Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
12.048%
Drawdown
28.400%
Expectancy
0
Net Profit
67.011%
Sharpe Ratio
0.678
Probabilistic Sharpe Ratio
25.339%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.047
Beta
1.123
Annual Standard Deviation
0.2
Annual Variance
0.04
Information Ratio
0.818
Tracking Error
0.069
Treynor Ratio
0.121
Total Fees
$4.92
 
class ModulatedVerticalComputer(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 9, 14)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("QQQ", Resolution.Minute)


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