Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
2.791%
Drawdown
0.100%
Expectancy
0
Net Profit
0.058%
Sharpe Ratio
4.103
Probabilistic Sharpe Ratio
62.422%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.044
Beta
0.043
Annual Standard Deviation
0.007
Annual Variance
0
Information Ratio
-10.498
Tracking Error
0.16
Treynor Ratio
0.687
Total Fees
$1.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
class EmotionalFluorescentYellowDogfish(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2021, 1, 10)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Tick)
        
        self.SetBrokerageModel(BrokerageName.AlphaStreams)
        self.SetExecution(VolumeWeightedAveragePriceExecutionModel())   

    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:
            #quantity = self.CalculateOrderQuantity(self.symbol, 0.5)
        #   self.SetHoldings("SPY", 0.5)
        #   self.SetHoldings("SPY", 0.5)
        
            self.MarketOrder("SPY", 10)
            # for i in range(10):
            #     self.MarketOrder("SPY", 1)