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), 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)