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)