| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 28.677% Drawdown 9.500% Expectancy 0 Net Profit 41.552% Sharpe Ratio 1.684 Probabilistic Sharpe Ratio 76.814% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.008 Beta 1.001 Annual Standard Deviation 0.118 Annual Variance 0.014 Information Ratio -1.102 Tracking Error 0.007 Treynor Ratio 0.199 Total Fees $1.57 Estimated Strategy Capacity $610000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
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)