Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
374.139%
Drawdown
6.200%
Expectancy
0
Net Profit
39.457%
Sharpe Ratio
8.765
Probabilistic Sharpe Ratio
95.544%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
3.323
Beta
-0.146
Annual Standard Deviation
0.321
Annual Variance
0.103
Information Ratio
-1.282
Tracking Error
0.508
Treynor Ratio
-19.311
Total Fees
$22.56
 
class TachyonUncoupledAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 3, 23)
        self.SetEndDate(2020, 6, 8)
        self.SetCash(1000000)
        
        self.AddEquity("SPY", Resolution.Daily)


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