Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
29.818%
Drawdown
5.100%
Expectancy
0
Net Profit
30.750%
Sharpe Ratio
1.943
Probabilistic Sharpe Ratio
82.051%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
1.005
Annual Standard Deviation
0.105
Annual Variance
0.011
Information Ratio
2.177
Tracking Error
0.001
Treynor Ratio
0.203
Total Fees
$1.40
Estimated Strategy Capacity
$750000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class CreativeLightBrownParrot(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 1)
        self.SetCash(100000) 
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.max = self.MAX("SPY",10)

    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("SPY", 1)
        
    
        ## Condition to see if SPY is in the Dividend DataDictionary
        if data.Dividends.ContainsKey("SPY") or data.Splits.ContainsKey("SPY"):
            self.Debug("Indicator has been reset")
            self.max.Reset()
            history = self.History(self.spy,10)
            for time,row in history.loc[self.spy].iterrows():
               self.max.Update(time, row["close"])