Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -98.834% Drawdown 34.700% Expectancy 0 Net Profit -33.639% Sharpe Ratio -1.243 Probabilistic Sharpe Ratio 3.641% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.003 Beta 0.997 Annual Standard Deviation 0.793 Annual Variance 0.628 Information Ratio 0.071 Tracking Error 0.003 Treynor Ratio -0.988 Total Fees $14.92 |
class DynamicHorizontalFlange(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 2, 19) self.SetEndDate(2020, 3, 23) self.SetCash(1000000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Minute) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("SPY", 1)