| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -5.201% Drawdown 34.600% Expectancy 0 Net Profit -2.637% Sharpe Ratio 0.107 Probabilistic Sharpe Ratio 26.443% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.001 Beta 0.994 Annual Standard Deviation 0.453 Annual Variance 0.205 Information Ratio -0.37 Tracking Error 0.003 Treynor Ratio 0.049 Total Fees $1.54 |
import json5
class HorizontalQuantumRadiator(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 9) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.equity_over_time = []
def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
def OnEndOfDay(self):
self.equity_over_time.append(self.Portfolio.TotalPortfolioValue)
def OnEndOfAlgorithm(self):
self.ObjectStore.Save('equity', json5.dumps(self.equity_over_time))