Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
22.041%
Drawdown
0.300%
Expectancy
0
Net Profit
0.255%
Sharpe Ratio
4.37
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.003
Beta
11.89
Annual Standard Deviation
0.029
Annual Variance
0.001
Information Ratio
4.003
Tracking Error
0.029
Treynor Ratio
0.011
Total Fees
$1.00
 
class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2013,10,07)  #Set Start Date
        self.SetEndDate(2013,10,11)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash 
        self.AddEquity("SPY", Resolution.Minute, market=Market.USA, fillDataForward=False, leverage=1, extendedMarketHours=True)
        #self.AddEquity("SPY", Resolution.Minute, Market.USA, True, 1, True)

    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.LimitOrder("SPY", 100, 200)