Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
18.169%
Drawdown
16.100%
Expectancy
0
Net Profit
2.814%
Sharpe Ratio
0.242
Probabilistic Sharpe Ratio
37.703%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.303
Beta
1.2
Annual Standard Deviation
0.351
Annual Variance
0.123
Information Ratio
1.431
Tracking Error
0.186
Treynor Ratio
0.071
Total Fees
$90.63
 
class TransdimensionalNadionFlange(QCAlgorithm):

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


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