Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -18.622% Drawdown 11.600% Expectancy 0 Net Profit -3.367% Sharpe Ratio -0.724 Probabilistic Sharpe Ratio 23.051% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0.997 Annual Standard Deviation 0.251 Annual Variance 0.063 Information Ratio 0.514 Tracking Error 0.001 Treynor Ratio -0.182 Total Fees $26.30 |
class DynamicHorizontalFlange(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 8, 10) self.SetEndDate(2015, 10, 10) self.SetCash(1000000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Minute) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("SPY", 1)