Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 11.199% Drawdown 33.800% Expectancy 0 Net Profit 81.655% Sharpe Ratio 0.709 Probabilistic Sharpe Ratio 21.864% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.001 Beta 0.997 Annual Standard Deviation 0.185 Annual Variance 0.034 Information Ratio -0.724 Tracking Error 0.002 Treynor Ratio 0.132 Total Fees $2.69 |
class DynamicHorizontalFlange(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 1, 1) self.SetEndDate(2020, 8, 16) self.SetCash(100000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Minute) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("SPY", 1)