Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
46.068%
Drawdown
27.900%
Expectancy
0
Net Profit
159.069%
Sharpe Ratio
1.315
Probabilistic Sharpe Ratio
59.697%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.153
Beta
1.154
Annual Standard Deviation
0.262
Annual Variance
0.069
Information Ratio
1.266
Tracking Error
0.141
Treynor Ratio
0.299
Total Fees
$4.16
Estimated Strategy Capacity
$87000000.00
Lowest Capacity Asset
MSFT R735QTJ8XC9X
 
class UpgradedSkyBlueGoshawk(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 4, 19)
        
        equity = self.AddEquity("MSFT", Resolution.Daily)

        equity = self.AddEquity("SPY", Resolution.Daily)
        equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
        
        self.spy = equity.Symbol
        #self.SetBenchmark(lambda dt: self.Securities[self.spy].Price)
        
    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("MSFT", 1)