Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.199%
Drawdown
33.800%
Expectancy
0
Net Profit
81.655%
Sharpe Ratio
0.709
Probabilistic Sharpe Ratio
21.864%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
0.997
Annual Standard Deviation
0.185
Annual Variance
0.034
Information Ratio
-0.724
Tracking Error
0.002
Treynor Ratio
0.132
Total Fees
$2.69
 
class DynamicHorizontalFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 1, 1)
        self.SetEndDate(2020, 8, 16)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


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