Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
431.488%
Drawdown
6.500%
Expectancy
0
Net Profit
42.684%
Sharpe Ratio
13.761
Probabilistic Sharpe Ratio
97.681%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.015
Beta
0.998
Annual Standard Deviation
0.386
Annual Variance
0.149
Information Ratio
-29.583
Tracking Error
0.001
Treynor Ratio
5.326
Total Fees
$22.13
 
class DynamicHorizontalFlange(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 3, 23)
        self.SetEndDate(2020, 6, 8)
        self.SetCash(1000000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


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