Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
36.268%
Drawdown
4.400%
Expectancy
0
Net Profit
16.647%
Sharpe Ratio
3.496
Probabilistic Sharpe Ratio
91.128%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0
Beta
0.996
Annual Standard Deviation
0.113
Annual Variance
0.013
Information Ratio
-4.119
Tracking Error
0
Treynor Ratio
0.395
Total Fees
$1.29
Estimated Strategy Capacity
$63000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class MeasuredBlueAlbatross(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 3, 2)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)
            
    def OnEndOfDay(self):
        self.Plot("Margin", "Margin Remaining", self.Portfolio.MarginRemaining)
        self.Plot("Margin", "Margin Used", self.Portfolio.TotalMarginUsed)
        self.Plot("Margin", "Portfolio Value", self.Portfolio.TotalPortfolioValue)