Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
-98.780%
Drawdown
33.700%
Expectancy
0
Net Profit
-33.629%
Sharpe Ratio
-1.4
Probabilistic Sharpe Ratio
2.585%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-1.436
Beta
-0.489
Annual Standard Deviation
0.689
Annual Variance
0.474
Information Ratio
0
Tracking Error
1.188
Treynor Ratio
1.971
Total Fees
$15.02
 
class TachyonUncoupledAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 19)
        self.SetEndDate(2020, 3, 23)
        self.SetCash(1000000)
        
        self.AddEquity("SPY", Resolution.Daily)


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