Overall Statistics
Total Orders
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.912%
Drawdown
9.700%
Expectancy
0
Start Equity
10000000
End Equity
11389880.27
Net Profit
13.899%
Sharpe Ratio
0.836
Sortino Ratio
0.905
Probabilistic Sharpe Ratio
44.631%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.014
Beta
0.983
Annual Standard Deviation
0.108
Annual Variance
0.012
Information Ratio
0.892
Tracking Error
0.014
Treynor Ratio
0.092
Total Fees
$289.28
Estimated Strategy Capacity
$76000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
0.27%
 
#region imports
    using System;
    using System.Collections;
    using System.Collections.Generic;
    using System.Linq;
    using System.Globalization;
    using System.Drawing;
    using QuantConnect;
    using QuantConnect.Algorithm.Framework;
    using QuantConnect.Algorithm.Framework.Selection;
    using QuantConnect.Algorithm.Framework.Alphas;
    using QuantConnect.Algorithm.Framework.Portfolio;
    using QuantConnect.Algorithm.Framework.Execution;
    using QuantConnect.Algorithm.Framework.Risk;
    using QuantConnect.Algorithm.Selection;
    using QuantConnect.Parameters;
    using QuantConnect.Benchmarks;
    using QuantConnect.Brokerages;
    using QuantConnect.Util;
    using QuantConnect.Interfaces;
    using QuantConnect.Algorithm;
    using QuantConnect.Indicators;
    using QuantConnect.Data;
    using QuantConnect.Data.Consolidators;
    using QuantConnect.Data.Custom;
    using QuantConnect.DataSource;
    using QuantConnect.Data.Fundamental;
    using QuantConnect.Data.Market;
    using QuantConnect.Data.UniverseSelection;
    using QuantConnect.Notifications;
    using QuantConnect.Orders;
    using QuantConnect.Orders.Fees;
    using QuantConnect.Orders.Fills;
    using QuantConnect.Orders.Slippage;
    using QuantConnect.Scheduling;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Equity;
    using QuantConnect.Securities.Future;
    using QuantConnect.Securities.Option;
    using QuantConnect.Securities.Forex;
    using QuantConnect.Securities.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public class FocusedMagentaChinchilla : QCAlgorithm
    {

        public override void Initialize()
        {
            SetStartDate(2016, 1, 1);
            SetEndDate(2017, 1, 1);
            SetCash(10_000_000);
            AddEquity("SPY", Resolution.Minute);
        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                SetHoldings("SPY", 1);
            }
        }

    }
}