Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
19.038%
Drawdown
6.700%
Expectancy
0
Net Profit
4.690%
Sharpe Ratio
0.935
Probabilistic Sharpe Ratio
47.090%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.197
Beta
-0.184
Annual Standard Deviation
0.182
Annual Variance
0.033
Information Ratio
0.104
Tracking Error
0.284
Treynor Ratio
-0.925
Total Fees
$1.55
 
class CalibratedQuantumInterceptor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 6, 8)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        key1 = 'In Initialize'
        key2 = 'OnData'
        
        # DELETE this after one run
        if not self.ObjectStore.ContainsKey(key1):
            self.ObjectStore.Save(key1, 'self.AddEquity("SPY", Resolution.Daily)')
        if not self.ObjectStore.ContainsKey(key2):
            self.ObjectStore.Save(key2, 'if not self.Portfolio.Invested:  self.SetHoldings("SPY", 1.0)')
        
        code1 = self.ObjectStore.Read(key1)
        exec(code1)
        
        self.code2 = self.ObjectStore.Read(key2)
        
    def OnData(self, data):
        exec(self.code2)
    
    def OnSecuritiesChanged(self, changed):
        for security in changed.AddedSecurities:
            self.Log(security.Symbol)