Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 14.868% Drawdown 33.700% Expectancy 0 Net Profit 101.130% Sharpe Ratio 0.805 Probabilistic Sharpe Ratio 27.676% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.161 Beta -0.176 Annual Standard Deviation 0.17 Annual Variance 0.029 Information Ratio 0 Tracking Error 0.261 Treynor Ratio -0.779 Total Fees $28.72 |
class TachyonUncoupledAtmosphericScrubbers(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 10, 1) self.SetEndDate(2020, 10, 13) self.SetCash(1000000) self.AddEquity("SPY", Resolution.Daily) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("SPY", 1)