Overall Statistics
Total Trades
2
Average Win
10.58%
Average Loss
0%
Compounding Annual Return
40.077%
Drawdown
4.100%
Expectancy
0
Net Profit
10.584%
Sharpe Ratio
2.554
Probabilistic Sharpe Ratio
75.528%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.346
Beta
-0.013
Annual Standard Deviation
0.134
Annual Variance
0.018
Information Ratio
0.016
Tracking Error
0.19
Treynor Ratio
-26.665
Total Fees
$2.72
Estimated Strategy Capacity
$650000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class HipsterBlackPenguin(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 20)
        self.SetEndDate(2021,4,7)
        self.SetCash(100000) 
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.Schedule.On(self.DateRules.On(self.EndDate.year, self.EndDate.month, self.EndDate.day),  
                         self.TimeRules.At(0, 0),  
                         self.SpecificTime)
    def SpecificTime(self):
        self.Liquidate()
        self.Debug("liquidated on the last day")
    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
        '''
      
        # Check if we're not invested and then put portfolio 100% in the SPY ETF.      
        if not self.Portfolio.Invested:
           self.SetHoldings(self.spy, 1)