Overall Statistics
Total Trades
2
Average Win
0%
Average Loss
-0.66%
Compounding Annual Return
-1.142%
Drawdown
1.000%
Expectancy
-1
Net Profit
-0.662%
Sharpe Ratio
-1.185
Probabilistic Sharpe Ratio
0.012%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.014
Beta
0.001
Annual Standard Deviation
0.012
Annual Variance
0
Information Ratio
-0.268
Tracking Error
0.386
Treynor Ratio
-19.084
Total Fees
$3.11
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Alphas.ConstantAlphaModel import ConstantAlphaModel

class QuantumVentralAutosequencers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 2)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        self.SetExecution(ImmediateExecutionModel())

        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.AddAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(10)))
        self.AddUniverse(self.SelectCoarse)
        self.x = 1


    def SelectCoarse(self, coarse):
        if self.x == 1: 
            self.x += 1
            return [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
            
        return []