Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
15.140%
Drawdown
33.400%
Expectancy
0
Net Profit
102.519%
Sharpe Ratio
0.825
Probabilistic Sharpe Ratio
29.253%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.163
Beta
-0.174
Annual Standard Deviation
0.169
Annual Variance
0.028
Information Ratio
0.003
Tracking Error
0.261
Treynor Ratio
-0.799
Total Fees
$26.83
 
class TachyonUncoupledAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 1, 1)
        self.SetEndDate(2021, 1, 1)
        self.SetCash(1000000)
        
        self.AddEquity("SPY", Resolution.Daily)


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