Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-98.834%
Drawdown
34.700%
Expectancy
0
Net Profit
-33.639%
Sharpe Ratio
-1.243
Probabilistic Sharpe Ratio
3.641%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.003
Beta
0.997
Annual Standard Deviation
0.793
Annual Variance
0.628
Information Ratio
0.071
Tracking Error
0.003
Treynor Ratio
-0.988
Total Fees
$14.92
 
class DynamicHorizontalFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 19)
        self.SetEndDate(2020, 3, 23)
        self.SetCash(1000000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


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