Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -99.986% Drawdown 58.300% Expectancy 0 Net Profit -55.723% Sharpe Ratio -0.902 Probabilistic Sharpe Ratio 0.145% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.142 Beta 1.159 Annual Standard Deviation 1.108 Annual Variance 1.227 Information Ratio -0.023 Tracking Error 0.627 Treynor Ratio -0.863 Total Fees $94.87 |
class TransdimensionalNadionFlange(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 2, 19) # Set Start Date self.SetEndDate(2020, 3, 23) self.SetCash(1000000) # Set Strategy Cash self.AddEquity("XLE", Resolution.Minute) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("XLE", 1)