| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 47.004% Drawdown 7.400% Expectancy 0 Net Profit 10.203% Sharpe Ratio 2.61 Probabilistic Sharpe Ratio 74.168% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.391 Beta -0.021 Annual Standard Deviation 0.147 Annual Variance 0.022 Information Ratio -0.032 Tracking Error 0.21 Treynor Ratio -18.587 Total Fees $1.49 |
class TachyonUncoupledProcessor(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 10, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily)
def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)