Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
13.764%
Drawdown
33.800%
Expectancy
0
Net Profit
91.821%
Sharpe Ratio
0.845
Probabilistic Sharpe Ratio
31.796%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.998
Annual Standard Deviation
0.19
Annual Variance
0.036
Information Ratio
-0.42
Tracking Error
0.001
Treynor Ratio
0.161
Total Fees
$28.52
 
class DynamicHorizontalFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 9, 1)  # Set Start Date
        self.SetEndDate(2020, 9, 17)
        self.SetCash(1000000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


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