Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
2.169%
Drawdown
12.800%
Expectancy
0
Net Profit
0.434%
Sharpe Ratio
0.569
Probabilistic Sharpe Ratio
40.048%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
0.997
Annual Standard Deviation
0.219
Annual Variance
0.048
Information Ratio
-1.795
Tracking Error
0.001
Treynor Ratio
0.125
Total Fees
$124.52
Estimated Strategy Capacity
$130000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
# region imports
from AlgorithmImports import *
# endregion

class CryingBlueBeaver(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 9, 13)
        self.SetEndDate(2022, 11, 25)
        self.SetCash(10_000_000)
        self.AddEquity("SPY", Resolution.Minute)

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