Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
34.365%
Drawdown
9.600%
Expectancy
0
Net Profit
16.029%
Sharpe Ratio
1.879
Probabilistic Sharpe Ratio
65.600%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.01
Beta
0.993
Annual Standard Deviation
0.193
Annual Variance
0.037
Information Ratio
-0.563
Tracking Error
0.021
Treynor Ratio
0.365
Total Fees
$1.57
 
class VerticalNadionRegulators(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 6, 7)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)


    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
        '''

        if not self.Portfolio.Invested:
            self.SetHoldings("SPY", 1)