Overall Statistics
Total Trades
15
Average Win
0.00%
Average Loss
0%
Compounding Annual Return
-2.305%
Drawdown
0.200%
Expectancy
0
Net Profit
-0.170%
Sharpe Ratio
-4.733
Probabilistic Sharpe Ratio
6.922%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.01
Beta
-0.035
Annual Standard Deviation
0.005
Annual Variance
0
Information Ratio
-6.699
Tracking Error
0.144
Treynor Ratio
0.657
Total Fees
$15.00
Estimated Strategy Capacity
$180000000.00
 
class DancingTanGoat(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 5)  # Set Start Date
        self.SetEndDate(2020,12,1)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        if not self.Portfolio.Invested:
            market_ticket = self.MarketOrder("SPY", -10)
            limit_ticket = self.LimitOrder("SPY", 10, market_ticket.AverageFillPrice - (.001 * market_ticket.AverageFillPrice))