Overall Statistics
Total Trades
11
Average Win
0%
Average Loss
-2.45%
Compounding Annual Return
11.241%
Drawdown
30.200%
Expectancy
-1
Net Profit
206.244%
Sharpe Ratio
0.794
Probabilistic Sharpe Ratio
21.098%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.003
Beta
0.917
Annual Standard Deviation
0.16
Annual Variance
0.026
Information Ratio
-0.886
Tracking Error
0.017
Treynor Ratio
0.139
Total Fees
$47.63
 
class StopLoss(QCAlgorithm):

    def Initialize(self):
        
        self.SetStartDate(2010, 1, 1) 
        self.SetEndDate(2020, 7, 1) 
        self.SetCash(100000) 
        self.spy = self.AddEquity("SPY", Resolution.Hour).Symbol
        
        self.Securities[self.spy].SetDataNormalizationMode(DataNormalizationMode.Raw)
        self.lastOrderEvent = None
        
    def OnData(self, data):
    
        weight = self.CalculateOrderQuantity(self.spy, 0.99)
        
        close = self.Securities["SPY"].Close
        
        if not self.Portfolio.Invested:
            self.MarketOrder("SPY", weight)
            self.StopMarketOrder("SPY", -weight, 0.98 * close)