| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return 271.993% Drawdown 2.200% Expectancy 0 Start Equity 100000 End Equity 101693.81 Net Profit 1.694% Sharpe Ratio 8.861 Sortino Ratio 0 Probabilistic Sharpe Ratio 67.609% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.003 Beta 0.997 Annual Standard Deviation 0.222 Annual Variance 0.049 Information Ratio -14.58 Tracking Error 0.001 Treynor Ratio 1.972 Total Fees $3.60 Estimated Strategy Capacity $56000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 19.95% |
# region imports
from AlgorithmImports import *
# endregion
class Tradespy(QCAlgorithm):
def initialize(self):
# Locally Lean installs free sample data, to download more data please visit https://www.quantconnect.com/docs/v2/lean-cli/datasets/downloading-data
self.set_start_date(2013, 10, 7) # Set Start Date
self.set_end_date(2013, 10, 11) # Set End Date
self.set_cash(100000) # Set Strategy Cash
self.add_equity("SPY", Resolution.MINUTE)
def on_data(self, data: Slice):
"""on_data 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.set_holdings("SPY", 1)
self.debug("Purchased Stock")