Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
11.896%
Drawdown
33.700%
Expectancy
0
Net Profit
75.561%
Sharpe Ratio
0.732
Probabilistic Sharpe Ratio
24.475%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0.996
Annual Standard Deviation
0.192
Annual Variance
0.037
Information Ratio
-0.872
Tracking Error
0.001
Treynor Ratio
0.141
Total Fees
$1.32
 
class ParticleTransdimensionalRadiator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 8, 11)  # Set Start Date
        self.SetEndDate(2020, 8, 11)
        self.SetCash(50000)  # Set Strategy Cash
        
        self.AddEquity("SPY", Resolution.Minute)


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