Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-18.622%
Drawdown
11.600%
Expectancy
0
Net Profit
-3.367%
Sharpe Ratio
-0.724
Probabilistic Sharpe Ratio
23.051%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.997
Annual Standard Deviation
0.251
Annual Variance
0.063
Information Ratio
0.514
Tracking Error
0.001
Treynor Ratio
-0.182
Total Fees
$26.30
 
class DynamicHorizontalFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 8, 10)
        self.SetEndDate(2015, 10, 10)
        self.SetCash(1000000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


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