| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return -1.181% Drawdown 70.300% Expectancy 0 Start Equity 100000 End Equity 72587.12 Net Profit -27.413% Sharpe Ratio -0.137 Sortino Ratio -0.103 Probabilistic Sharpe Ratio 0.000% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.004 Beta -0.314 Annual Standard Deviation 0.147 Annual Variance 0.021 Information Ratio -0.288 Tracking Error 0.25 Treynor Ratio 0.064 Total Fees $7.38 Estimated Strategy Capacity $0 Lowest Capacity Asset VXZB WRBPJAJZ2Q91 Portfolio Turnover 0.01% |
#region imports
from AlgorithmImports import *
#endregion
class VXZ(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(1998, 1, 1)
self.set_cash(100_000)
self._symbol: Symbol = self.add_equity('VXZ', Resolution.MINUTE).symbol
self.settings.daily_precise_end_time = False
def on_data(self, slice: Slice) -> None:
if not self.portfolio.invested:
self.set_holdings(self._symbol, 1)