Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
35.081%
Drawdown
9.500%
Expectancy
0
Net Profit
16.468%
Sharpe Ratio
1.991
Probabilistic Sharpe Ratio
71.205%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.334
Beta
-0.117
Annual Standard Deviation
0.148
Annual Variance
0.022
Information Ratio
-0.139
Tracking Error
0.222
Treynor Ratio
-2.523
Total Fees
$1.54
 
class NadionModulatedShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 7, 19)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Daily)


    def OnData(self, data):
        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)
        
        self.Plot("Equity", 'Line', self.Portfolio.TotalPortfolioValue)