurity : QCAlgorithm { string _ticker = "vxx.1"; private Symbol _symbol; private Identity _price; public override void Initialize() { SetStartDate(2009, 01, 01); SetEndDate(2019, 11, 20); SetCash(10000000); _symbol = AddEquity(_ticker, Resolution.Daily).Symbol; _price = Identity(_symbol); PlotIndicator($"{_symbol.Value} Price", _price); } public override void OnData(Slice data) { if (!Portfolio.Invested) { SetHoldings(_symbol, 1); Log($"Purchased Security {_symbol}"); } } } }