Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
1.563%
Drawdown
28.100%
Expectancy
0
Net Profit
0.783%
Sharpe Ratio
0.265
Probabilistic Sharpe Ratio
29.970%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.108
Beta
0.89
Annual Standard Deviation
0.429
Annual Variance
0.184
Information Ratio
0.716
Tracking Error
0.15
Treynor Ratio
0.128
Total Fees
$1.65
 
class HorizontalVerticalProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 12, 29)
        self.SetCash(100000)
        
        self.AddEquity("SPY", Resolution.Minute)
        
        self.purchase_date = datetime(2020, 3, 5)


    def OnData(self, data):
        if not self.Portfolio.Invested and data.Time >= self.purchase_date and data.ContainsKey("SPY"):
            self.SetHoldings("SPY", 1)